Market information

Overview of the Danish covered bond legislation addressing refinancing risk (L89)

The scope of the Act is to address refinancing risk when the underlying loan is longer dated than the bonds utilised to fund it.

The Act was implemented on 1 April 2014 for 1-year ARM loans, and was fully phased in on 1 January 2015 for up to and including two years of funding.

The Act introduces two types of triggers:
 - Refinancing failure trigger (RF)
 - Interest rate trigger (IT)

See presentation of the legislation addressing refinancing risk (including an FAQ)
The presentation is prepared as a joint effort of the Danish mortgage banks.

The first Jyske Realkredit (BRFkredit) bonds with triggers were opened on 28 March 2014.
Read the company announcement

Market information

Below are brief descriptions on how to locate fixed-income market information on Jyske Realkredit bonds.

Bloomberg information system

JYKRE <Corp> provides a list of all Jyske Realkredit bonds on Bloomberg.
The list includes both mortgage bonds, covered bonds and other bonds issued by BRFkredit.

Bloomberg tickers

You can use either the ISIN code, add <Corp> (by pressing F3), or use the standard "Bloomberg style" of identifying a bond.

If entering the mnemonic in "Bloomberg style", you may discover that BRFkredit has occasionally issued more than one security with a specific coupon and maturity

Bloomberg contributor pages

Danish banks and brokers have their own contributor pages on Bloomberg providing price quotes. Quotes are generally supplied for generic mortgage bonds (labelled DMB or MTG).

Below is a list of Danish mortgage bonds contributors:

Provider Page mnemonic
Danske Bank DBDK
Jyske Bank JYSL
Nordea Markets NDFI
Nykredit Bank NYKR
SEB Merchant Bank SEBC

Reuters information system

<DK/MTG1> provides an overview of pages available on Danish covered bonds and mortgage bonds.

Reuters Identification Code (RIC)

The RIC code for Danish mortgage or covered bonds is typically constructed as: "DK" & security ID (7 digits, starting with zero).
From the ISIN code, remove the first two zeros (positions 3 and 4 in the ISIN code) and the last digit (position 12).

You can add a suffix to the RIC pointing to a specified contributor.
  "=CO" points to NASDAQ OMX Copenhagen,
  "=NDEA" to Nordea, etc.
See the table below for other contributors

Reuters contributor pages

Main contributors on Danish mortgage or covered bonds. Quotes are generally supplied for generic mortgage bonds (labelled DMB or MTG).

Contributor Contributor page RIC price suffix
Danske Markets DANCO DDBK
Jyske Markets JYSKEMTG JYSK
Nordea Markets NORDEAMB NDEA
Nykredit Markets NYKREDIT NYKR
SEB Merchant Banking SEBC02 SEBC
Sydbank - SYDE

Nasdaq OMX Copenhagen (Copenhagen Stock Exchange)

Nasdaq OMX Copenhagen is the central market exchange for Danish mortgage bonds. All authorised traders report all trades in listed bonds, even in case the trade was not execute via the exchange.

Bond prices are normally quoted as clean prices, standard settlement is 3 business days with delivery-versus-payment.

Clearing is normally through VP Securities Services (the Danish Securities Depository and Clearing Centre, Værdipapircentralen)

Nasdaq OMX Copenhagen provides delayed market information at their website

Go to Nasdaq OMX Copenhagen's website