The vdp has extended a secondary market transparency initiative for Pfandbriefe by lowering the minimum volume threshold for inclusion from Eu1bn to Eu500m and reducing a minimum residual life criterion from more than two years to more than one year.

The Association of German Pfandbrief Banks (vdp) a year ago launched the secondary market transparency initiative, under which it publishes on a daily basis spread data for certain Pfandbriefe. Until now the bonds for which spreads were disclosed were Jumbo Pfandbriefe (Eu1bn minimum size) with a residual maturity of more than two years.

The vdp today (Monday) announced that it is extending its secondary market data transparency offering to include Eu500m minimum benchmarks, in recognition of the growing importance of this market segment. In combination with the change to the residual term to maturity criterion from two years to one year, this means that the vdp is publishing average spreads for over 100 Pfandbriefe, according to the association.

The published spreads are averages of indicative mid asset swap spreads over six month Euribor provided by 15 investment banks.

The spread data can be found here:

http://www.pfandbrief.de/cms/_internet.nsf/tindex/en_jumbospread.htm