The ECB registered a modest week on week fall in gross covered bond purchases of around Eu157m to Eu948m last week – the last full week of CBPP3 purchases in 2017, ahead of a suspension in buying tomorrow (Thursday).

According to ECB figures released on Monday, settled and outstanding purchases under the third covered bond purchase programme grew Eu748m, from Eu240.328bn to Eu241.076bn in the week to last Friday. Figures released yesterday (Tuesday) show that around Eu200m of CBPP3 holdings matured last week.

Gross purchases were therefore down from Eu1.105bn in the previous week, and below the 2017 average of around Eu1.113bn per week.

One CBPP3-eligible benchmark covered bond settled last week, a Eu750m issue for Crédit Agricole Cariparma. Analysts estimate the Eurosystem took a share of around 50% of the deal, implying that secondary market purchases averaged around Eu115m per day last week – down from around Eu221bn per day in the previous week.

No eligible benchmark issuance will settle this week, and any final purchases made in the last three days of CBPP3 buying in 2017 will therefore be made on the secondary market.

The ECB will temporarily pause buying under the asset purchase programme (APP) starting tomorrow, in anticipation of lower liquidity and to reduce possible market distortions during the holiday period. This month is the last in which the ECB’s stated target for QE purchases is Eu60bn per month, with the target to be lowered to Eu30bn per month from January to the end of September 2018, at the earliest.

ECB figures show that Eu1.527bn of CBPP3 holdings will mature in December, the fourth highest monthly redemptions in the next 12 months. Around Eu300m of these maturities have not yet taken place, and analysts suggest that the portfolio could shrink over the rest of the month while purchases are suspended. A quarter end amortisation adjustment will also affect the holdings.

The ECB had flagged that APP purchases would be frontloaded in the first half of December, when market conditions were expected to be more supportive.

APP purchases will resume on 2 January, and the first publication of APP holdings in 2018 will be on 3 January.