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