Structured bonds by ISIN codes

Summary tables

 

Latest update:​
Structured bonds quoted on Nasdaq OMX Copenhagen:​
​28 November 2017October 2017​​​​​​​​​
​28 November 2017September 2017​​​​​​​​​

​28 November 2017

August 2017​​​​​​​​
​27 October 2017​​July 2017​​​​​​​
​28 September 2017June 2017​​​​​​​
​28 August 2017May 2017​​​​​​
28 July 2017April 2017​​​​​​

29 June 2017

March 2017​​​​​
​31 May 2017February 2017​​​
​​3 May 2017January 2017​​​
​28 March 2017December 2016​​
​28 February 2017November 2016
27 January 2017​October 2016​​​​​​​​​​​​​​
​4 January 2017​​September 2016​​​​​​​​​​​​​
28 November 2016August 2016​​​​​​​​​​​​​
​​28 October 2016July 2016​​​​​​​​​​​​
​28 September 2016​​​​June 2016​​​​​​​​​​​​
​28 September 2016​​​ May 2016​​​​​​​​​​​​
​28 September 2016​​April 2016​​​​​​​​​​​​
​28 September 2016 March 2016​​​​​​​​​​​​
​28 September 2016February 2016​​​​​​​​​​​
​28 September 2016January 2016​​​​​​​​​​
​​28 September 2016December 2015​​​​​​​​​​
​28 September 2016November 2015​​​​​​​​​
​28 September 2016October 2015​​​​​​​
​28 September 2016September 2015​​​​​​​
​28 September 2016 August 2015​​​​​​​
​28 September 2016 July 2015​​​​​​
​28 September 2016 June 2015​​​​​
​28 September 2016 May 2015​​​​
​28 September 2016 April 2015​​​
​28 September 2016 March 2015​​​
​28 September 2016 February 2015​​
​28 September 2016January 2015
​​28 September 2015​December 2014
​​28 September 2015​November 2014
​​28 September 2015​October 2014​​
​​28 September 2015​September 2014
​​28 September 2015​August 2014
​​28 September 2015​July 2014
​​​28 September 2015​June 2014
​​​28 September 2015​May 2014
​​28 September 2015​April 2014
​​28 September 2015​​​March 2014​​
​​28 September 2015​
February 2014
​​28 September 2015​
January 2014​​
​​28 September 2015​
December 2013​​​​
​​28 September 2015​
November 2013
​​28 September 2015​
October 2013
30 September 2014​​​
September 2013
30 September 2014​​
August 2013
30 September 2014​​​
July 2013
30 September 2014​​​
June 2013
30 September 2014​​​
May 2013
30 September 2014​​
April 2013
30 September 2014​​
March 2013
30 September 2014​​
February 2013
30 September 2014​​
January 2013
30 September 2014​​
December 2012
30 September 2014​​
November 2012
30 September 2014​​
October 2012
30 September 2014​​
September 2012
30 September 2014​​
August 2012
30 September 2014​​
July 2012
30 September 2014​​
June 2012
30 September 2014​​
May 2012
30 September 2014​​
April 2012
30 September 2014​​
March 2012
30 September 2014​​
February 2012
30 September 2014​​
January 2012
27 September 2013
December 2011
27 September 2013
November 2011
27 September 2013
October 2011
27 September 2013
September 2011
27 September 2013
August 2011
27 September 2013
July 2011
27 September 2013
June 2011
27 September 2013
May 2011
27 September 2013
April 2011
27 September 2013
March 2011
27 September 2013
February 2011
27 September 2013
January 2011
27 September 2013
December 2010
26 September 2012
November 2010
26 September 2012
October 2010
26 September 2012
September 2010
26 September 2012
August 2010

 

Information

The statistics give detailed information on structured bonds by ISIN codes. The data are collected by Danmarks Nationalbank from VP Securities A/S where organizers of the products indicate bond characteristics. The statistics provides data as from August 2010.

Contact names:

Sources and method

Structured bonds by ISIN codes
(DNVPSTRS: by characteristics, and DNVPSTRH: by underlying asset type and investor sector)
 
0 Administrative Information about the Statistical Product
1 Contents
2 Time
3 Accuracy
4 Comparability
5 Accessibility
6 Supplementary Documentation


0 Administrative Information about the Statistical Product

0.1 Name
DNVPSTRS: Structured bonds by characteristics
DNVPSTRH: Structured bonds by underlying asset type and investor sector.

0.2 Subject Area
Securities statistics
Money and credit market.

0.3 Responsible Authority, Office, Person, etc.
Danmarks Nationalbank, Statistics, Securities and External Statistics
Asger Munch Grønlund, tel. +45 33 63 68 12, e-mail: amg@nationalbanken.dk
Thomas Munkebo Steffensen, tel. +45 33 63 68 06, e-mail: tms@nationalbanken.dk

0.4 Purpose and History
The purpose of the statistics is to illustrate the composition and development of the Danish market for structured bonds. Moreover DNVPSTRH makes it possible to follow the investor distribution on these products.

The statistics go back to December 1999.

