Calculation and basis for calculation

On every TARGET business day* between 17.15 and 18.15 CET, the participating banks report their mid-asset swap spreads for each Jumbo Pfandbrief and issues with min. issuance volume of 500m Euro outstanding with a residual life of more than one year. The spreads that are reported are used to calculate an average spread for each Pfandbrief issue. In order to avoid outliers, the highest and lowest two reported spreads are eliminated in each case, and the average spread is calculated as an arithmetic mean from the remaining spreads. These average spreads are then published in graph and tabular form on the vdp’s website. All daily calculations for the vdp secondary market data for Jumbo Pfandbriefe and issues with min. issuance volume of 500m Euro are conducted on behalf of the vdp by consultants Moosmüller & Knauf.

Quality assurance

Checks are made on a monthly basis of the reporting frequency and to ensure that the reported spreads are close to the market. A multi-stage procedure is carried out to guarantee the quality of the average spreads shown. If certain deviation limits are breached, the vdp’s Market Making Working Group can, as Quality Assurance Committee, take measures to assure the quality of the average secondary market spreads published.

* all days Monday-Friday except January 1, Good Friday, Easter Monday, May 1 and December 25-26
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