The Pfandbrief 2011 | 2012

Pfandbriefe in Securities Indices – Current Trends and Applications
Morningstar
The Morningstar European Covered Bond Index is based on UCITS 22(4). In addition, Morningstar
sets the following criteria:
Minimum volume of EUR 1 billion
Minimum remaining time to maturity of one year
However, the index definition shows certain inconsistencies, in that UCITS 22(4) is established
as a criterion while the criterion of a bank-issued bond is softened. The criteria are satisfied if
investors can hold the bank acting in the background liable “in some other way”. This includes
the possibility of using as issuer a securitisation vehicle that is guaranteed by a bank.
MORNINGSTAR INDEX FAMILY
Morningstar European Core Bond Indizes
Eurozone Core Bond
UK Core Bond
52
Eurozone Government
Eurozone Corporate
UK Government
UK Corporate
Eurozone
Covered Bond
Sources: Morningstar, UniCredit Research
eb.rexx
The eb.rexx family of indices depicts the market for fixed-income bonds denominated in Euro
and traded on the Eurex Bonds platform. The index is calculated by the Deutsche Börse. The
eb.rexx indices cover the most liquid bonds from the sovereign bonds (“Government”) segment,
the asset-covered issues (“Collateralized”) segment, as well as the sovereign-guaranteed
bonds (“Sub-Sovereigns”) segment, traded on the Eurex Bonds platform. These fixed-income
securities are aggregated in the eb.rexx Overall index. The indices are further subdivided into
the respective segments Government and Non-Government. The Non-Government segment
basically comprises Jumbo Pfandbriefe issues, sovereign bonds, as well as bonds from other
issuers. It is further subdivided into the segments Collateralized and Sub-Sovereigns. Overall
indices as well as the following maturity buckets are calculated and distributed for any index
involved: 1 month - 1 year, 1.5 – 2.5 years, 2.5 – 5.5 years, 5.5 – 7.5 years, 7.5 – 10.5 years,
5.5 – 10.5 years, and more than 10.5 years. The eb.rexx Jumbo Pfandbriefe index comprises
the 25 most liquid Jumbo Pfandbriefe issues (at most five bonds per issuer) with a remaining
time to maturity 1.5 to 10.5 years. The weight of any issuer in the eb.rexx Jumbo Pfandbriefe
indices is limited to 20% by market capitalisation. The eb.rexx Jumbo Pfandbrief index enjoys
a certain amount of prominence, in that it underlies the largest ETF based on Pfandbriefe.