0.5 Users and Application
The statistics are generally interesting for persons/organizations with an interest in the securities area and especially in structured bonds. The statistics make it possible to follow the development in the Danish market for structured bonds and the distribution of structured bonds on various characteristics such as option type, maturity, underlying asset type, investor sector, etc.

0.6 Sources
The statistics are based on information collected by Danmarks Nationalbank from VP Securities (VP). Information on structured bonds at VP is reported by the bonds' organizers, i.e. the party that has developed and packaged the structured product. The statistics include all VP-registered structured bonds.

0.7 Legal Authority to Collect Data
Pursuant to section 14a of the National Bank of Denmark Act, inserted by Act no. 579 of 1 June 2010, Danmarks Nationalbank has separate authority to collect, compile and publish statistical information to perform its tasks. The collected information may be used for other purposes than compilation of statistics. This particularly applies in connection with oversight of financial stability and when laying down monetary and foreign-exchange policies, as well as in relation to Danmarks Nationalbank's participation in the European cooperation in the financial area.

0.8 Response Burden
Information about VP-registered structured bonds is collected by VP. Organizers of structured bonds have an obligation to provide a number of basic information about the products. Information about holders of structured bonds is also collected from VP, but the distribution on (domestic) sectors is made by using The Statistical Business Register.

0.9 EU Regulation
No direct regulation.

 

1 Contents

1.1 Description of Contents
The statistics cover all VP-registered structured bonds and contain information on the distribution of the bonds on a number of master data: for DNVPSTRS underlying asset type, option type, principal protection, maturity and coupon type, and for DNVPSTRH underlying asset type and investor sector.

1.2 Statistical Concepts
Population

The statistics include all VP-registered structured bonds.

Dimensions

The variables in the statistics are:

  • Underlying asset type
  • Investor sector (DNVPSTRH)
  • Option type (DNVPSTRS)
  • Principal protection (DNVPSTRS)
  • Maturity (original maturity) (DNVPSTRS)
  • Coupon type (DNVPSTRS)
  • Valuation
  • Data type.

More details on the methodologies are found below.

Underlying asset type
Type of asset (equity, commodities, etc.), to which the product's option is linked:

  • Equity: Single share or share index
  • Currency: Currency pairs, single currency, etc.
  • Interest rate: Interest-rate spread, etc.
  • Commodities: Single commodity or basket of commodities
  • Other: Other asset type than the above
  • Multi: A combination of the above asset types.

Investor sector (DNVPSTRH)
The sector distribution adheres to the guidelines of ESA95 (The European System of Accounts). The domestic sector distribution is based on information from The Statistical Business Register. Generally, the statistics are divided into the following sectors (the numbers in brackets are the sector codes from ESA95):

  • Non-financial corporations (S.11): Consist of institutional units whose distributional and financial transactions are separated from those of their owners. This means e.g. that sole proprietorships are not included in the sector. The principal activity of the units is the production of goods and non-financial services.  Non-financial corporations are sub-divided into publicly-owned and privately-owned non-financial corporations.
  • MFIs (S.121-2): Consist of corporations which are principally engaged in financial intermediation and whose business is to receive deposits or close substitutes from the general public and other institutional units than the sector as such and to divert these in the form of loans and/or investments in securities for own account. The sector comprises banks, mortgage banks, other credit institutions, money-market funds and Danmarks Nationalbank.
  • Other financial intermediaries etc (S.123-4): Consist of financial intermediaries that do not fit into the other financial sectors. The sector comprises investment funds, financial holding companies, LD Pensions and the Special Pension Savings scheme (SP). It also includes investment trusts, venture and leasing companies and companies providing consumer credit (e.g. via charge cards). Furthermore the sector includes financial auxiliaries, i. a. comprising Nasdaq OMX Copenhagen, VP, stockbrokers, insurance brokers and Nets.
  • Insurance corporations and pension funds (S.125): Consist of all insurance corporations and pension funds whose principal function is to act as financial intermediaries by pooling risks, excluding the public pension schemes LD Pensions and SP. Examples of units are non-life insurance corporations, life insurance corporations, pension funds and ATP (The Danish Labour Market Supplementary Pension).
  • General government (S.13): Consist of authorities and institutions whose principal function is to supply non-market public services to the general public and/or to redistribute income and wealth. Non-market services are defined as services actively controlled by public authorities and supplied free of charge or at economically not significant prices. The sector is sub-divided into central government, local government and social security funds.
  • Households, etc. (S.14-15): Consist of two sectors. The household sector (S.14) comprises consumers and sole proprietorships where the business activity is not segregated into independent legal entities. Non-profit institutions serving households (S.15) comprises non-profit entities supplying goods and services to households (e.g. trade unions and charities).
  • Rest of the world (S.2): Securities are in principle regarded as owned/issued by non-residents if the fiscal status of the owner of an account is that of a non-resident.

Option type (DNVPSTRS)
The variable specifies details of the option linked to a structured bond. The organizer can enter up to five different option types attached to the product option. However, these statistics focus on the three most common option types: Asian, Basket, Capped/floored, and combinations thereof..

