The Pfandbrief 2011 | 2012

The Pfandbrief Market 2010/2011
Financial Crisis Drives Development of Interest Rates and Spreads
From the historic low for ten-year Bunds of 2.1 % in August 2010, the yield moved back
up towards the 3% mark at the end of the year. During the first six months of 2011, it then
remained lodged at just over 3%. The debt crisis in Greece, which came to a head towards the
end of the second quarter, triggered only a limited safe-haven reaction, however, pushing the
yield on the 10-year Bund to just below 3%. The renewed flare-up of the sovereign debt crisis
around mid-2010 prompted only a limited reaction from Pfandbrief spreads. However, they
narrowed again at the beginning of 2011 and have since been largely stable vis-à-vis Bunds.
Pfandbrief Yields
in %
7
6
5
4
24
3
2
1
0
01. 1999
01. 2000
01. 2001
01. 2002
01. 2003
01. 2004
01. 2005
01. 2006
01. 2007
01. 2008
01. 2009
01. 2010
01. 2011
Maturity buckets: 1–3 y 3–5 y 5–7 y
Sources: Commerzbank, iBoxx
The widening of spreads in eurozone peripheral states was disproportionately greater. Investors’
focus on sovereign credit risks dominated also the movements on the covered bond
markets Neuemission and contributed to paving the 1. way Halbjahr for the 2010 strong spread differentiation 1. Halbjahr on 2009 the covered
Hypothekenpfandbrief*
bond market. The rally by government bonds of individual peripheral states, which took hold
in early 2011, led to a certain recovery Namens- in the Inhaber- case of the respective Namens- covered bonds, Inhaber- too. As
pfandbrief pfandbrief Gesamt pfandbrief pfandbrief gesamt
concern grew about the extent of, and the lack of a prospect of stabilization of, the Greek sovereign
< 1 Jahr debt and its impact on other 0,0% peripheral 6,6% states, spreads 6,6% widened 0,1% again in 1,7% these countries.
1 bis unter It may 3 J. be seen that, as the country 0,5% credit 12,4% rating falls, 12,9% so the spread 0,7% between 14,1% the respec-
14,8%
1,8%
tive 3 bis government unter 5 J. paper and covered 1,3% bonds tightens. 40,6% In 41,9% isolated cases, 2,2% covered 20,7% bonds have 22,9%
even 5 bis unter been 10 priced J. higher than corresponding 3,3% 22,7% maturities 26,0% of government 11,5% paper. 18,0% 29,5%
10 J. und darüber 7,8% 4,9% 12,6% 25,4% 5,6% 31,0%
gesamt 12,8% 87,2% 100,0% 39,9% 60,1% 100,0%
* inkl. Schiffspfandbriefe
Quelle: vdp Erhebungen