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
31.03.2018 (pdf, 414 KB)
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)