German Covered Bonds

Author : Ralf Werner,Manuela Spangler
Publisher : Springer Science & Business Media
Page : 89 pages
File Size : 53,8 Mb
Release : 2013-12-18
Category : Business & Economics
ISBN : 9783319025537

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German Covered Bonds by Ralf Werner,Manuela Spangler Pdf

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
Page : 37 pages
File Size : 43,8 Mb
Release : 2011-12-23
Category : Business & Economics
ISBN : 9781463928544

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Germany by International Monetary Fund Pdf

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
Page : 354 pages
File Size : 44,6 Mb
Release : 2006
Category : Business & Economics
ISBN : 1843742195

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Covered Bonds by Jonathan L. Golin Pdf

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 : Manuela Spangler
Publisher : Unknown
Page : 266 pages
File Size : 55,6 Mb
Release : 2018
Category : Covered bonds
ISBN : 3658239166

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Modelling German Covered Bonds by Manuela Spangler Pdf

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. Content Pfandbrief Characteristics Credit Risk Models: A Literature Review The Pfandbrief Model Model Calibration and Scenario Generation Simulation Results Target Groups Scientists and students in the field of financial mathematics, quantitative finance and banking Practitioners in the field of risk management, rating agencies and regulators 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 : Antonio Garcia Pascual,Renzo G. Avesani,Elina Ribakova
Publisher : International Monetary Fund
Page : 28 pages
File Size : 49,7 Mb
Release : 2007
Category : Business & Economics
ISBN : UCSD:31822034757062

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The Use of Mortgage Covered Bonds by Antonio Garcia Pascual,Renzo G. Avesani,Elina Ribakova Pdf

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 : Manuela Spangler
Publisher : Springer
Page : 275 pages
File Size : 52,5 Mb
Release : 2018-10-10
Category : Mathematics
ISBN : 9783658239152

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Modelling German Covered Bonds by Manuela Spangler Pdf

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 : Anne-Charlotte Paret,Anke Weber
Publisher : International Monetary Fund
Page : 34 pages
File Size : 42,9 Mb
Release : 2019-11-01
Category : Business & Economics
ISBN : 9781513518329

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German Bond Yields and Debt Supply: Is There a “Bund Premium”? by Anne-Charlotte Paret,Anke Weber Pdf

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 : Juan Antonio Ketterer,Gabriela Andrade,Maria Netto,Maria Isabel Haro
Publisher : Inter-American Development Bank
Page : 36 pages
File Size : 44,5 Mb
Release : 2019-09-27
Category : Technology & Engineering
ISBN : 8210379456XXX

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Transforming Green Bond Markets by Juan Antonio Ketterer,Gabriela Andrade,Maria Netto,Maria Isabel Haro Pdf

Despite exhibiting remarkable growth, the green bond market still represents less than 1 percent of the global bond market. This paper identifies two challenges that might slow the adoption of green bonds and presents a menu of responses that policymakers, regulators, and public financial institutions can use to offset these challenges. Specifically, it explores two key dimensions: (i) the risk profile of the green bond instrument and (ii) the transaction costs associated with issuance of and reporting on green bonds. New approaches to risk design and technology-based approaches are essential to untap the potential of green bond markets, particularly in Latin America and the Caribbean and other developing regions. The incorporation of financial mechanisms such as covered bonds and guarantees can adequately address the risk of the issues, making the market more attractive for investors. Enhanced regulation and education and leveraging efficiencies of new technologies such as distributed ledger technologies can substantially reduce monitoring and reporting costs, while improving transparency in the use of proceeds and market integrity.

Author : Philip Moore
Publisher : Unknown
Page : 137 pages
File Size : 40,7 Mb
Release : 2000
Category : Bond market
ISBN : 1855647559

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The Pfandbrief by Philip Moore Pdf

Author : Anna T. Pinedo
Publisher : Unknown
Page : 0 pages
File Size : 40,8 Mb
Release : 2010
Category : Asset-backed financing
ISBN : 1402412940

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Covered Bonds Handbook by Anna T. Pinedo Pdf

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
Page : 118 pages
File Size : 49,9 Mb
Release : 2016-06-29
Category : Business & Economics
ISBN : 9781475577730

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Germany by International Monetary Fund. Monetary and Capital Markets Department Pdf

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.

Author : Vanessa Le Leslé,Ms.Sofiya Avramova
Publisher : International Monetary Fund
Page : 50 pages
File Size : 44,8 Mb
Release : 2012-03-01
Category : Business & Economics
ISBN : 9781475502657

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Revisiting Risk-Weighted Assets by Vanessa Le Leslé,Ms.Sofiya Avramova Pdf

In this paper, we provide an overview of the concerns surrounding the variations in the calculation of risk-weighted assets (RWAs) across banks and jurisdictions and how this might undermine the Basel III capital adequacy framework. We discuss the key drivers behind the differences in these calculations, drawing upon a sample of systemically important banks from Europe, North America, and Asia Pacific. We then discuss a range of policy options that could be explored to fix the actual and perceived problems with RWAs, and improve the use of risk-sensitive capital ratios.

Author : Thorstein Veblen
Publisher : Transaction Publishers
Page : 392 pages
File Size : 41,7 Mb
Release : 1990-01-01
Category : Business & Economics
ISBN : 1412825989

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Imperial Germany and the Industrial Revolution by Thorstein Veblen Pdf

Author : Anonim
Publisher : Lulu.com
Page : 294 pages
File Size : 48,8 Mb
Release : 2004
Category : Bank capital
ISBN : 9789291316694

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International Convergence of Capital Measurement and Capital Standards by Anonim Pdf

Author : Jan Pieter Krahmen (editor),Reinhard H. Schmidt
Publisher : Oxford University Press on Demand
Page : 550 pages
File Size : 45,7 Mb
Release : 2004
Category : Business & Economics
ISBN : 9780199253166

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The German Financial System by Jan Pieter Krahmen (editor),Reinhard H. Schmidt Pdf

Written by a team of scholars, predominantly from the Centre for Financial Studies in Frankfurt, this volume provides a descriptive survey of the present state of the German financial system and a new analytical framework to explain its workings.