With just one week of settlements remaining to be registered for June, the CBPP3 portfolio has this month decreased by EUR42m and hence made no contribution towards net QE purchases amid heavy redemptions, of which up to EUR700m may take place next week.

ECB figures released on Monday show the CBPP3 portfolio decreased EUR145m in the week to last Friday, from EUR254.375bn to EUR254.230bn. Figures released on Tuesday show that some EUR500m of CBPP3 holdings matured last week, implying gross purchases of around EUR355m.

Last week was the second consecutive week in which CBPP3 holdings fell. In the previous week the CBPP3 portfolio decreased EUR258m as redemptions of some EUR1.5bn surpassed gross purchases of around EUR1.242bn.

Between the end of May and last Friday (22 June), the CBPP3 portfolio has shrunk EUR42m, from EUR254.272bn to EUR254.230bn.

The fall comes amid heavy redemptions and more limited supply than in previous weeks. CBPP3 portfolio redemptions are in June be the highest for any month this year, at EUR3.202bn.

Based on redemption figures released so far this month, up to around EUR700m of CBPP3 portfolio holdings may be yet to mature this week, the last week of the month – with some EUR2.5bn of maturities having been reported between Monday 4 June and Friday 22 June. In the week ending Friday, 1 June, some EUR300m of redemptions took place and at least one CBPP3-eligible deal settled on the first day of the month. The Eurosystem does not provide the exact date of redemptions.

One CBPP3-eligible benchmark deal settled last week, a EUR500m issue for Cajamar, of which analysts estimated the Eurosystem bought around EUR100m. This implies that secondary market purchases averaged around EUR51m per day last week, down from estimates of around EUR108m-EUR130m per day in the previous week.