The Pfandbrief 2011 | 2012

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Effects of Basel III on the Pfandbrief-based lending business Dirk Auerbach | KPMG AG 28
As a reaction to the problems and regulatory weak spots that have been identified since the onset of the financial crisis in 2007, a series of domestic and international regulatory initiatives have been introduced to increase the resilience of the banking industry. The most recent and, presumably, most significant of these initiatives resulted in the new capital and liquidity requirements developed by the Basel Committee on Banking Supervision (“Basel III”), the final version of which was presented in December 2010. Basel III provides for major adjustments to Basel II, but retains its predecessor’s basic regulatory design. The adjustments include tougher requirements for the quality and quantity of regulatory capital, as well as higher capital charges for certain risk positions, especially counterparty default risks. In addition, Basel III provides for the introduction of a non-risk-based leverage ratio, as well as quantitative, minimum short-term and medium-term liquidity standards. At the European level, the Basel III regulations are to be implemented as part of a draft amending directive (CRD IV) that ushered in the European legislative process in July 2011 and has been forwarded on to the European Council and the European Parliament for review. This paper will discuss the reforms to regulatory capital requirements proposed under Basel III that are relevant to the Pfandbrief business and the impact these are expected to have on Pfandbrief cover business. In addition, the paper will touch briefly on the planned EU revision of the potentially privileged treatment of mortgage loans which, while not part of the Basel III regulatory framework, is expected to be implemented along with Basel III as part of the CRD IV amendment package. The new liquidity requirements under Basel III will also be discussed briefly. 29 Basel III – Selected amendments Regulatory capital and solvency Adjustment to regulatory capital definitions and capital ratios In order to increase the loss-absorbing capacity and, consequently, the resilience of the banking sector, the Basel III regulatory framework proposes above all a significant increase in the quality and the quantity of regulatory capital. At the same time, a new, principles-based definition of regulatory capital components (that is therefore largely independent of the legal form) is intended to lead to greater international standardisation of minimum capital requirements.
Page 1 and 2: The Pfandbrief 2011 | 2012 Facts an
Page 3 and 4: The Association of German Pfandbrie
Page 5 and 6: Member Institutions of vdp 84 Aarea
Page 7 and 8: Jan Bettink | president framework i
Page 9 and 10: Pfandbriefe are covered interest-be
Page 11 and 12: the special supervision of Pfandbri
Page 13 and 14: Claims against Public-Sector Entiti
Page 15 and 16: are not eligible as cover. These re
Page 17 and 18: and to meet liquidity management co
Page 19 and 20: Ring-Fencing of the Cover Pools The
Page 21 and 22: all. Instead, they are part of the
Page 23 and 24: In changeable times, investors look
Page 25 and 26: Monthly sales of new issues in 2010
Page 27 and 28: Pfandbrief-Bund-Spreads in % 200 18
Page 29: vdp Initiative for the Improvement
Page 33 and 34: The The significance of common equi
Page 35 and 36: waiving exemption from retroactive
Page 37 and 38: For banks specialising in public se
Page 39 and 40: Solvency II is intended to reform t
Page 41 and 42: Spread and counterparty risk The eq
Page 43 and 44: Counterparty default risk Mortgage
Page 45 and 46: liabilities and which plan to optim
Page 47 and 48: “Benchmarks” are reference or c
Page 49 and 50: account of its macro strategy, has
Page 51 and 52: iBoxx COVERED BOND INDICES (JUNE 20
Page 53 and 54: EuroMTS Index The EuroMTS Covered B
Page 55 and 56: eb.rexx INDEX FAMILY eb.rexx Overal
Page 57 and 58: The question of the ETF’s replica
Page 59 and 60: Cover Ausgehend assets von from ein
Page 61 and 62: Michael Schulz, NordLB; Bodo Winkle
Page 63 and 64: BW: The German mortgage lending val
Page 65 and 66: What, in your opinion, will investo
Page 67 and 68: The fallout of the financial and ec
Page 69 and 70: cue fund, first and second economic
Page 71 and 72: Latest Developments on the Rental M
Page 73 and 74: Driven by such healthy fundamentals
Page 75 and 76: Residential Properties The German r
Page 77 and 78: It is time for new priorities in th
Page 79 and 80: explain the new assumptions and the
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tion in the industry outlook in one
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Reduce the Significance of External
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84 Aareal Bank | Wiesbaden 86 Bayer
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Aareal Bank AG Paulinenstrasse 15 6
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BayernLB Brienner Strasse 18 80333
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Berlin-Hannoversche Hypothekenbank
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Bremer Landesbank Kreditanstalt Old
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COREALCREDIT BANK AG Corealcredit H
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DekaBank Deutsche Girozentrale Main
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Deutsche Apotheker- und Ärztebank
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Deutsche Genossenschafts-Hypotheken
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Deutsche Hypothekenbank (Actien-Ges
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Deutsche Kreditbank AG Taubenstrass
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Deutsche Pfandbriefbank AG Freising
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Deutsche Postbank AG Friedrich-Eber
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Deutsche Schiffsbank AG Domshof 17,
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Dexia Kommunalbank Deutschland AG C
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Düsseldorfer Hypothekenbank AG Ber
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DVB Bank SE Platz der Republik 6 60
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Eurohypo Aktiengesellschaft Helfman
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Hamburger Sparkasse AG Adolphsplatz
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HSH Nordbank AG Gerhart-Hauptmann-P
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ING-DiBa AG Theodor-Heuss-Allee 106
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Kreissparkasse Köln Neumarkt 18 -
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Landesbank Baden-Württemberg Am Ha
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Landesbank Berlin AG Alexanderplatz
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Landesbank Hessen-Thüringen (Helab
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M.M.Warburg & CO Hypothekenbank AG
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Münchener Hypothekenbank eG Karl-S
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Nord/LB Norddeutsche Landesbank Gir
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SaarLB Landesbank Saar Ursulinenstr
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SEB AG Ulmenstrasse 30 60325 Frankf
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Sparkasse KölnBonn Hahnenstrasse 5
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UniCredit Bank AG (former Bayerisch
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VALOVIS BANK AG Theodor-Althoff-Str
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Westdeutsche ImmobilienBank AG Gros
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WestLB AG Herzogstrasse15 40217 Dü
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WL BANK AG Westfälische Landschaft
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Wüstenrot Bank AG Pfandbriefbank H
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IKB Deutsche Industriebank AG Wilhe
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Other Pfandbrief Issuers 2010 As at
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Moody’s rating for a covered bond
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Topics covered in 1996 - 2010 1996
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2006 — The Pfandbrief Market 2005
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167
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Head Office Brussels Office Liaison
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