German Covered Bonds
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Author | : Ralf Werner |
Publisher | : Springer Science & Business Media |
Total Pages | : 89 |
Release | : 2013-12-18 |
Genre | : Business & Economics |
ISBN | : 3319025538 |
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The Pfandbrief, a mostly triple-A rated German bank debenture, has become the blueprint of many covered bond models in Europe and beyond. The Pfandbrief is collateralized by long-term assets such as property mortgages or public sector loans as stipulated in the Pfandbrief Act. With a history that goes back to the 18th century and a high market share in today’s covered bond markets, the German Pfandbrief is the most established covered bond. Until today, no single Pfandbrief has ever defaulted. Even though Pfandbriefe have survived the financial crisis comparably unharmed, investors have become more sensitive regarding the creditworthiness of the corresponding issuer and sovereign, the strength of the legal (or contractual) framework and the quality of the cover pool serving as collateral. This monograph provides a structured in-depth analysis of the legal framework and the risks inherent in a Pfandbrief, taking into consideration recent market developments. Starting from the legal framework, the German Pfandbrief is introduced without requiring prior knowledge. Covered bond related risks are explained in detail and their relevance to the Pfandbrief is thoroughly discussed with focus on the two most common Pfandbrief types, mortgage and public Pfandbriefe. In addition to that, the monograph comes with an extensive collection of Pfandbrief-related literature and a glossary explaining the main technical terms.
Author | : International Monetary Fund |
Publisher | : International Monetary Fund |
Total Pages | : 37 |
Release | : 2011-12-23 |
Genre | : Business & Economics |
ISBN | : 1463928548 |
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As part of the 2011 Financial Sector Assessment Program (FSAP) update for Germany, this Technical Note reviews recent developments of mortgage-covered bond (Pfandbrief) and mortgage securitization markets in Germany, and explores future prospects for each against the background of ongoing regulatory changes. It examines the characteristics of the two markets and their performance through the crisis, and analyzes some of the policy reactions that are currently tending to favor covered bonds over securitization. Some of the systemic vulnerabilities associated with covered bonds are also discussed.
Author | : Jonathan L. Golin |
Publisher | : Euromoney Books |
Total Pages | : 354 |
Release | : 2006 |
Genre | : Business & Economics |
ISBN | : 9781843742197 |
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The covered bonds markets are rapidly expanding in terms of issuance, geographic reach and the launch of new structured alternatives. New issue volumes exceeded 130bn euros by mid-October 2005 alone.Covered bonds are now being issued in new juisdictions across emerging Europe. The UK and the Netherlands are developing their own alternatives. The US and Canadian markets are poised for development.This new book guides you through the legislation, structures and investor opportunities in covered bonds, ensuring you understand these new developments across Europe and North America.
Author | : Maximilian Hughes |
Publisher | : |
Total Pages | : |
Release | : 2019 |
Genre | : |
ISBN | : |
Download On the Risk Assessment of German Covered Bonds in a One-Period Setting Book in PDF, Epub and Kindle
Author | : Manuela Spangler |
Publisher | : Springer |
Total Pages | : 275 |
Release | : 2018-10-10 |
Genre | : Mathematics |
ISBN | : 3658239158 |
Download Modelling German Covered Bonds Book in PDF, Epub and Kindle
Manuela Spangler deals with the default risk modelling of German covered bonds (Pfandbriefe). Existing credit risk models are not suitable for this purpose as they only consider the creditworthiness of the issuer while product-specific features are not taken into account. The author develops a multi-period simulation-based Pfandbrief model which adequately accounts for the product’s most important characteristics and risks. The model provides a flexible framework for structural analyses and can be easily extended for tailor-made investigations. While the focus of the work is on the specification of the model itself, simulation results from an exemplary model calibration are also discussed. About the Author Manuela Spangler works as a quantitative risk analyst for a large asset management company and holds a PhD in mathematics from the University of Augsburg. Prior to her current position, she worked as a risk manager and financial engineer in the banking and insurance sector for various years.
Author | : Cheng Liu |
Publisher | : |
Total Pages | : 66 |
Release | : 2015 |
Genre | : Covered bonds |
ISBN | : |
Download Liquidity of German Covered Bonds Before and During the Financial Crisis Book in PDF, Epub and Kindle
Author | : Antonio Garcia Pascual |
Publisher | : International Monetary Fund |
Total Pages | : 28 |
Release | : 2007 |
Genre | : Business & Economics |
ISBN | : |
Download The Use of Mortgage Covered Bonds Book in PDF, Epub and Kindle
The rapid mortgage credit growth experienced in recent years in mature and emerging countries has raised some stability concerns. Many European credit institutions in mature markets have reacted by increasing securitization, particularly via mortgage covered bonds. From the issuer's perspective, these instruments have become an attractive funding source and a tool for assetliability management; from the investor's perspective, covered bonds enjoy a favorable risk-return profile and a very liquid market. In this paper, we examine the two largest "jumbo" covered bond markets, Germany and Spain. We show how movements in covered bond prices can be used to analyze the credit developments of the underlying issuer and the quality of its mortgage portfolio. Our analysis also suggests that mortgage covered bonds could be of interest to other mature and emerging markets facing similar risks related to mortgage credit.
Author | : Anne-Charlotte Paret |
Publisher | : International Monetary Fund |
Total Pages | : 34 |
Release | : 2019-11-01 |
Genre | : Business & Economics |
ISBN | : 1513518321 |
Download German Bond Yields and Debt Supply: Is There a “Bund Premium”? Book in PDF, Epub and Kindle
Are Bunds special? This paper estimates the “Bund premium” as the difference in convenience yields between other sovereign safe assets and German government bonds adjusted for sovereign credit risk, liquidity and swap market frictions. A higher premium suggests less substitutability of sovereign bonds. We document a rise in the “Bund premium” in the post-crisis period. We show that there is a negative relationship of the premium with the relative supply of German sovereign bonds, which is more pronounced for higher maturities and when risk aversion proxied by bond market volatility is high. Going forward, we expect German government debt supply to remain scarce, with important implications for the ECB’s monetary policy strategy.
Author | : Anna T. Pinedo |
Publisher | : |
Total Pages | : 0 |
Release | : 2010 |
Genre | : Asset-backed financing |
ISBN | : 9781402412943 |
Download Covered Bonds Handbook Book in PDF, Epub and Kindle
Covered Bond Handbook is the first comprehensive guide to these time-tested financing alternatives, helping you to take full advantage of these debt instruments.
Author | : International Monetary Fund. Monetary and Capital Markets Department |
Publisher | : International Monetary Fund |
Total Pages | : 118 |
Release | : 2016-06-29 |
Genre | : Business & Economics |
ISBN | : 1475577737 |
Download Germany Book in PDF, Epub and Kindle
This paper evaluates the risks and vulnerabilities of the German financial system and reviews both the German regulatory and supervisory framework and implementation of the common European framework insofar as it is relevant for Germany. The country is home to two global systemically important financial institutions, Deutsche Bank AG and Allianz SE. The system is also very heterogeneous, with a range of business models and a large number of smaller banks and insurers. The regulatory landscape has changed profoundly with strengthened solvency and liquidity regulations for banks (the EU Capital Requirements Regulation and Directive IV), and the introduction of macroprudential tools.