If the point was to raise her up to his level, she was still “mere” nobility compared to royalty.
If the point was for her to bring something to the marriage, that’s hardly true because any lands or titles he gave her would have been at his expense.
If the point was to elevate her or give their children something to inherit, she was about to become queen anyway (and wouldn’t the title dissolve back into the crown once she did become queen).
If the point was to make her seem respectable by making her nobility, didn’t everyone important in England already know of her affair with Henry?
What exactly was the point of this?
Ah! A Welsh question (sort of!).
It was nothing to do with her bringing something to the marriage or ennobling her offspring, and everything to do with legitimising Anne both at court and throughout Europe, and also as an homage to the Tudor dynasty as a whole.
The title
Let's take a look at the title first - Marquess of Pembroke (which is in Wales). The name itself was undoubtedly a nod to Henry's ancestry. It wasn't just about granting Anne lands in Wales in order for her to receive an income. It was a pointed effort to paint Anne as being part of a new royal order. He wanted to associate her with his own royal persona. The last person of high noble standing in Pembroke was Henry VII's uncle (so, Henry VIII's grand uncle), Jasper Tudor, Earl of Pembroke (d. 1495). Jasper was the second son of the patriarch of the Tudor Family, Owen Tudor the Welsh courtier, and his French wife Catherine of Valois (Henry V's widow). Jasper was a monumental figure in the life of Henry Tudor, and it's arguable that without his influence, along with his mother Margaret Beaufort's, Henry would never have captured the throne at Bosworth. Jasper had two daughters and no sons. When he died, there wasn't anyone to pass the title onto, so it returned to the Crown. Henry wanted Anne to become "one of us", as the British say these days. He could have given her any number of titles throughout England, but Henry chose a far-off, defunct Welsh landholding instead. It's hard to imagine this was done out of administrative expediency. Henry's father, Henry VII, was born in Pembroke Castle and the region had strong ties to the Tudor dynasty.
The politics
Onto the politics. You're correct in saying that at the time, Anne wasn't Henry's wife, but there was still a pressing need to elevate her in the eyes of both British and European nobility, more as a statement of intent than anything else. The Early Modern period was no different to any other era in history, in that the sovereign granted legitimacy and acknowledged their favourites through the distribution of land and titles. There was also a pressing need to present Anne in as favourable way as possible to Henry VIII's on-off ally, Francis I of France (great name). Henry and Francis had gotten along quite well in 1520 at the 'Field of the Cloth of Gold' meeting, and the two Kings were seemingly intent on showing each other how magnificent they were. It was an incredibly ostentatious affair that would have set the tone of their relationship. 13 years later, by the time Henry married Anne, he would no doubt have wanted a continental ally that he could rely upon to counteract what was expected to be a sticky relationship with the other European power - Charles V, Holy Roman Emperor - following Henry's break with Rome. Providing Anne with a title was just another way of showing Francis that Henry was deadly serious about his new bride, and there was no doubt a bit of showing-off to be done too. Eric Ives writes about the crowning ceremony that was held at Windsor Castle, all in full view of the French Ambassador, Eustace Chapuys. Anyone who was anyone in Early Modern England was there, all lords, both temporal and spiritual. It was an emphatic statement of intent that resonated across The Channel to France. Yes, everyone knew the nature of their relationship, but there was a need for all the pomp and ceremony to back it all up.
Granting a woman a peerage was also extremely uncommon in Early Modern England, which would have again reinforced Anne's importance. Henry had only done it once before, in 1512, to his cousin Margaret Pole, daughter of the hopeless Duke of Clarence, upon which he bestowed the title Countess of Salisbury (she was executed for treason in 1541). None of Henry's heirs granted a peerage to a woman, and we have to wait until James I made Lady Villiers the Countess of Buckinghamshire in 1618 for the next one.
Her kids
It wasn't anything to do with any children she was going to have. Even if she were to have kids, at that point they would have only been with Henry, who as king would have had sole control over any distribution of land or titles amongst his offspring. It's a complex scenario, but in this instance, as with others, the marquessate was likely absorbed by the Crown when Henry finally married her, which would have presented a whole new set of circumstances for any prospective heir to the Pembroke title. Anne was the first and last person to hold the title, and when she died in 1536, despite provisions for the title to pass to Elizabeth, it simply ceased to exist.
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