Asset purchase programmes
Reinvestment phase of the asset purchase programme
The Eurosystem currently reinvests principal payments from maturing securities purchased under the expanded asset purchase programme (APP). The period of APP net asset purchases ended in December 2018.
The APP includes all purchase programmes under which private sector securities and public sector securities are purchased to address the risks of a too prolonged period of low inflation over the medium term.
It consists of the
- corporate sector purchase programme (CSPP)
- public sector purchase programme (PSPP)
- asset-backed securities purchase programme (ABSPP)
- third covered bond purchase programme (CBPP3)
APP cumulative net purchases, by programme
On 13 December 2018, the Governing Council of the European Central Bank (ECB) decided to end the net purchases under the APP in December 2018 and announced that it “intends to continue reinvesting, in full, the principal payments from maturing securities purchased under the APP for an extended period of time past the date when it starts raising the key ECB interest rates, and in any case for as long as necessary to maintain favourable liquidity conditions and an ample degree of monetary accommodation”.
The Governing Council will aim to maintain the size of its cumulative net purchases under each constituent programme of the APP at their respective levels as at the end of December 2018. Limited temporary deviations in the overall size and composition of the APP may occur during the reinvestment phase due to operational reasons.
The APP is part of a package of measures that also includes targeted longer-term refinancing operations.
APP redemptions
| month | ABSPP | CBPP3 | CSPP | PSPP | APP |
|---|---|---|---|---|---|
| Dec 18* | 837 | 1,137 | 257 | 12,288 | 14,520 |
| Jan 19 | 994 | 2,792 | 834 | 21,029 | 25,649 |
| Feb 19 | 651 | 2,388 | 120 | 8,783 | 11,942 |
| Mar 19 | 637 | 1,777 | 529 | 10,894 | 13,837 |
| Apr 19 | 528 | 1,212 | 447 | 21,111 | 23,298 |
| May 19 | 386 | 908 | 273 | 15,319 | 16,886 |
| Jun 19 | 897 | 2,907 | 205 | 7,138 | 11,147 |
| Jul 19 | 492 | 2,307 | 938 | 17,489 | 21,226 |
| Aug 19 | 382 | 452 | 0 | 4,542 | 5,376 |
| Sep 19 | 538 | 3,239 | 1,097 | 10,381 | 15,255 |
| Oct 19 | 461 | 1,590 | 592 | 29,024 | 31,667 |
| Nov 19 | 883 | 1,715 | 769 | 13,134 | 16,501 |
| Dec 19 | 487 | 647 | 186 | 8,668 | 9,988 |
| *Actual redemption, based on month end data.
ECB estimates in italics. Figures may not add up due to rounding. Figures are preliminary and may be subject to revision. Note: Realised redemptions may differ from estimated redemptions. |
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The PSPP allocation across eligible jurisdictions is guided, on a stock basis, by the respective national central banks’ subscription to the ECB capital key, as amended over time. As a rule, redemptions are reinvested in the jurisdiction in which principal repayments are made, but the portfolio allocation across jurisdictions is gradually adjusted with a view to bringing the share of the PSPP portfolio into closer alignment with the respective national central banks’ subscription to the ECB capital key.
The Eurosystem adheres to the principle of market neutrality via smooth and flexible implementation. To this end, the Governing Council decided to distribute the reinvestment of principal redemptions over the entire year to allow for a regular and balanced market presence during the reinvestment phase. Within the PSPP, purchases of securities with a yield to maturity below the interest rate on the ECB’s deposit facility are undertaken to the extent necessary.
For the private sector programmes, market capitalisation is the guiding principle for reinvestment purchases. Purchases of securities in primary markets are permitted as necessary. With regard to the CBPP3, all CBPP3-eligible covered bonds with a conditional pass-through structure are excluded from purchases during the reinvestment phase.
