The Pfandbrief 2011 | 2012

Pfandbriefe in Securities Indices – Current Trends and Applications
drawal or new investment of money. Following the calculation of the PEX rate index, price
changes and interest earnings are totalled. The reinvestment of interest earnings takes place
across the entire portfolio, i.e. cash flow is allocated to all securities in accordance with constant
weightings.
PEX YIELDS FOR 3, 5, 7, AND 10 YEAR MATURITY BANDS
10
9
8
7
6
5
4
3
2
1
0
3 y 5 y 7 y 10 y
48
12.4.1987
12.4.1989
12.4.1991
12.4.1993
12.4.1995
12.4.1997
12.4.1999
12.4.2001
12.4.2003
12.4.2005
12.4.2007
12.4.2009
Sources: Deutsche Börse, UniCredit Research
iBoxx Indices
The iBoxx-brand family of indices was developed with the aim of establishing benchmarks for
the Euro and Sterling bond markets. The iBoxx € Covered Index is part of the iBoxx € Collateralized
Index (top-level index). Since 2003, iBoxx has set up various covered bond sub-indices.
The criteria for the inclusion of bonds are based on type of bond, rating, remaining time to
maturity, and outstanding volume. In the case of covered bonds, this means an investmentgrade
rating, a remaining time to maturity of at least one year, and an outstanding volume of
(currently) EUR 1 billion. In this regard, covered bonds are defined as bonds that meet the
requirements of UCITS 22.4 or similar directives. In addition, covered bonds may also qualify
if they have a structure that the market perceives as being a typical covered-bond structure.
The criteria taken into account by the Technical Committee are structure, trading patterns,
issuance process, liquidity, and spread levels. Currently, there are covered-bond sub-indices
for Austria, Canada, France (France Covered Legal and France Covered Structured), Germany
(mortgage Pfandbriefe and sovereign Pfandbriefe), Ireland, Italy, the Netherlands, Norway,
Spain (Multi Cedulas and Single Cedulas), Portugal, Sweden, the United Kingdom, and the
U.S. The covered bonds for all other countries are contained in the Other Covered sub-index.
In addition to sub-indices according to country, iBoxx also provides covered-bond indices
according to maturity bands: 1-3 years, 3-5 years, 5-7 years, 7-10 years, and more than 10
years. The subdivision by maturity is provided for iBoxx Covered as well as for the countries
of Germany, France, and Spain. In addition, iBoxx provides sub-indices by ratings category:
iBoxx € Covered AAA, iBoxx € AA, and iBoxx € A. Due to its having numerous sub-indices,
iBoxx Covered achieves a very high degree of detail.