Basis and calculation of the curves

Historical development of the Pfandbrief curve(s)

Publication of the vdp Pfandbrief curves was discontinued on April 1, 2014. For more info, click here.

Between February 2, 2009 and March 31, 2014 the vdp published three vdp Pfandbrief curves: the vdp curve (Mortgage Pfandbrief) and the vdp curve (Public Pfandbrief) as well as the vdp Pfandbrief curve (old), which was made up of the two.

The maturities 12 and 15 years had been reported since August 1, 2005. From April 1, 2003 up until July 31, 2005, the Pfandbrief banks belonging to the vdp reported, every bank working day, their realized/realizable funding levels against swaps for the maturities 1 to 10 years by 10.30 CET at the latest.

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 :

  • Moosmüller & Knauf monitored – on a daily basis - the volatility and up-to-datedness of the spreads reported by the vdp member banks. Mavericks were eliminated in order to prevent possible distortions to the curve.
  • The results of these constant quality checks were analyzed monthly by Moosmüller & Knauf, who summarized them in a quality assurance report.
  • This report was examined by a committee of experts from vdp members. The Quality Assurance Committee decides – if necessary – about measures, to ensure the long-term quality of the vdp Pfandbrief curves.

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