<strong>Pfandbrief</strong>e in Securities Indices – Current Trends and Applications Franz Rudolf, Florian Hillenbrand | Unicredit Bank AG 44
“Benchmarks” are reference or comparative values used for measuring performance and are expressed in the form of an indicator. Similarly, “benchmarking” describes the continuous methodical comparison, for example, of pre-defined performance against the performance of the benchmark. In so doing, it must be determined which benchmark is to be used (e.g. iBoxx EUR German Covered Bonds or indices with a certain maturity band, e.g. 3-5 years) and which indicators are to be used to determine performance (e.g. total return or absolute spread performance). Establishment of the benchmark is of particular importance here. From the investor standpoint, the respective investment guidelines are particularly to be taken into account when selecting the “correct” benchmark. In addition to volume criteria (e.g. >EUR 1 billion), these might include, in particular, ratings criteria (e.g. only AAA-rated covered bonds or only covered bonds of issuers with a specified minimum rating), country allocation criteria (e.g. only the Eurozone), or criteria relating to the corresponding legal framework (e.g. only covered bonds subject to special laws on covered bonds). This gives rise to a variety of possible combinations, which in some cases are implemented in such a way that existing indices are modified for the individual investor, thus creating an individual benchmark. In our case, benchmarking involves the comparative evaluation of the investment performance of a specified <strong>Pfandbrief</strong>/covered bond against the performance of the respective covered bond index. 45 Clarification of Benchmark By way of clarification, we would like to point out that in the world of covered bonds, the term “benchmark” is often used as a shorthand for the criterion of issuance volume. With the introduction of the Jumbo <strong>Pfandbrief</strong> in 1995, which had a minimum issuance volume of DM 1 billion, and continuation of the brand with the Jumbo Covered Bond, which has a minimum issuance volume of EUR 1 billion, the term “benchmark covered bond” is often associated with this. Over the past 18 months, the volume-based term has now been extended, with market acceptance, to include covered bonds with a minimum issuance volume of EUR 500 million. 2003 This is nahm also die evident Taktzahl in the der current Novellierungen discussion des of whether, Rechtsrahmens for example, für die the <strong>Pfandbrief</strong>- criterion of the Seit emittenten iBoxx Covered deutlich Bond zu: Index die Abschaffung regarding minimum der Gewährträgerhaftung issuance volume should und die be Modifizierung changed from der EUR Anstaltslast, 1 billion to EUR die zunehmende 500 million. In Bedeutung addition to gemischter such aspects gegenüber as secondary reinen market Hypothekenbanken, liquidity, die significance Internationalisierung of bond volume des is <strong>Pfandbrief</strong>absatzes also illustrated by und the relationship der aufkommende to the topic Wettbewerb at hand, mit i.e. ausländischen significance Covered of securities Bonds indices, waren since wesentliche lowering Beweggründe the minimum des issuance Gesetzgebers volume für for die the Schaf- iBoxx the fung Index des would <strong>Pfandbrief</strong>gesetzes, result in the addition das Hypothekenbankgesetz, of (currently) 113 covered Öffentliches bonds with <strong>Pfandbrief</strong>gesetz a volume of EUR sowie 74 das million. Schiffsbankgesetz When we use “benchmark” im Jahr 2005 in auf this sich article, vereinte we und are referring grundlegend to affiliation neu gestaltete. with an Über index. 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 <strong>Pfandbrief</strong>bank im aktuellen regulatorischen Umfeld beschrieben und am Beispiel einer zentralen Organisation des Deckungswesens gezeigt, wie diesen Anforderungen in der Praxis Rechnung getragen werden kann.
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