APP holdings
The table presents the Eurosystem holdings at the end of the month and a breakdown in the change of Eurosystem holdings.
| Changes of holdings (previous month) | ABSPP | CBPP3 | CSPP | PSPP | APP |
|---|---|---|---|---|---|
| Holdings* November 2018 | 27,775 | 262,211 | 176,878 | 2,095,560 | 2,562,424 |
| Monthly net purchases | -253 | 508 | 1,507 | 12,961 | 14,723 |
| Quarter-end amortisation adjustment | -4 | -519 | -334 | -6,474 | -7,330 |
| Holdings* December 2018 | 27,518 | 262,201 | 178,050 | 2,102,048 | 2,569,817 |
| *At amortised cost, in euro million, at month end.
Figures may not add up due to rounding. Figures are preliminary and may be subject to revision. |
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Amortisation adjustments are made at the end of each quarter. The amortisation emerges from an accounting principle that implies that securities purchased at prices below face value have to be revalued upwards over time towards maturity, or revalued downwards over time, if purchased at prices above face value. The cumulative quarter-end amortisation adjustments account for the difference between APP holdings and the stock of cumulative net asset purchases.
History of cumulative purchase breakdowns under the APP.
Weekly changes are reported below and in the Eurosystem weekly financial statement. Full historical data are available in the Statistics section under Data on daily liquidity conditions.
History of APP net asset purchases
During the net asset purchase phase, monthly purchases were conducted at average paces of:
- €60 billion from March 2015 until March 2016
- €80 billion from April 2016 until March 2017
- €60 billion from April 2017 to December 2017
- €30 billion from January 2018 to September 2018
- €15 billion from October 2018 to December 2018
Between 8 June 2016 and 19 December 2018 the Eurosystem conducted net purchases of corporate sector bonds under the corporate sector purchase programme (CSPP). As of January 2019, the Eurosystem no longer conducts net purchases, but continues to reinvest the principal payments from maturing securities held in the CSPP portfolio.
The measure helps to further strengthen the pass-through of the Eurosystem’s asset purchases to financing conditions of the real economy, and, in conjunction with the other non-standard monetary policy measures in place, provides further monetary policy accommodation.
- Decision ECB/2016/16 of 1 June 2016
- Decision ECB/2017/4 of 11 January 2017 amending Decision ECB/2016/16
- Decision ECB/2017/13 of 18 May 2017 amending Decision ECB/2016/16
- Press release announcing the details of the corporate sector purchase programme
- Economic Bulletin Issue 5/2016 - The corporate bond market and the ECB’s corporate sector purchase programme
- Economic Bulletin Issue 4/2017 - The ECB’s corporate sector purchase programme: its implementation and impact
- Economic Bulletin Issue 3/2018 - The impact of the corporate sector purchase programme on corporate bond markets and the financing of euro area non-financial corporations
- CSPP – Questions & answers
Securities purchased under the CSPP are made available for securities lending to support market liquidity and collateral availability in the market.
| EUR mil. | 177,798 |
|---|---|
| Date | 25 January 2019 |
| * End of week, at amortised cost | |
List of securities held under the CSPP*
* end of week
| Market: | Primary | Secondary |
|---|---|---|
| EUR mil. * | 31,246 | 146,804 |
| Share * | 17.55% | 82.45% |
| Date | 31 December 2018 | |
| * End of month, at amortised cost | ||
History of cumulative purchase breakdowns under the CSPP
Breakdown of CSPP portfolio by sector, rating and country of risk (semi-annual) last update: 16 October 2018
Between 9 March 2015 and 19 December 2018 the Eurosystem conducted net purchases of public sector securities under the public sector purchase programme (PSPP). As of January 2019, the Eurosystem no longer conducts net purchases, but continues to reinvest the principal payments from maturing securities held in the PSPP portfolio.
The securities covered by the PSPP include:
- nominal and inflation-linked central government bonds
- bonds issued by recognised agencies, regional and local governments, international organisations and multilateral development banks located in the euro area
As of December 2018, government bonds and recognised agencies make up around 90% of the total Eurosystem portfolio, while securities issued by international organisations and multilateral development banks account for around 10%. These proportions will be maintained, on average, during the reinvestment phase.
