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Published in:
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2014 | OriginalPaper | Chapter

German Covered Bonds

Authors : Ralf Werner, Manuela Spangler

Published in: German Covered Bonds

Publisher: Springer International Publishing

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Abstract

With a history that goes back to the eighteenth 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.

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Footnotes
1
Residential and commercial mortgages, for example, can only be included in the cover pool up to 60 % of the mortgage lending value, see Sect. 2.5.
 
2
For more details on the mortgage lending value, see Sect. 2.7.
 
3
Such as the European Central Bank, a central bank of the member states of the European Union, or credit institutions as specified in § 4 par. 1 sent. 2 no. 3 PfandBG.
 
4
Subject to the requirement that they fulfil § 4 par. 1 sent. 2 nos. 1 and 2 PfandBG.
 
5
The mortgage lending value report reflects the valuer’s opinion of the property value and is the basis for the determination of the mortgage lending value by a credit officer (Crimmann and Rüchardt 2008, p. 81).
 
6
§ 20a par. 6 KWG contains provisions regarding the revaluation of real estate collateral in the context of covered bonds. (According to § 20a, par. 1, sent. 1, no. 1, Pfandbriefe are a form of covered bonds.)
 
7
The calculation of the net present value is specified in detail in the PfandBarwertV: It is obtained by discounting all future cash flows with the currency-specific yield curve for swap deals. Foreign exchange positions are then converted to euros by using the appropriate exchange rates. For derivatives, market values are used.
 
8
Basically, there are three potential methods to determine the interest rate and currency stresses. They all shift the interest rate curve up and down by a certain amount of basis points, set resulting negative interest rates to zero, and apply a stressed exchange rate for positions in foreign currencies. The Pfandbrief bank can choose between a static approach, a dynamic approach, and a method based on the bank’s internal risk model. More details can be found in the vdp’s legislative materials vdp (2011d).
 
9
As mentioned in Sect. 2.9, information on delinquent loans in the cover pool must, however, be disclosed regularly.
 
10
These cover pool audits are either performed by BaFin itself, or BaFin can mandate other persons or institutions for this purpose.
 
11
He is, however, not obliged to check whether the fixed mortgage lending value is correct.
 
12
The calculation of the net present value and the stressed net present value is defined in the PfandBarwertV, and explained in more detail in Sect. 2.8.
 
13
This implies that they are exempt from the German general insolvency law rule which states that insolvency proceedings concern all assets belonging to the corresponding debtor (Kullmann 2011).
 
14
This is another exemption from the German general insolvency law (Kullmann 2011).
 
15
Retail investors fall into the banks’ share.
 
16
By Nordics, we refer to Denmark, Sweden, Norway and Finland.
 
17
Note that Danish issuers often roll over short dated bullet covered bonds, which leads to high volumes of new issuance in this country which, over time, do not necessarily result in increasing covered bond volumes (Eichert 2012).
 
18
In Luxembourg, covered bonds backed by mortgage collateral (“Lettres de Gage Hypothécaires”) do—in theory—exist, but according to the statistics, their outstanding volume has been zero since 2009.
 
19
While covered bonds backed by mortgages on ships exist only in Germany and in Denmark, cover pools with mixed assets (meaning that there is more than one type of collateral) can only be found in France.
 
20
Note that the percentages in the table do not always sum up to \(100\,\%\) due to rounding effects.
 
21
Before the PfandBG was introduced in 2005, (unsecured) claims against savings banks and Landesbanks, which benefited from state guarantees in the form of Gewährträgerhaftung, were cover pool eligible and represented high shares of public sector cover pools. Since the abolition of these state guarantees, claims against such credit institutions are, in general, not cover pool eligible any more. (Source: Golin 2006, p. 139)
 
22
For indices, a size of EUR 500 mn is nowadays considered to be the norm for inclusion. Markit, for example, lowered the eligibility criteria for its iBoxx index accordingly in December 2011. (Source: Caris 2012)
 
23
As pointed out by Volk (2012) it should, however, be noted that the index data is based on secondary spreads only, meaning that it might not completely reflect market reality, especially as in periphery countries (such as Spain) a considerable portion of covered bonds is nowadays retained and refinanced through the ECB.
 
