By Ralf Werner, Manuela Spangler
ISBN-10: 331902552X
ISBN-13: 9783319025520
ISBN-10: 3319025538
ISBN-13: 9783319025537
The Pfandbrief, a regularly triple-A rated German financial institution debenture, has turn into the blueprint of many lined bond versions in Europe and past. The Pfandbrief is collateralized by means of long term resources resembling estate mortgages or public zone loans as stipulated within the Pfandbrief Act.
With a historical past that is going again to the 18th century and a excessive industry percentage in today’s coated bond markets, the German Pfandbrief is the main proven lined bond. until eventually at the present time, no unmarried Pfandbrief has ever defaulted.
Even even though Pfandbriefe have survived the monetary trouble comparably unhurt, traders became extra delicate concerning the creditworthiness of the corresponding supplier and sovereign, the power of the criminal (or contractual) framework and the standard of the canopy pool serving as collateral.
This monograph offers a established in-depth research of the criminal framework and the hazards inherent in a Pfandbrief, bearing in mind fresh marketplace advancements. ranging from the criminal framework, the German Pfandbrief is brought with no requiring earlier wisdom. lined bond comparable dangers are defined intimately and their relevance to the Pfandbrief is carefully mentioned with concentrate on the 2 commonest Pfandbrief forms, loan and public Pfandbriefe. as well as that, the monograph comes with an intensive selection of Pfandbrief-related literature and a thesaurus explaining the most technical terms.
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Extra resources for German Covered Bonds: Overview and Risk Analysis of Pfandbriefe
Example text
Even though asset credit risk is limited to a considerable extent, it is still present: • The buffer provided by the 60 % mortgage lending limit is itself subject to risk (real estate risk). For more details, see Sect. 7. • As pointed out by Packmohr (2011), there is no restriction with respect to the creditworthiness of EU sovereign debt, and countries that are subject to default or restructuring do not have to be excluded from the cover pool. While mortgage cover assets still benefit from a claim against a real estate property in case the debtor defaults, public sector cover assets do not offer an additional source of recourse, and debt repayment depends to a certain extent on the political willingness to do so (Dierks and Engelhard 2010).
2) might provide some ease in this context. Maintenance of Overcollateralization Overcollateralization acts as a buffer against cover pool risks and is an important form of credit enhancement. The issuer’s decision regarding the actual level of voluntary overcollateralization maintained is driven by his general business strategy and the target Pfandbrief rating. To obtain this target rating, rating agencies typically require a certain level of overcollateralization to be held, which exceeds legal requirements and depends, among others, on the target rating itself and the cover pool’s quality.
17, the amount and the share of outstanding Jumbo Pfandbriefe has continuously decreased over time. While, in 2003, EUR 414 bn of Jumbos were outstanding, it was only EUR 150 bn in 2011. Their relative share in the Pfandbrief market has also decreased, from 39 to 26 %. As pointed out by Volk (2012), this reflects a recent trend towards benchmark issues with a volume of EUR 500 mn to EUR 1 bn. In comparison with Jumbos, which are considered to be more liquid than smaller issuance sizes, benchmark issues are more favourable in the context of asset liability management and legal requirements regarding liquidity holdings (Wolf 2012).