Markets Impacted: Nordic Fixed Income Market
Products Impacted: Nordic Fixed Income TotalView, Nordic Fixed Income Level 2 and the introduction of an Enterprise License for Nordic Fixed Income Bond Analytics.
What is added?
To meet increasing customer demand for benchmark pricing and valuation data and to accommodate new regulatory requirements Nasdaq is making improvements to the Nordic Fixed Income product by including new Fair Value prices on Swedish Corporate Bonds and illiquid Fixed Danish Mortgage Bonds. This will give the customers the possibility to receive independent data from a highly reliable provider.
This includes three new TIP-fields in message BondAnalytics:
- FairValue
- FairValueSpread
- FairValueRanking
The Fair Value price on illiquid fixed Danish Mortgage Bonds is calculated by an advanced and dynamic Fair Value model developed by experts with extensive experience. The Fair Value price is calculated primarily from a basket of similar bonds or a CPR (Conditional Prepayment Rate) calculation. This provides a price, a price spread and a ranking of the price – the latter is, for example, if the trades are recent the Fair Value price will then get a strong rating or the opposite.
Will there be a fee change for the added value?
Effective April 1, 2017, Nasdaq will introduce fee adjustments:
Service Level Subscriber Fee (/month)
Nordic Fixed Income TotalView € 66 per subscriber
Nordic Fixed Income Level 2 € 61 per subscriber
Will there be introduced new products for the added value?
Effective April 1, 2017, Nasdaq will additionally to the subscriber fees introduce an Enterprise License:
Service Level Subscriber Fee (/month)
Enterprise License for Nordic Fixed Income Bond Analytics
Internal use only € 500 per recipient Firm
Enterprise License for Nordic Fixed Income Bond Analytics includes unlimited use of the Bond Analytics data in internal applications. This unlimited usage includes display use, the creation of derived data and Non-Display use in internal applications. For definition of derived and non-display usage, please see policy document. Bond Analytics is not eligible of the Delayed intervals.
Bond Analytics covers Swedish and Danish mortgage bonds and Swedish government and corporate bonds. Data included in Bond Analytics is, but are not limited to:
- Fair value prices
-
Option adjusted:
- Price
- Spread (to swap)
- Convexity
- Duration
- BPV (Basis Point Value) up & down
- Model prepayment rate
How do I receive the Nordic Fixed Income Bond Analytics?
Accessible via the Genium Consolidated Feed (GCF) in TIP format message BondAnalytics, Vendors and available as a file from Nasdaq Nordic File Delivery Service (FDS).
Where can I find additional information?
For questions regarding this notice please speak to your Sales Representative or contact DataProducts@nasdaq.com or by telephone +45 33 93 33 66