vdp Credit Quality Differentiation Model

The Credit Quality Differentiation Model is a procedure developed by the members of the vdp for the differentiated crediting of public debt with a non-investment-grade rating.

The objective of the credit quality differentiation model is to reduce the crediting of debts of EU/EEA states and their sub-state institutions and agencies to the nominal level by means of discounts based on ratings in a supplemental cover calculation if the applicable external rating of the central state is below the investment grade level.

Publication Requirements § 28 Abs. 1 No. 1 to 4 German Pfandbrief
31.12.2017 (pdf, 414 KB)
30.09.2017 (pdf, 414 KB)
30.06.2017 (pdf, 423 KB)
31.03.2017 (pdf, 442 KB)
31.12.2016 (pdf, 440 KB)
30.09.2016 (pdf, 470 KB)
30.06.2016 (pdf, 470 KB)