Markets Impacted: Danish Fixed Income
Product impact: Nordic Fixed Income
What do you need to know?
In cooperation with Finans Danmark (Danish Bankers Association), Nasdaq has updated the transparency requirements in Danish Fixed Income in order to maintain the high standard of transparency set by the introduction of MiFID II, effective January 3rd 2018. For Fixed Income, MiFID II brought a change in reporting standards with OTC-trades that in the Danish Fixed Income market caused a fragmented market. With the agreement and the technical update, customers will continue to be able to access the highest possible transparency in Danish Fixed Income mortgage bonds on Nasdaq Copenhagen.
These measures includes:
• Where Danish market participants send duplicate of trades from other trading venues, the Nasdaq APA service and the Nasdaq exchange, Nasdaq will consolidate into one
• Creation of specific trade types for the Danish Fixed Income market (reported as standard trades)
o “Loan Payment” technically these are homeowners selling bonds for their mortgage
o “Primary Transactions”
o Trade types for duplicate trades
• Introduction of the new benchmark price ‘Nasdaq CPH consolidated reference price’ which is a weighted average of standard trades from the consolidated trade feed. The real time price includes deferred trades (deferred until end of day under the Danish transparency regime) but other fields such as volume are only updated with deferred trades at end of day.
Policy
The ‘Nasdaq CPH Consolidated Reference Price’ and the consolidated trade feed are part of the Nordic Fixed Income TotalView and Level 2 products.The specific trade types for the Danish Fixed Income market as mentioned above are in message BondReportExternal (BRe).
Please be aware that ‘Nasdaq CPH Consolidated Reference Price’ and the specific trade types for Danish Fixed Income are not part of the delayed interval.
What does this mean?
Instead of using the on-exchange prices from message InstrumentStatistics (INSs) the basis for calculations are switched to the ‘Nasdaq CPH Consolidated Reference Price’ with the following changes:
• The source (AveragePriceLatest (ATRp)) for calculations in message TradeSupplementary (ABSi) is changed from InstrumentStatistics (INSs) to InstrumentStatisticsExtended (INSb) i.e. ‘Nasdaq CPH Consolidated Reference Price’
• In the Nasdaq official price list “OPL_Danish_Bonds.pdf” the ‘Nasdaq CPH consolidated Reference Price' is used as the average price and the source for calculating yield and duration. High, low, volume, close, and open are based on on-exchange trades from message InstrumentStatistics (INSs). From April 23rd, 2018 with GCF release 3.6.1 they will be based on the consolidated trade feed.
• ‘Nasdaq CPH consolidated Reference Price' is the new price source for Bond Analytics calculations like option adjusted key figures and Fair Value
What can be expected in the future?
In summer 2018, (expected) Nasdaq will also introduce Fair Value for floaters and capped floaters covering the full Danish mortgage bond market. Last year, Nasdaq introduced Fair Value on fixed Danish mortgage bonds with an objective, dynamic and purely data-driven model. The price source for Fair Value calculations has changed to ‘Nasdaq CPH Consolidated Reference Price’.
Nasdaq recommends using Fair Value as the valuation source for Danish mortgage bonds.
Where can I find the ‘Nasdaq CPH Consolidated Reference Price’?
The ‘Nasdaq CPH Consolidated Reference Price’ is in message InstrumentStatisticsExtended (INSb) that was introduced with the GCF 3.5 release November 20th, 2017. The average price is calculated in real time with the GCF 3.6 release February 26th, 2018. With the GCF 3.6.1 release occurring April 23rd, High, Low, First, and Last will also be introduced.
The specific trade types for the Danish Fixed Income market are in message BondReportExternal (BRe).
Where can I find additional information?
For further details please contact: dataproducts@nasdaq.com