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Nykredit Indices

Nykredit is a Danish financial services group with business activities within banking and mortgage lending. In addition, Nykredit’s activities include estate agency services, administration and management of investment funds, leasing and insurance mediation. Nykredit serves more than 1,000,000 customers, primarily in Denmark.

Nykredit is Denmark’s largest lender and the largest issuer of mortgage covered bonds in Europe. The company has issued covered bonds since 1851 and the outstanding bonds amount to some EUR 140bn. Nykredit Markets is the Group’s investment banking arm and focuses on Nordic fixed income including covered bonds, government bonds and hybrids. Nykredit Markets has developed a number of bond indices, which track the Danish covered bond market. The two most widely used indexes are now available on RIMES.

  • Nykredit Danish Mortgage Bond Index – Calculated daily on the basis of a portfolio composed of the most liquid covered mortgage bonds listed on the Copenhagen Stock Exchange.
  • Nykredit Total Index – Comprises the entire actively traded part of the callable fixed-coupon Danish covered bond market. Nykredit Total Index is further divided into four sub-indices.

The new increased interest in especially long-dated Danish callable bonds among foreign investors has made Nykredit’s indices the market leading indices to track and measure performance on Danish covered bonds.

Key Features and Coverage on RIMES

For this data source, RIMES hosts approximately 260 bonds and 9 indexes. Index coverage includes:

  • DMB Index, Inflation Linked Government Index, Inflation Linked Index, Inflation Linked Mortgage Index, Total Index (Short, Long, Long+)

Some of the data items available include:

  • Index Items: Average Modified Option Adjusted Duration, Average Nominal Weighted Option Adjusted Swap Spread, Average Option, Adjusted Basis Point Value, Average Option Adjusted Convexity, Average Option Adjusted Duration, Average Option Adjusted Spread, Average Risk Weighted Option Adjusted Swap Spread, Average Vega, Last Price Date, Total Return, etc.
  • Bond Items: Accrued Interest, Beginning of Quarter Drawdown, Beginning of Quarter Notional Outstanding, Beginning of Quarter Value, Callable Flag, Capital Loss on an Increase in Option Adjusted Spread, Cash Rate, Clean Price, Coupon, Coupon Frequency, Currency Code, Date of Portfolio, Difference between Current Price and Price at Zero Option Adjusted Spread, Dirty Price, Drawn Amount, Investable Weight, ISIN Code, Issue Date, Loan Type, Macaulay Duration, Maturity Date, Modified Option Adjusted, Convexity/Duration, Notional Outstanding, Option Adjusted Convexity, Option Adjusted Duration, Option Adjusted Spread, Option Adjusted Spread to Danish Swap Curve, Option Adjusted Spread to European Swap Curve, Option Adjusted Swap Spread, Price on Yield Curve, Private Flag, Share of Cash Loans in the Bond, Share Turnover, Sub Index Name, Vega, Weighted Average Life, Year to Date Total Return, Yield to Maturity / Years to Maturity, etc.

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