CBPP3 in January played an undiminished role in what was the first EUR30bn month of QE, with gross covered bond purchases their highest since January 2017 and the net increase close to last year’s average, even as the portfolio shrunk last week on heavy redemptions.

ECB figures released on Monday show the CBPP3 portfolio grew EUR3.363bn last month. This is lowest month-on-month net increase since August, but is slightly above the 2017 average of EUR3.286bn.

Taking into account redemptions of EUR2.870bn, gross purchases totalled EUR6.233bn, the highest since January 2017 and substantially higher than the 2017 average of some EUR4.6bn.

January was the first month in which the ECB’s monthly target for QE purchases was lowered from EUR60bn to EUR30bn. The overall asset purchase programme (APP) portfolio grew EUR30.195bn.

The public sector purchase programme (PSPP) had been expected to account for the majority of the reduction in APP buying, and indeed the PSPP portfolio grew just EUR20.905bn in January, down from an average of EUR54.867bn in 2017. Buying under the corporate sector purchase programme (CSPP) and asset backed securities purchase programme (ASBPP) remained roughly in line with last year’s averages.

“Even on a net basis we can say that the actual taper or drop in volumes during January took place in the PSPP and, looking at the gross numbers, this statement holds true,” said Florian Eichert, head of covered bond and SSA research at Crédit Agricole.

In the week to last Friday, settled and outstanding purchases under the third covered bond purchase programme decreased EUR366m, from EUR245.074bn to EUR244.708bn. Figures released yesterday (Tuesday) show that around EUR1.3bn of CBPP3 holdings matured last week and that gross purchases totalled around EUR900m.

This is up slightly from gross purchases of EUR822m in the previous week but below the 2017 average of EUR1.1bn per week.

Analysts estimate the Eurosystem bought around EUR600m of covered bonds on the primary market that settled last week. This would imply that secondary market purchases averaged around EUR60m per day, in line with an estimated EUR64m per day in the previous week and still well below the 2017 average of around EUR140m per day.