The Pfandbrief 2011 | 2012

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Quo vadis? The regulatory treatment of Pfandbriefe under Solvency II Mathias Christoph Köhne | Gothaer Finanzholding AG 36
Solvency II is intended to reform the system of insurance regulation currently in place in Europe (Solvency I). The aim is to establish a risk-based and market-oriented system in order to further improve the supervision of the risk-bearing capacity of European insurance companies – and thus to better protect consumers. The Solvency II Framework Directive was adopted in the EU Parliament on 22 April 2009 and by the European Council on 10 November 2009. On 17 December 2009, it was finally published in the Official Journal of the European Union (EU). The Directive will be given concrete form through “delegated acts” and implementing acts. These acts must be approved before the planned start date of Solvency II on 1 January 2013 in order to ensure the coherent implementation of the new supervisory regime. The new supervisory regime in the insurance sector is based on three pillars. The first pillar involves capital adequacy for insurers. A standardised approach will be applied to determine an insurer’s capital adequacy, which can then be used in future to determine its capital requirements. The alternative to this standardised approach is an internal risk model recognised by the supervisory authorities, which must be developed separately for each undertaking. The European Commission and the European supervisory authority, EIOPA, have made use of a number of studies to review the impact of drafts of the standardised approach. The most recent impact study was QIS5, which was carried out across Europe in autumn 2010. The quantitative approach of the first pillar is complemented by the qualitative risk management requirements placed on insurers by the second pillar, as well as the corresponding reporting requirements of the third pillar. This paper presents an introduction to the classification system of Solvency II. The focus is on the calculation of capital requirements using the standardised approach laid down in the first pillar. This highlights critical issues concerning Pfandbriefe. Pfandbriefe play a major role in investments made by German insurers: around one-quarter of their total investments as at the end of 2010 were in this product group. The future supervisory treatment of the Pfandbrief established by the delegated acts and implementing acts is therefore of clear interest to investors. This paper largely ignores the second and third pillars of Solvency II. Seit 2003 nahm die Taktzahl der Novellierungen des Rechtsrahmens für die Pfandbriefemittenten deutlich zu: die Abschaffung der Gewährträgerhaftung und die Modifizierung der Anstaltslast, die zunehmende Bedeutung gemischter gegenüber reinen Hypothekenbanken, die Internationalisierung des Pfandbriefabsatzes und der aufkommende Wettbewerb mit ausländischen Covered Bonds waren wesentliche Beweggründe des Gesetzgebers für die Schaffung des Pfandbriefgesetzes, das Hypothekenbankgesetz, Öffentliches Pfandbriefgesetz sowie das Schiffsbankgesetz im Jahr 2005 auf sich vereinte und grundlegend neu gestaltete. Über die Abkehr vom Spezialbankprinzip hinaus wurden weitere Neuerungen wie eine verbesserte Regulierung der Überdeckungsanforderungen, Transparenzvorschriften des § 28 PfandBG sowie Anforderungen an das Liquiditätsmanagement der Deckungsmassen in das Gesetz aufgenommen. Diese Maßnahmen wurden ermöglicht bzw. maßgeblich flankiert durch die Schaffung der Rolle des Sachwalters im Jahr zuvor, durch den die insolvenzrechtliche Abschottung der Deckungsmassen perfektioniert wurde. Im Folgenden werden die praktischen und gesetzlichen Anforderungen an das Deckungsgeschäft einer Pfandbriefbank im aktuellen regulatorischen Umfeld beschrieben und am Beispiel einer zentralen Organisation des Deckungswesens gezeigt, wie diesen Anforderungen in der Praxis Rechnung getragen werden kann. 37
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 and 30: vdp Initiative for the Improvement
Page 31 and 32: As a reaction to the problems and r
Page 33 and 34: The The significance of common equi
Page 35 and 36: waiving exemption from retroactive
Page 37: For banks specialising in public se
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
Page 81 and 82: tion in the industry outlook in one
Page 83 and 84: Reduce the Significance of External
Page 85 and 86: 84 Aareal Bank | Wiesbaden 86 Bayer
Page 87 and 88: Aareal Bank AG Paulinenstrasse 15 6
Page 89 and 90:
BayernLB Brienner Strasse 18 80333
Page 91 and 92:
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
Page 149 and 150:
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
Page 171:
Head Office Brussels Office Liaison
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