24
See, for example, European Central Bank (2011): “A smoothly functioning covered bond market is highly important in the context of financial stability.”
 
25
However, according to S&P (2005c), the former specialist bank principle did not have a deciding impact on Pfandbrief ratings.
 
26
Moody’s banking system outlook reflects the rating agency’s view of fundamental credit conditions which will impact the corresponding banks’ creditworthiness over the next 12–18 months.
 
27
Moody’s (2012c), for example, distinguishes between committed and uncommitted overcollateralization. While committed overcollateralization (which the issuer is obliged to maintain, either by legislation or contractual terms) is fully accounted for, the value given to uncommitted overcollateralization depends on several factors such as the issuer’s rating and the strength of the covered bond’s legal or contractual framework. So far, two German issuers (Bayerische Landesbank and SEB) have committed to an overcollateralization above the legally required one (cf. Moody’s 2013a).
 
28
The cover pool monitor who gives his consent to a deregistration of assets makes sure that the mandatory overcollateralization is not undercut.
 
29
The eligibility criteria require at least credit quality step 2 for certain public sector cover pool assets, cf. Sect. 2.5.
 
30
In other jurisdictions, loan-to-value limits can be up to \(80\,\%\), and the quality of the property valuation also varies (Volk 2011a).
 
31
As of May 2009, only 2 out of 13 German Mortgage Pfandbrief programs considered by Fitch (2009a) used privileged derivatives. For Public Pfandbriefe, it was 6 out of 17. § 28 reporting data on the vdp’s website (vdp 2013e) shows that the situation has not changed materially: as of Q4 2012, the majority of issuers still did not use derivatives.
 
32
As outlined in Sect. 2.5, there is a \(10\,\%\) limit for debt from outside the EU, and the euro is the official currency in \(17\) out of the \(27\) EU member states (European Commission 2013).
 
33
This is, for example, reflected in the average refinancing margins used by Moody’s for German Pfandbriefe (Moody’s 2012c). These refinancing margins reflect the discount that a purchaser would require when buying the cover pool assets. They are normally lower for public sector assets than for mortgage assets. Fitch also considers mortgages to be less liquid than public sector assets (Fitch 2012d).
 
34
The exact wording of the extension option, however, plays an important role. For more details, see Hillenbrand (2011).
 
35
The original German source is Deutscher Bundestag (2009b).
 
36
The PfandBG only states that the cover pool administrator must check on a regular basis whether the cover requirements as outlined in Sect. 2.8 are fulfilled, and that there may be additional checks on BaFin’s request (§ 31 par. 5 PfandBG).
 
37
The vdp’s § 28 reporting transparency initiative aligned reporting according to § 28 PfandBG across vdp member institutions by ensuring a uniform understanding of the legal requirements and a consistent format of the corresponding reports, which are available on the vdp’s website. For more details see vdp Transparency initiative and Winkler (2010).
 
38
To increase transparency on the secondary market for Pfandbriefe, the vdp started in January 2012 to publish daily average spreads for German Jumbo Pfandbriefe with a residual maturity of at least 2 years (vdp 2012b). Due to changed market requirements, in January 2013 the disclosed spreads were extended to include German Pfandbrief benchmark issuances (i.e. issuances with a minimum size of EUR 500 mn) and with a residual maturity of at least 1 year (vdp 2013a).
 
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Metadata
Title
German Covered Bonds
Authors
Ralf Werner
Manuela Spangler
Copyright Year
2014
Book
German Covered Bonds

Print ISBN: 978-3-319-02552-0

Electronic ISBN: 978-3-319-02553-7

Copyright Year: 2014

DOI
https://doi.org/10.1007/978-3-319-02553-7_1