New Consolidated reference price for Danish Fixed Income Mortgage Bond Market

The Nasdaq Copenhagen Consolidated Reference Price is the new price indicator for Danish mortgage bonds.

New EU legislation has since implementation January 3rd changed the trading pattern for Danish mortgage bonds with a potential higher degree of fragmention as a result.

In a combined effort to counter a deterioration of price transparency Nasdaq Copenhagen and Finans Danmark, the Danish Banker Association, have created two measures. A market wide voluntary standard for Fixed Income reporting has been established and a new consolidated reference price for Danish mortgage bonds has been created. You will find the new reference price in the right hand column on the micro site for each mortgage bond.

The Nasdaq Copenhagen Consolidated Reference Price is a consolidation of the exchange traded price, the reported OTC trades and the prices on Primary Trades and Loan Payments order typers, which prior were not part of the exchange price.

Consequently, the Nasdaq Copenhagen Consolidated Reference Price is an improvement over the previous reference price and is the price that loan takers, investors and financial media going forward should refer to when following the price on Danish mortgage bonds.

The change has been made to maintain the high level of transparency that the Danish Fixed Income market for mortgage bonds has been known for by consolidating prices in exchanged traded bonds with the reported trades. Traditionally, in the Fixed Income market most trades are reported. These trades are performed unilaterally between two brokers who thereafter report the OTC trade to the Nasdaq Copenhagen exchange.

In Denmark, it has been standard procedure for Fixed Income brokers to report their trades to the Nasdaq Copenhagen exchange to ensure a high level of market transparency for market participants. This has not always been the case in other European markets. This lack of transparency in the Fixed Income market is what MiFID II regulation seeks to remedy by imposing a uniform reporting regulation in Europa, which affects the existing setup in Denmark.

With the joint collaboration between Finans Danmark and Nasdaq Cpenhagen it has become possible to maintain and improve transparency in Danish Fixed Income mortgage bonds by introducing the Nasdaq Copenhagen Consolidated Reference Price.

Professional users of price information and market data are kindly requested to contact their market data vendor if any price information or market data is missing from the market data feed.

Bond type:

Interest rate type  Fixed  Floating
Deferred amortisation  Yes  No
Open / Closed  Open  Closed
Bond type II Treasury bills Bullet loans Serial loans Irredeemable loans Premium bonds
Currency DKK EUR      
Underlying    Equity  Interest  Currency  Other  X-related
Bond type II    Convertible bonds  Other bonds