Due to EU harmonization the redemption of Danish mortgage covered bonds will be changed. The first expected redemption rates in the new redemption model will be announced to the market on the announcement day May 22, 2015 for bonds with payment date October 1, 2015.
The new redemption model also implies a few changes in the Nasdaq Genium Consolidated Feed (GCF). The changes are described in TIP 2.4.8 Errata.
- A new field, RedemptionPctStatus [RPCs] has been added to the BasicDataNotificationDrawingPercent message to identify whether the drawing percentage is 1 = ‘indicative’ or 2 = ‘Official’. The drawing percentage will be Indicative during the period from publication date until drawing date on which it will be Official (final.)
- The BasicDataNotificationDrawing message remain unchanged. However, there may be changes to the values published. For bonds using the new redemption (or drawing) model the outstanding amount and the drawing percentage will be left out and the RedemptionPercentExtraNew shall be interpreted as the part of the DrawnAmount that is due to extraordinary repayments.
The outstanding amount will still be available in the BasicDataBond message.
An example of the message including the new field is as below:
ANNp;n313505;i342240;s10;u4;ISnDK0009769705;DDAt20150401;RPNe10.0000000001;APRd20150320;RPCs2;
The drawing percentages are today made public around 11:30 CET with that the drawn amounts being published later on. This will still be the case for bonds using current redemption model.
For bonds using the new redemption model the time of publication will be changed to End-of-Day, i.e. sometime after 18:00 CET, for both messages.
For further information please contact: