Basis and calculation of the curves
In order to calculate the vdp Mortgage Pfandbrief curve and the vdp Public Pfandbrief curve every trading day, the vdp members engaged in the underlying business reported their realized/realizable funding levels against swaps before 10.30 am CET every bank working day. Their report comprised maturities one to 10 years, as well as 12 and 15 years. After all banks transmitted their spreads, Average swap spreads for each maturity were then calculated on the basis of these reported spreads.
In the second step, based on the ISDA swap fixing, the fixing of the vdp Mortgage Pfandbrief and Public Pfandbrief curves were executed at 11.00 am CET. The fixings for both curves were weighted with the shares of Mortgage Pfandbriefe and Public Pfandbriefe of the overall volume of Pfandbriefe outstanding according to the monthly report of the Deutsche Bundesbank to calculate the yields for the vdp Pfandbrief curve (old).
Next, the fixing data of all three curves were published on Reuters (VDPKURVE/1 and subsequent pages) and on the vdp’s website. Reuters also offered the vdp curve (Mortgage Pfandbrief) and vdp curve (Public Pfandbrief) as permanently updated real-time yield curves.
Additionally business news providers like Bloomberg or vwd published the daily fixings for the vdp Pfandbrief curves.
All daily calculations for the vdp Pfandbrief curves were carried out by Moosmüller & Knauf.
Chart: Daily determination of the vdp Pfandbrief curves
Assuring the quality of the vdp Pfandbrief curves
Quality assurance of the collected data was crucial to the instruments’ reliability and acceptance. The following measures assured a constantly high level of data quality :