Spread data Jumbo Pfandbriefe and issues from min. 500m Euro

On this page the vdp offers you an overview, updated every trading day, of the secondary market levels of a large part of the Jumbo Pfandbrief and issues with min. issuance volume of 500m Euro market. Indicative average spreads are shown in graph and tabular form for each Pfandbrief issue outstanding with a residual life of more than one year.

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A different symbol denotes the issues of each Pfandbrief issuer. In the chart, the Jumbo Pfandbriefe and issues with min. issuance volume of 500m Euro of an individual issuer can be hidden and shown again by clicking on the respective issuer in the legend. When you position the cursor on a certain point (symbol for a Pfandbrief outstanding) in the coordinates system, important details regarding that particular issue will be shown. The spread is calculated on the basis of mid-asset swap versus 6-month Euribor.

Download

current spread-data as XLSX

spread-data since 2nd January 2024 as CSV

Brief description of the method for calculating the 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 participating banks report every trading day within a given time window a spread on the basis mid-asset swap versus 6-month Euribor. A clearly defined procedure is used to calculate an average secondary market spread every trading day for each involved Pfandbrief. This spread is then published on the vdp’s website.

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.

The following institutions deliver indicative spreads:

• Barclays Capital
• Bayern LB
• BNP Paribas
• Commerzbank
• Credit Agricole
• Deka Bank
• DZ Bank
• HSBC
• Hypo Vereinsbank
• J.P.Morgan
• Natixis
• Nord LB
• Santander
• Societe Generale

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

Disclaimer

The vdp and the banks that participate in the compilation of the average spreads as part of the “vdp Secondary Market Transparency Initiative” – referred to in the following as “average spreads” – assume no guarantee, warranty or liability, for whatever reason, for the correctness, accuracy, topicality, completeness, appropriateness or the suitability for any purpose to third party of any of the average spreads published on the vdp’s internet pages. The vdp and the banks that participate in the Secondary Market Transparency Initiative bear no responsibility for any actions or omissions whatsoever that may result directly or indirectly from the use of or reference to the average spreads. The vdp and the banks that participate in the Secondary Market Transparency Initiative (see above) exclude all liability for any damage or loss resulting from, directly or indirectly, the use of or from reference to the average spreads. The average spreads are intended for informational purposes only. They do not constitute any recommendation to purchase or to sell any securities or investment, nor are they to be construed as an assurance or indication that any developments or forecasts will be realized. The average spreads respectively the vdp-Secondary Market Transparency Initiative are not representing a benchmark according to the European Regulation (EU) 2016/1011 (EU-Benchmark-Regulation). To usage of the spreads for a purpose which would lead to a qualification as a benchmark is explicitly not permitted. The vdp reserves the right to modify, limit or discontinue the vdp Secondary Market Transparency Initiative at any time or, subject to compliance with law and regulation, to charge for its publication.