Data Technical News #2018 – 48: Update of Fair Value model on Danish mortgage bonds


Markets Impacted: Danish Fixed Income markets

Product impact: Nordic Fixed Income

   

What do you need to know?

Nasdaq is updating the Fair Value model on Danish Mortgage Bonds including the following features:

  • Price jumps that occur as a bond trades ex-redemption are currently implied in the model (general market movement). However, as redemptions can behave differently to general market movement, the model uses relative prepayment rate-∆ in relation to general market movement
  • Small trades are omitted and high volume trades are given a higher weighting
  • Adding Danmarks Skibskredit (Danish Ship Finance) and KommuneKredit

 

How does this impact you?

As changes in the model are based on historical data, and as all historical data is re-calculated over a longer period of time, users will see changes in Fair Value prices that are not based on market movement, but rather on changes to the model.

 

Where can I find this?

In TIP-message BondAnalytics (BAn) on GCF and on Nasdaq Nordic File Delivery Service. This is included in the Nasdaq Nordic Fixed Income TotalView and Level 2 as well as in the Nordic Fixed Income Bond Analytics product.

   

When will this happen?

The changes will be in GCF production from December 17, 2018.

   

Where can I find additional information? 

For further details please contact: dataproducts@nasdaq.com