Copenhagen 22nd August, 2014
Change in Yield Calculation etc. Using Historic Prices
The calculation of yield, duration, adjustment factor etc. on Danish bonds is based on the following price concepts:
- The average price at the end of the day or
- the best bid price at the end of the day
Current calculation rule using historic prices
If none of these prices exist on a given day the latest of the two price concepts is used for the calculation, i.e. the historic price is used in the yield calculations etc. as if that price prevails on the given day of calculation. If the historic price is old or the prices in the fixed income markets have changed significantly the yield calculations etc. may become very misleading.
New calculation rule using historic prices
Nasdaq OMX Copenhagen has therefore decided to stop using historic prices for yield calculations etc. Instead Nasdaq OMX Copenhagen will publish the yield etc. calculated on that historic date inclusive of the date. The price and calculated yield, duration, convexity etc. then all relate to the same date.
The new rule will take effect on 8th September 2014.
The guidelines for yield calculation etc. may be found via this link:
http://www.nasdaqomx.com/transactions/trading/fixedincome/fixedincome/denmark
For further information concerning this exchange notice please contact Poul Erik Egeberg: poul.erik.egeberg@nasdaqomx.com or +45 3377 0361 or Jonas Berg: Jonas.berg@nasdaqomx.com or +45 3377 0315.
