Some Eu1.1bn of CBPP3 holdings matured last week, the highest amount for any weekly reporting period, and analysts said redemptions are likely to become an increasingly significant factor in the programme’s dynamics. Gross buying of Eu1.34bn nevertheless represented a slowdown from a boom the previous week.

ECB figures released on Monday show the CBPP3 portfolio increased Eu240m, from Eu207.216bn to Eu207.456bn, in the week to last Friday. Portfolio redemption figures released yesterday (Tuesday) afternoon show that around Eu1.1bn of CBPP3 holdings matured last week – the largest volumes yet recorded for the portfolio – implying gross purchases of around Eu1.34bn.

“The saying ‘don’t judge a book by its cover’ applies well to this week’s CBPP3 statistics,” said Cristina Costa, senior covered bond analyst at Société Générale. “As of 20 January, CBPP3 holdings of Eu207.456bn were up only by Eu240m week-on-week.

“However, when taking last week’s CBPP3 redemptions into account – a whopping Eu1.1bn – it is clear CBPP3 purchases during the week were along the lines of the long term average.”

Despite being significantly larger than the net increase, gross purchases still fell substantially from Eu3.485bn in the previous week – which was the highest increase since September 2015. Analysts attributed the fall to lower issuance volumes, as Eu1.75bn of CBPP3-eligible supply settled last week, down from Eu10bn in the previous week.

Analysts’ estimates of the size of the Eurosystem’s share in last week’s primary market settlements ranged from Eu650m to Eu730m, implying gross secondary market purchases averaged around Eu122m-Eu138m per day – substantially higher than the estimated Eu17m per day in the previous week.

Last week’s record high CBPP3 portfolio redemptions came on the back of the repayment of some Eu7bn of Eurozone issuance. Maureen Schuller, head of financials research at ING, noted that a further Eu1bn matured in the portfolio of the first covered bond purchase programme (CBPP1).

“Hence 30% of the Eu7bn Eurozone benchmark debt expiring last week was repaid to the ECB’s purchase programmes,” she said.

Analysts said such higher CBPP3 redemptions could be a fixture of the programme going forward, noting that this week another Eu6.6bn of CBPP3-eligible supply will mature.

“None of these bonds were issued during the CBPP1, giving the CBPP3 more leeway to have built up substantial holdings,” said Florian Eichert, head of covered bond and SSA research at Crédit Agricole. “In other words, expect another negative net settlement number, which we will then have to adjust upwards by quite a substantial margin next week.”