The CBPP3 portfolio contracted some €560m last week, the most since the programme was reactivated in November last year, on the back of a swell of redemptions and decreased primary market settlements, while a similar spike in maturities was evident in APP overall.

According to figures released by the European Central Bank relating to settled and outstanding purchases under its various programmes on Monday, the CBPP3 portfolio decreased €560m, from €282.993bn to €282.433bn, in the week to last Friday. The decrease in the portfolio is the largest registered since September 2019.

Gross purchases of €940m were down only €153m from €1.093bn the previous week, but redemptions of around €1.5bn, disclosed yesterday (Tuesday) afternoon, were the highest since the week-ending 31 January.

€500m of CBPP3-eligible supply settled last week, compared to €750m the week before. The only euro benchmark to settle was an LBBW €500m seven year public sector Pfandbrief, of which central banks and official institutions were allocated 18.8%, or €94m.

Joost Beaumont, senior fixed income strategist, ABN Amro, noted that Eurosystem gross purchases had remained consistent.

“In the end, it bought €0.9bn gross of covered bonds last week,” he said, “which was actually not too far off the €1.1bn levels that it had bought in previous weeks.”

PEPP grew €28.248bn last week, versus €27.132bn the previous week, with gross purchases coming in at €28.848bn, the highest in a month. Gross APP purchases were €12.548bn, down from €14.268bn the previous week, bringing aggregate Eurosystem gross purchases across the two programmes to €41.396bn. This is down just €404m from €41.800bn the previous week.

Last week’s net APP increase of €4.148bn is the smallest since the week-ending 1 May and down considerably from €8.968bn the previous week. Redemptions were around €8.4bn, €3.1bn more than the previous week and the highest since the last week of April, when redemptions were €10.9bn.