Gross CBPP3 buying and net CBPP3 portfolio growth were in July the second lowest of any fully active month of the programme’s history, at EUR3.141bn for the gross figure and EUR1.524bn for the net – the latter nevertheless well above June’s low on fewer redemptions.

ECB figures released yesterday (Monday) afternoon show the CBPP3 portfolio increased EUR1.524bn in July, from EUR254.422bn as of the end of June to EUR255.946bn. This represents a sizeable increase from the record low EUR683m growth of June, but is still the second lowest of any month since the launch of the programme, excluding months of December when purchases have been temporarily paused.

Net purchases under the overall asset purchase programme (APP) totalled EUR29.859bn in July, just below the ECB’s EUR30bn monthly target. The CBPP3 therefore accounted for 5.1% of net APP purchases, up from a record low of 2.2% in June.

As EUR1.617bn of CBPP3 holdings matured in July, gross purchases amounted to EUR3.141bn, less than the EUR3.885bn purchases in June and – again excluding Decembers – the second lowest gross purchases of any month, behind only EUR2.991bn of purchases in August 2017.

This fall in CBPP3 purchases is in spite of unseasonably heavy euro-denominated covered bond issuance in July of EUR10bn, of which EUR7.75bn was CBPP3-eligible.

This can be partly explained by the ECB’s reduced presence in the market over recent months. Whereas the ECB in previous years had typically placed orders of around 50% of an eligible issue, it has lowered the size of its orders this year, first to around 40% in March and then to around 30% in April.

Florian Eichert, head of covered bond and SSA research at Crédit Agricole, said the Eurosystem maintained its approach to new issues last month, noting that its primary market purchases increased from EUR923m in June to EUR1.032bn in July.

“At EUR2.108bn secondary gross settlements in July did, however, show clear signs that some market participants had left for their well-deserved summer holidays,” he added, “while those unfortunate enough to stay in the office, with temperatures well exceeding 30 degrees in much of Europe, had other things on their minds than to actively trade covered bonds.

“Indeed, seeing issuance activity come to a halt in the second half of the month also did not help secondary market liquidity.”

In the week to last Friday, the CBPP3 portfolio decreased EUR385m, from EUR256.569bn to EUR256.184bn. Figures released this (Tuesday) afternoon show that around EUR700m of CBPP3 holdings matured last week, implying that gross purchases were around EUR315m.

This compares with gross purchases of EUR464m in the previous week and the 2018 weekly average of EUR989m.

No CBPP3-eligible deals settled last week. Secondary market purchases therefore averaged EUR63m per day, in line with estimates of around EUR65m per day in the previous week.