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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 report their realized/realizable funding levels against swaps before 10.30 am CET every bank working day. Their report comprises maturities one to 10 years, as well as 12 and 15 years. After all banks transmitted their spreads, Average swap spreads for each maturity are 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 is executed at 11.00 am CET. The fixings for both curves are 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 are published on Reuters (VDPKURVE/1 and subsequent pages) and on the vdp’s website. Reuters also offers the vdp curve (Mortgage Pfandbrief) and vdp curve (Public Pfandbrief) as permanently updated real-time yield curves.
Additionally, German supra-regional newspapers such as Handelsblatt, and business news providers like Bloomberg or vwd publish the daily fixings for the vdp Pfandbrief curves.
All daily calculations for the vdp Pfandbrief curves are 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 is crucial to the instruments’ reliability and acceptance. The following measures are intended to assure a constantly high level of data quality :
- Reuters monitor – 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 distortions to the curve.
- The results of these constant quality checks are analyzed monthly by Reuters, who summarize them in a quality assurance 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 long-term quality of the vdp Pfandbrief curves.
Historical development of the Pfandbrief curves
The vdp began publishing the three vdp Pfandbrief curves on February 2, 2009: the vdp curce (Mortgage Pfandbrief) and the vdp curve (Public Pfandbrief) as well as the vdp Pfandbrief curve (old), which is made up of the two.
The maturities 12 and 15 years have been reported since August 1, 2005. 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.
