Asset purchase programmes

Reinvestment phase of the asset purchase programme

The Eurosystem currently reinvests principal payments from maturing securities purchased under the 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

APP cumulative net purchases, by programme

Eurosystem cumulative net asset purchases from 2015-2018, broken down by purchase programme type. Reinvestments from 2019.
  • The stock of Eurosystem APP bonds stood at EUR 2,648 bn as of end of September 2019, compared to EUR 2,650 bn as of end of December 2018.

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

Expected monthly redemption amounts for the APP over a rolling 12-month horizon (in EUR millions)
month ABSPP CBPP3 CSPP PSPP APP
Sep 19* 547 3,242 1,097 10,382 15,268
Oct 19 544 1,590 592 29,024 31,750
Nov 19 901 1,720 740 13,142 16,503
Dec 19 534 647 186 8,668 10,035
Jan 20 971 3,660 2,351 24,761 31,743
Feb 20 337 1,184 565 4,596 6,682
Mar 20 485 2,546 3,247 13,151 19,429
Apr 20 813 1,722 1,469 30,359 34,363
May 20 292 371 2,250 12,511 15,424
Jun 20 535 2,906 1,326 13,082 17,849
Jul 20 534 3,583 1,113 28,676 33,906
Aug 20 272 1,621 74 423 2,390
Sep 20 389 3,404 951 18,930 23,674
*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.

History of APP redemptions

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.

History of APP net asset purchases
Eurosystem asset purchase programme: monthly net asset purchases from Mar 2015 to Dec 2019, broken down by purchase programme type; purchase targets and actual monthly 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
Corporate sector purchase programme

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.

Securities purchased under the CSPP are made available for securities lending to support market liquidity and collateral availability in the market.

CSPP holdings*
EUR mil. 177,578
Date 18 October 2019
* End of week, at amortised cost

List of securities held under the CSPP*
* end of week

Breakdown of CSPP holdings*
Market: Primary Secondary
EUR mil. * 31,028 145,909
Share * 17.54% 82.46%
Date 30 September 2019
* 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: 14 October 2019

Public sector purchase programme

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.

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.

PSPP holdings*
EUR mil. 2,085,398
Date 18 October 2019
* End of week, at amortised cost
Breakdown of debt securities under the PSPP
Book value as of 30 September 2019 (EUR mn) Cumulative net purchases as of end December 2018* Monthly net purchases Cumulative net purchases* WAM of PSPP portfolio holdings end December 2018** Current WAM of PSPP portfolio holdings**
Austria 58,188 140 58,616 8.07 7.60
Belgium 73,367 -1,186 72,803 9.24 8.82
Cyprus 678 161 1,571 5.81 7.88
Germany 518,558 -1,028 518,108 6.31 6.31
Estonia 7 0 7 0.00 0.00
Spain 260,820 400 256,049 8.32 8.20
Finland 33,135 69 33,079 7.13 6.90
France 420,259 1,110 421,902 7.31 6.92
Ireland 30,130 175 31,786 8.84 8.36
Italy 365,353 -1,012 365,814 7.51 7.08
Lithuania 3,163 130 3,472 8.46 9.18
Luxembourg 2,612 24 2,672 4.91 4.17
Latvia 2,077 32 2,258 8.74 9.80
Malta 1,154 -42 1,141 10.56 10.56
The Netherlands 115,183 534 112,036 7.22 7.31
Portugal 36,845 406 39,513 7.80 7.69
Slovenia 7,947 33 8,049 10.55 10.17
Slovakia 11,684 76 12,219 9.07 8.67
Supranationals 230,118 578 230,701 7.47 7.11
Total 2,171,277 602 2,171,796 7.37 7.13
* 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 are reported net of redemptions.

During the reinvestment phase the Eurosystem will continue to adhere to the principle of market neutrality via smooth and flexible implementation. To this end, the reinvestment of principal redemptions will be distributed over the year to allow for a regular and balanced market presence (see press release on technical parameters for the reinvestment).

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.

PSPP weighted average maturities by jurisdictions (semi-annual)

History of cumulative purchase breakdowns under the PSPP

Asset-backed securities purchase programme

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.

ABSPP holdings*
EUR mil. 26,547
Date 18 October 2019
* End of week, at amortised cost
Breakdown of ABSPP holdings*
Market: Primary Secondary
EUR mil. * 14,538 11,241
Share * 56.39% 43.61%
Date 30 September 2019
* End of month, at amortised cost

History of cumulative purchases breakdowns under the ABSPP

Breakdown of ABSPP portfolio by rating, country of risk and collateral type (semi-annual) last update: 14 October 2019

Covered bond purchase programme 3

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.

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.

CBPP3 holdings*
EUR mil. 260,560
Date 18 October 2019
* End of week, at amortised cost
Breakdown of CBPP3 holdings*
Market: Primary Secondary
EUR mil. * 98,330 161,866
Share * 37.79% 62.21%
Date 30 September 2019
* End of month, at amortised cost

History of cumulative purchases breakdowns under the CBPP3

Breakdown of CBPP3 portfolio by rating and country of risk (semi-annual) last update: 14 October 2019

APP holdings

The table presents the Eurosystem holdings at the end of the month and a breakdown in the change of Eurosystem holdings.

Eurosystem holdings under the asset purchase programme
Changes of holdings (previous month) ABSPP CBPP3 CSPP PSPP APP
Holdings* in August 2019 25,813 261,068 177,409 2,088,811 2,553,100
Monthly net reinvestments -32 -407 -160 602 3
Quarter-end amortisation adjustment and redemptions of coupon STRIPS -2 -464 -312 -6609 -7387
Holdings* in September 2019 25,779 260,196 176,937 2,082,803 2,545,716
*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.

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. STRIPS are accounted for at the end of each month (see question 1.4 in the Q&A).

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.

Terminated programmes

Securities Markets Programme

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. 50,630
Date 18 October 2019
* at amortised cost
Covered bond purchase programme
CBPP holdings*
EUR mil. 2,843
Date 18 October 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).

Covered bond purchase programme 2
CBPP2 holdings*
EUR mil. 2,973
Date 18 October 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.

Breakdown of CBPP2 holdings*
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