Asset purchase programmes

The Eurosystem will temporarily halt APP purchases (PSPP, CBPP3, CSPP and ABSPP) from 19 December to 31 December 2019, inclusive, in anticipation of significantly lower market liquidity towards the end of the year and in order to reduce possible market distortions. Purchases will resume on 2 January 2020.
The APP securities lending facilities of the Eurosystem will remain operational on all days other than TARGET closing days in December and 1 January 2020.

The ECB’s Asset Purchase Programme (APP) is part of a package of non-standard monetary policy measures that also includes targeted longer-term refinancing operations, and which was initiated in mid-2014 to support the monetary policy transmission mechanism and provide the amount of policy accommodation needed to ensure price stability.
It consists of the

APP net purchases, by programme

Between October 2014 and December 2018 the Eurosystem conducted net purchases of securities under one or more of the asset purchase programmes. During the net asset purchase phase, monthly purchase pace averaged:

  • €60 billion from March 2015 to March 2016
  • €80 billion from April 2016 to 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 January 2019 and October 2019, the Eurosystem fully reinvested the principal payments from maturing securities held in the APP portfolios. The Governing Council aimed 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.

On 12 September 2019 the ECB Governing Council decided that “net purchases will be restarted under the Governing Council’s asset purchase programme (APP) at a monthly pace of €20 billion as from 1 November 2019. The Governing Council expects them to run for as long as necessary to reinforce the accommodative impact of its policy rates, and to end shortly before it starts raising the key ECB interest rates.”

Monthly APP

Note: The average monthly APP targets were first set by the ECB Governing Council at the beginning of the PSPP in March 2015.

In addition, reinvestments of the principal payments from maturing securities purchased under the APP will continue, in full, for an extended period of time past the date on which the Governing Council begins to raise 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 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 October 2019 26,925 260,755 177,096 2,082,106 2,546,883
Monthly net purchases 1,265 2,448 5,917 14,478 24,109
Quarter-end amortisation adjustment and redemptions of coupon STRIPS 0 0 0 0 0
Holdings* in November 2019 28,191 263,203 183,014 2,096,584 2,570,992
*At amortised cost, in EUR millions, at month-end.
Figures may not add up due to rounding. Figures are preliminary and may be subject to revision.

Amortisation adjustment 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, and revalued downwards over time, if purchased at prices above face value. 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.

APP cumulative net purchases, by programme

The stock of Eurosystem APP bonds stood at €2,673 billion at the end of November 2019. The cumulative net purchases are illustrated below.

Eurosystem cumulative net asset purchases from 2015-2018, broken down by purchase programme type. Reinvestments from 2019.

APP redemptions

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 through time to allow for a regular and balanced market presence.

The table presents estimated monthly redemptions for the next 12 months.

Expected monthly redemption amounts for the APP over a rolling 12-month horizon (in EUR millions)
month ABSPP CBPP3 CSPP PSPP APP
Nov 19* 944 1,720 688 10,669 14,020
Dec 19 668 647 186 8,668 10,169
Jan 20 1,055 3,660 2,150 24,761 31,626
Feb 20 409 1,184 565 4,596 6,754
Mar 20 584 2,546 2,467 13,151 18,748
Apr 20 913 1,722 1,469 30,378 34,482
May 20 366 371 2,250 12,511 15,498
Jun 20 640 2,906 1,215 13,082 17,843
Jul 20 679 3,583 1,134 28,688 34,084
Aug 20 349 1,621 74 423 2,467
Sep 20 489 3,404 961 18,930 23,784
Oct 20 717 7,091 824 25,315 33,947
Nov 20 549 4,588 2,411 20,824 28,372
*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

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 continued to reinvest the principal payments from maturing securities held in the CSPP portfolio. As of 1 November 2019 the Eurosystem restarted net purchases under the CSPP.

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. 183,611
Date 6 December 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. * 33,044 149,970
Share * 18.06% 81.94%
Date 30 November 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

The Eurosystem conducted net purchases of public sector securities under the public sector purchase programme (PSPP) between 9 March 2015 and 19 December 2018. As of January 2019, the Eurosystem continued to reinvest the principal payments from maturing securities held in the PSPP portfolio. As of 1 November 2019 the Eurosystem restarted net purchases under the PSPP.

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

Since 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 continue to guide the net purchases.

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

PSPP holdings*
EUR millions 2,098,407
Date 6 December 2019
* End of week, at amortised cost
Breakdown of debt securities under the PSPP
Book value as of 30 November 2019 (EUR mln) 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 58,188 649 58,871 8.07 7.66
Belgium 73,367 730 73,887 9.24 8.66
Cyprus 678 146 1,818 5.81 8.46
Germany 518,558 5,633 526,405 6.31 6.31
Estonia 7 0 7 0.00 0.00
Spain 260,820 2,958 258,422 8.32 8.20
Finland 33,135 220 33,688 7.13 6.73
France 420,259 151 419,904 7.31 7.01
Ireland 30,130 430 32,221 8.84 8.30
Italy 365,353 992 363,820 7.51 7.15
Lithuania 3,163 76 3,630 8.46 9.42
Luxembourg 2,612 31 2,706 4.91 4.04
Latvia 2,077 10 2,316 8.74 10.41
Malta 1,154 2 1,150 10.56 10.43
The Netherlands 115,183 526 114,155 7.22 7.25
Portugal 36,845 530 40,673 7.80 7.65
Slovenia 7,947 45 8,168 10.55 9.99
Slovakia 11,684 97 12,427 9.07 8.54
Supranationals 230,118 1,253 231,308 7.47 7.14
Total 2,171,277 14,478 2,185,576 7.37 7.15
* 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.
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; as well as 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 continued to reinvest the principal payments from maturing securities held in the ABSPP portfolio. As of 1 November 2019 the Eurosystem restarted net purchases under the ABSPP.

ABSPP holdings*
EUR mil. 28,493
Date 6 December 2019
* End of week, at amortised cost
Breakdown of ABSPP holdings*
Market: Primary Secondary
EUR mil. * 15,766 12,425
Share * 55.93% 44.07%
Date 30 November 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 continued to reinvest the principal payments from maturing securities held in the CBPP3 portfolio. As of 1 November 2019 the Eurosystem restarted net purchases under the CBPP3.

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. 263,660
Date 6 December 2019
* End of week, at amortised cost
Breakdown of CBPP3 holdings*
Market: Primary Secondary
EUR mil. * 99,776 163,427
Share * 37.91% 62.09%
Date 30 November 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

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 2010ECB/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. 47,812
Date 6 December 2019
* at amortised cost
Covered bond purchase programme
CBPP holdings*
EUR mil. 2,151
Date 6 December 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. 2,911
Date 6 December 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