The ECB registered a week-on-week fall in gross CBPP3 purchases to around EUR664m last week, as estimates suggest the Eurosystem bought less than 20% of the EUR4bn of eligible new issues that settled in the reporting period, below even the recently-introduced typical 30% Eurosystem order.

ECB figures released yesterday (Monday) show that in the week to last Friday the CBPP3 portfolio increased EUR164m, from EUR251.857bn to EUR252.021bn.

The publication of portfolio redemption figures, which is usually on Tuesdays, will take place tomorrow due to the 1 May public holiday in Germany. However, Florian Eichert, head of covered bond and SSA research at Crédit Agricole, estimated that EUR500m of CBPP3 holdings matured last week, given that the ECB had announced EUR1.133bn would redeem in April and after EUR600m of portfolio holdings matured in the first three weeks of the month, with yesterday (Monday) the last day of April.

This would imply gross purchases of some EUR664m, down from gross purchases of some EUR1.066bn in the previous week and below the 2018 average of EUR1.175bn.

Four CBPP3-eligible benchmarks settled last week, a EUR1.5bn issue for Caffil, a EUR2bn dual-tranche issue for Rabobank and a EUR500m issue for DG Hyp, amounting to EUR4bn of supply, while the Eurosystem is understood to have participated in a EUR250m deal for Finland’s Hypo that settled last week. The estimated gross purchases would imply that the Eurosystem bought below 20% of the aggregate eligible supply, with some uncertainty due to the rounding of the weekly redemption figures.

A share slightly below 20% would imply that secondary market purchases were once again negligible last week. In the previous week, secondary market purchases were estimated to have averaged around EUR13m-EUR33m per day.

This comes after the ECB in mid-April decreased the size of its orders for new issues to around 30% of the expected issuance volume. The size of the ECB’s orders are also no longer expected to be increased if the deal size is increased during the execution process.

Eichert noted that unusually high purchases under the asset-backed securities purchase programme (ABSPP) last week, at EUR1.086bn, could be responsible for the drop in CBPP3 buying.

“Besides active primary market buying, the very active ABSPP will have played a big role in reducing the need for the CBPP3 to source additional volumes,” he said. “After all, we are talking about the last full week of the month and aggregate net settlements had already passed the EUR30bn monthly APP target by Friday last week.”

As previously reported, Ad Visser, head of financial markets and collateral section at the ECB, said last month that there was “no fixed rule” behind any lowering of CBPP3 purchases, emphasising the overall asset purchase programme’s flexibility.

In a press conference on Thursday following the latest meeting of the ECB’s governing council, ECB president Mario Draghi also stressed the flexibility of its purchases, when asked to explain a substantial drop in net corporate bond purchases in recent weeks.

“I think it’s always wrong to fix attention to one specific week or one specific month,” he said. “You know this — there is a certain amount of flexibility around purchases.

“So, what’s happened here is that we had a higher seasonal amount of purchases at some point and therefore we kind of averaged down with lower purchases. This coincided also with a downsize of the programme that took place after December. There is no specific strategy behind the lower amount of purchases of the private corporate bonds.”