The Pfandbrief 2011 | 2012

vdp Initiative for the Improvement of Secondary Market Transparency
The aim of the secondary market initiative is to grant investors and other interested parties
access to information on Jumbo Pfandbrief spreads on the vdp website. An external service
provider calculates, for all Jumbo Pfandbriefe with a residual maturity of more than two years,
average spreads on the basis of spread reports received from the reporting banks (spread vs.
asset swap). The vdp plans to publish the data in tabular form and in the form of point clouds.
The banks report the relevant data to software and consulting company Moosmüller & Knauf,
with whom the Association already cooperates successfully in calculating the vdp Pfandbrief
curves. To prevent distortions, the two highest and lowest spread reports for each Jumbo
Pfandbrief are excluded from the calculation of the average spread. The test phase is proceeding
well. Ten banks already submit data on a regular basis. After going live, the number of
participating syndicate banks is to be increased to as many as 15 institutions.
In addition to the anticipated transparency requirements as part of the MiFID review, the
initiative will offer the possibility to use the data independently by giving investors an overview
of the entire Jumbo Pfandbrief market on just one Internet page. In order to further optimize
the quality of the spread reports during the test phase, and to integrate additional banks in the
calculation process while the test phase is still in progress, vdp plans to begin publishing the
Jumbo spreads until the end of the third quarter. Quality management will be performed on an
ongoing basis to ensure the reliability of the data supplied and the results published.
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