More Transparency for Real Estate Customers

The German Pfandbrief Banks use the vdp-Pfandbrief Curve to offer additional transparency concerning their mortgage loan conditions. Due to the daily fixing of the vdp-Pfandbrief Curve, mortgage customers can obtain a helpful overview regarding the Pfandbrief Banks’ terms of refinancing at the capital market for mortgage loans eligible for Pfandbrief cover. Commercial customers especially benefit from this offer, because it advances the understandability of interest rates, which are individually agreed upon between them and the banks.

Calculation of the vdp-Pfandbrief Curve

In order to calculate the vdp-Pfandbrief Curve all vdp members report their realized/realizeable funding levels against swaps before 10.30 am CET on every trading day. Their report comprises maturities between one and 15 years. After all banks transmitted their spreads, average swap spreads for each maturity are calculated.

Based on the ISDA swap fixing the fixing of the vdp-Pfandbrief Curve is executed at 11.00 am CET. The fixing’s results are published on Reuters (VDPKURVE/1), on the vdp’s website (www.pfandbrief.de) and German supra-regional press, such as Handelsblatt. Reuters also offers the vdp-Pfandbrief Curve as a permanently updated real time yield curve.

The calculation of the vdp-Pfandbrief Curve is carried out by Moosmüller & Knauf.

Quality Assurance of the vdp-Pfandbrief Curve

Quality assurance of the collected data is a key aspect concerning the instrument’s reliability and acceptance. The following measures have been installed to assure a constantly high data quality:

Reuters monitors – on a daily basis - the volatility and up-to-datedness of the spreads reported by the vdp member banks. Mavericks are eliminated in order to prevent possible falsifications.

The results of Reuters’ constant quality checks are analysed monthly and summarised in a quality report. This report is examined by a committee of experts from vdp members. The Quality Assurance Committee decides – if necessary – about measures, to ensure the vdp-Pfandbrief Curve’s quality in the long run.