The Banque de France held the highest share of covered bonds relative to government bonds among Eurosystem central banks that have reported end-2011 figures, according to an HSBC Trinkaus analysis, which also explored CBPP holdings.

The Bank of Spain is yet to release its 2011 annual report, according to Johannes Rudolph, head of covered bond research at HSBC Trinkaus, while the other 16 Eurosystem national central banks have published figures as well as the European Central Bank. Ten split disclosure of holdings under the two ECB purchase programmes.

Rudolph analysed covered bond and government bond holdings and compared them with figures reported for 2010, when the French central bank had also had the highest share of covered bonds.

Aggregate covered bond and government bond holdings increased the most at the three biggest central banks (France, Germany and Italy) compared with 2010, according to Rudolph, with the Banca d’Italia top, with a 138% increase.

The share of covered bonds in aggregate holdings continues to be highest at Banque de France (24.2% in 2011), while Banka Slovenije’s is the smallest (14.8%), although the Slovenian central bank, like Belgium’s, does not have a local covered bond market to support, he said.

Out of the 11 largest banks plus Luxembourg, only Austria and Greece do not provide separate disclosure for CBPP1 and CBPP2, said Rudolph. The central banks of Malta and Estonia had not acquired covered bonds as at the end of 2011, while in Slovenia and Greece central bank covered bond stocks fell, possibly due to redemptions of CBPP1 holdings, he added. The central banks of Cyprus, Slovenia and Slovakia are likely to have been only minimally or not all active under CBPP2, he said.

Purchases under CBPP2 total Eu12.73bn, according to the latest ECB data today (Thursday). According to figures from an RBS analysis, the Eurosystem is Eu11.43bn behind a theoretical run-rate of Eu160m of purchases a day necessary for it to hit the Eu40bn earmarked for the programme when it finishes in October.

As of 31 May, the split between primary and secondary market purchases under CBPP2 was 34.92% primary and 65.08% secondary, according to the ECB.

Distribution of covered bond and government bond holdings across Eurosystem central banks, including ECB (Eu billion)

Source: HSBC, Eurosystem central banks, The Covered Bond Report. Note: Spanish data estimated based on the difference between aggregated Eurosystem holdings and the sum of individually reported holdings.