2016年-ECB欧洲央行_The_corporate_bond_market_and_the_ECBs_corporate_sector_purchase_programme_4页_107kb

Box 2: The Corporate Bond Market and the ECB's Corporate Sector Purchase Programme (CSPP)

Core Content

The Eurosystem launched the Corporate Sector Purchase Programme (CSPP) on 8 June 2016, as part of its broader Asset Purchase Programme (APP). The CSPP aims to enhance the transmission of monetary policy to the real economy by purchasing corporate bonds, thereby improving financing conditions for non-financial corporations (NFCs). The programme was announced by the ECB's Governing Council on 10 March 2016, and its implementation was intended to continue until the end of March 2017 or beyond if needed, depending on inflation developments.

Key Features of the CSPP

• Eligibility Criteria:

  • Securities must be eligible as collateral for Eurosystem credit operations.
  • Minimum credit rating of credit quality step 3 (investment grade).
  • Denominated in euro.
  • Remaining maturity between 6 months and 30 years.
  • Issued by euro area corporations (excluding credit institutions).
  • Issue share limit of 70% per security.

• Purchase Volume:

  • Between 8 June 2016 and 15 July 2016, the Eurosystem purchased €10.4 billion of non-bank corporate bonds.
  • 7% of purchases were in the primary market, while 93% were in the secondary market.
  • Trade sizes under the CSPP are mostly below €10 million, with secondary market trades predominantly in this range.

• Market Impact:

  • The CSPP significantly reduced corporate bond spreads, especially for investment-grade bonds.
  • The announcement led to a sharp decline in NFC bond spreads, which was later interrupted by volatility due to the UK referendum.
  • A follow-up confirmation of insurance corporations' eligibility on 21 April 2016 also led to a notable spread contraction.

Economic Analysis

• Event Study Approach:

  • The ECB used an event study method to assess the impact of the CSPP announcement on corporate bond spreads.
  • The analysis focused on the two-week period following the announcement and found that the monetary policy measures introduced in March 2016, including the CSPP, contributed to a decline in corporate bond spreads.

• Spread Contraction:

  • Over the period from 10 to 24 March 2016, the total decline in euro area investment-grade corporate bond spreads was 16 basis points.
  • The CSPP was estimated to account for 11 basis points of this decline.
  • High-yield bonds and financial sector bonds also experienced notable spread contractions, indicating broader market effects.

• Corporate Bond Issuance:

  • Corporate bond issuance in the euro area increased after the CSPP announcement.
  • In the second quarter of 2016, issuance levels were significantly higher than previous years.
  • The share of euro-denominated corporate bond issuance rose to about 70%, similar to historical levels.
  • Issuance by foreign companies outside the euro area did not increase in euro.

Conclusion

The CSPP has had a substantial impact on the corporate bond market, improving liquidity and reducing credit spreads. It has contributed to better financing conditions for NFCs and has encouraged euro-denominated bond issuance. The programme's effects were not limited to eligible bonds, as it also influenced segments dominated by ineligible bonds. The ECB's support through securities lending has further enhanced market liquidity.