- Implementation aspects of the PSPP
- Decision ECB/2015/10 of 4 March 2015
- Decision ECB/2015/33 of 5 November 2015 amending Decision ECB/2015/10
- Decision ECB/2015/48 of 16 December 2015 amending Decision ECB/2015/10
- Decision ECB/2016/8 of 18 April 2016 amending Decision ECB/2015/10
- Decision ECB/2017/1 of 11 January 2017 amending Decision ECB/2015/10
- PSPP - Questions & answers
Securities purchased under the PSPP are made available for securities lending to support market liquidity and collateral availability in the market.
Data on securities lending - The aggregate monthly average on-loan balance for the Eurosystem and the aggregate monthly average amount of cash collateral received in the context of PSPP securities lending are published every third Monday of the month for the previous month in the securities lending section.
| EUR mil. | 2,102,954 |
|---|---|
| Date | 25 January 2019 |
| * End of week, at amortised cost | |
| as at
31 December 2018 |
Monthly net purchases* | Cumulative monthly net purchases** | WAM of PSPP portfolio holdings*** |
|---|---|---|---|
| Austria | 370 | 58,188 | 8.07 |
| Belgium | 464 | 73,367 | 9.24 |
| Cyprus | 174 | 678 | 5.81 |
| Germany | 3,508 | 518,558 | 6.31 |
| Estonia | 0 | 7 | 0.00 |
| Spain | 1,617 | 260,820 | 8.32 |
| Finland | 130 | 33,135 | 7.13 |
| France | 2,461 | 420,259 | 7.31 |
| Ireland | 213 | 30,130 | 8.84 |
| Italy | 2,134 | 365,353 | 7.51 |
| Lithuania | 21 | 3,163 | 8.46 |
| Luxembourg | 7 | 2,612 | 4.91 |
| Latvia | 12 | 2,077 | 8.74 |
| Malta | 2 | 1,154 | 10.56 |
| The Netherlands | 636 | 115,183 | 7.22 |
| Portugal | 332 | 36,845 | 7.80 |
| Slovenia | 49 | 7,947 | 10.55 |
| Slovakia | 16 | 11,684 | 9.07 |
| Supranationals | 815 | 230,118 | 7.47 |
| Total | 12,961 | 2,171,277 | 7.37 |
| * Book value in euro million.
** Cumulative monthly net purchases figures represent the difference between the acquisition cost of all purchase operations and the redeemed nominal amounts *** Remaining Weighted Average Maturity (WAM) in years Notes: Figures may not add up due to rounding. Figures are preliminary and may be subject to revision. The monthly purchase volumes are reported net of redemptions When assessing the remaining WAM of Eurosystem holdings relative to a market measure, deviations could reflect, inter alia, the 1 to 30 year maturity range of purchases; the issue share limits taking into account holdings in other Eurosystem portfolios; the availability and liquidity conditions in the market during the implementation period; and the impact of portfolio redemptions and their respective reinvestments |
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Between 21 November 2014 and 19 December 2018 the Eurosystem conducted net purchases of asset-backed securities under the asset-backed securities purchase programme (ABSPP). As of January 2019, the Eurosystem no longer conducts net purchases, but continues to reinvest redemptions from securities held in the ABSPP portfolio.
The reinvestment of ABSPP redemptions are distributed over time and in line with market issuance and secondary market liquidity. The ABSPP reinvestment purchases are conducted in a highly flexible manner in primary and secondary markets across jurisdictions.
The ongoing presence of the Eurosystem in the ABS market supports the diversification of funding sources and stimulates the issuance of new securities. The ABSPP therefore further enhances the transmission of monetary policy, facilitates the provision of credit to the euro area economy, eases borrowing conditions for households and firms and contributes to a sustained adjustment of inflation rates to levels that are below, but close to, 2% over the medium term.
- Decision ECB/2014/45 of 19 November 2014
- Decision ECB/2015/31 of 10 September 2015 amending Decision ECB/2014/45
- Technical annex 1 - details of the ABSPP
- Guiding principles (with examples) of Eurosystem-preferred eligible ABSs
- ABSPP - Questions & answers
| EUR mil. | 27,171 |
|---|---|
| Date | 25 January 2019 |
| * End of week, at amortised cost | |
| Market: | Primary | Secondary |
|---|---|---|
| EUR mil. * | 13,917 | 13,601 |
| Share * | 50.57% | 49.43% |
| Date | 31 December 2018 | |
| * End of month, at amortised cost | ||
Between 20 October 2014 and 19 December 2018 the Eurosystem conducted net purchases of covered bonds under a third covered bond purchase programme (CBPP3). As of January 2019, the Eurosystem no longer conducts net purchases, but continues to reinvest the principal payments from maturing securities held in the CBPP3 portfolio.
The measure helps to enhance the functioning of the monetary policy transmission mechanism, supports financing conditions in the euro area, facilitates credit provision to the real economy and generates positive spillovers to other markets.
- Decision ECB/2014/40 of 15 October 2014
- Decision ECB/2017/2 of 11 January 2017 amending Decision ECB/2014/40
- Decision ECB/2017/4 of 18 May 2017 amending Decision ECB/2014/40
- Technical annex 2 – details of the CBPP3
- CBPP3 - Questions & answers
Securities purchased under the covered bond purchase programmes (CBPP1, CBPP2 and CBPP3) are made available for securities lending by a number of Eurosystem central banks.
| EUR mil. | 262,530 |
|---|---|
| Date | 25 January 2019 |
| * End of week, at amortised cost | |
| Market: | Primary | Secondary |
|---|---|---|
| EUR mil. * | 97,846 | 164,355 |
| Share * | 37.32% | 62.68% |
| Date | 31 December 2018 | |
| * End of month, at amortised cost | ||
Terminated programmes
On 10 May 2010, the central banks of the Eurosystem started purchasing securities in the context of the Securities Markets Programme (SMP), with a view to addressing the severe tensions in certain market segments which had been hampering the monetary policy transmission mechanism. Following a Governing Council decision on 6 September 2012 to initiate outright monetary transactions, the SMP was terminated. The existing securities in the SMP portfolio will be held to maturity. For details see the press release: Technical features of Outright Monetary Transactions; as well as ECB decision of 14 May 2010 ECB/2010/5 and the press release of 10 May 2010: ECB decides on measures to address severe tensions in financial markets.
With a view to leaving liquidity conditions unaffected by the programme, the Eurosystem re-absorbed the liquidity provided through the SMP by means of weekly liquidity-absorbing operations until June 2014. On 5 June 2014, the ECB suspended the weekly fine-tuning operations sterilising the liquidity injected by the programme and the last operation was allotted on 10 June 2014.
| SMP holdings* | |
|---|---|
| EUR mil. | 73,138 |
| Date | 25 January 2019 |
| * at amortised cost | |
| CBPP holdings* | |
|---|---|
| EUR mil. | 4,259 |
| Date | 25 January 2019 |
| * at amortised cost | |
On 2 July 2009, the Eurosystem launched its first covered bond purchase programme (CBPP1). The programme ended, as planned, on 30 June 2010 when it reached a nominal amount of €60 billion. The Eurosystem intends to hold the assets bought under this programme until maturity.
For details, see ECB decision of 2 July 2009 ( ECB/2009/16) as well as the press releases Purchase programme for covered bonds (4 June 2009) and Covered bond purchase programme completed (30 June 2010).
| CBPP2 holdings* | |
|---|---|
| EUR mil. | 4,019 |
| Date | 25 January 2019 |
| * at amortised cost | |
In November 2011, the Eurosystem launched a second covered bond purchase programme (CBPP2). The programme ended, as planned, on 31 October 2012 when it reached a nominal amount of €16.4 billion. The Eurosystem intends to hold the assets bought under this programme until maturity.
| Market | Primary | Secondary |
|---|---|---|
| EUR mil. * | 6,015 | 10,375 |
| Share * | 36.70% | 63.30% |
| Date | 31 October 2012 | |
| * at amortised cost | ||
For details, see ECB decision of 3 November 2011 ( ECB/2011/17) and the press release ECB announces details of its new covered bond purchase programme (CBPP2) (3 November 2011).
History of cumulative purchases breakdowns under the CBPP2