  • Asian: In contrast to a plain vanilla European option, the value of Asian option is not determined by the value of the underlying asset at a specified time (date of maturity), but by the average price of the underlying asset during a period prior to the date of maturity.
  • Basket: Exotic option, the underlying asset of which is a (weighted) sum or average of several assets
  • Capped/floored: The option has a cap/floor on its return.
  • Asian + Basket: The option is both Asian and Basket.
  • Basket + Capped/floored: The option has characteristics of both Basket and Capped/floored options.
  • Asian + Basket + Capped/floored: The option has characteristics of both Asian, Basket and Capped/floored options.
  • Other combinations: Other combinations than the above, including both the simple plain vanilla options, and options with different characteristics than those described above.
Principal protection  (DNVPSTRS)

The variable indicates whether the investor is guaranteed to get the principal back at maturity. The variable is calculated based on the stated minimum redemption price, and takes no account of the issue price.

  • Principal protection 100 per cent: Repayment guaranteed of minimum 100 per cent of the principal at maturity Minimum redemption price = 100.
  • Principal protection over 100 per cent: Repayment guaranteed of a percentage share above 100 of the principal at maturity. Minimum redemption price > 100.
  • Partial principal protection (less than 100 per cent): Repayment guaranteed of a percentage share between 0 and 100 of the principal at maturity. Minimum redemption price < 100.
  • No principal protection: No guarantee for repayment at maturity. Minimum redemption price = 0.
  • Not stated: No information about the minimum redemption price.
Maturity (original maturity)  (DNVPSTRS)

Original maturity of the structured bond. The variable is calculated as the difference between issue date and date of maturity. Both dates are reported by VP and recorded in connection with bond issuance.

  • Original maturity <= 1 year: Difference between issue date and date of maturity is calculated to be equal to or less than 365 days (up to 1 year)
  • 1 year < original maturity <= 3 years: Difference between issue date and date of maturity is calculated to be between 366 and 1,095 days (1-3 years)
  • 3 years < original maturity <= 5 years: Difference between issue date and date of maturity is calculated to be between 1,096 and 1,825 days (3-5 years)
  • 5 years < original maturity (incl. perpetual maturity): Difference between issue date and date of expiry is calculated to be above 1,825 days (above 5 years).
Coupon type  (DNVPSTRS)

Type of interest on the underlying bond:

  • Zero coupon bond: Bond which pays no interest.
  • Fixed coupon (excl. zero coupon): Bond which pays a fixed interest during the entire maturity of the product.
  • Adjustable coupon: Bond with adjustable interest, typically growth products where return is paid currently – in the form of interest.
Valuation

Stock and net supply are valued according to the following principles:

  • Market value: Stocks are calculated on the basis of market price at month-end (closing price from Nasdaq OMX Copenhagen). If no month-end market price is available the last registered price or price 100 is used for structured bonds. Transactions are calculated at estimated market value.
  • Nominal value: Stock and net supply are calculated at nominal value.
  • Number of issues/ISIN (DNVPSTRS): It is possible to see the number of products (issues) in both the stock and the net transactions. In this way it is possible to get an idea of whether many small series or few large series are issued.
Data type

Net supply is calculated as new issues less redemptions/withdrawals. Market value of net supply is estimated at market price on the transaction day (the closing price from Nasdaq OMX Copenhagen). If this market price is not available the same procedure as for stock is used, cf. above.

All stock in foreign currency is converted into Danish kroner at the exchange rates at month-end, while transactions are converted at the average exchange rates for the month in question.

The net supply is often different from the change in stock between two periods. The difference is called revaluation adjustments and consists of both value and currency adjustments. Value adjustments are calculated as the difference between market value of stocks at the end and beginning of the month minus net transactions of the month. Both market value and net transactions are beforehand converted into Danish kroner using the average exchange rate. Subsequently the currency adjustment is calculated as a residual.

 

2 Time

2.1 Reference Period

The statistics are compiled at month-end.

2.2 Date of Publication

The statistics are published on the 18th banking day of the month comprising figures by the end of previous month.

2.3 Punctuality

The statistics are usually published without delay in relation to the scheduled date.

2.4 Frequency

The statistics are published every month.

 

3 Accuracy

3.1 Overall Accuracy

The statistics are based on legally valid registrations with VP. Therefore, the overall accuracy is considered high. All VP-registered structured bonds are covered by the statistics. Furthermore, manual and automatic consistency checks are performed to ensure the accuracy of the data.

3.2 Sources of Inaccuracy

The statistical uncertainty relates almost exclusively to the classification of industry and/or sector. This classification is based on information from The Statistical Business Register.

3.3 Measures on Accuracy
The statistical uncertainty is not calculated.

 

4 Comparability

4.1 Comparability over time

There is a high degree of comparability over time.

Comparability over time as far as holders are concerned depends on data being revised backwards in time of any corrected registrations in The Statistical Business Register. In principle, this will not be possible as it is a time-consuming task.

4.2 Comparability with other Statistics

The two parts of the statistics (DNVPSTRS and DNVPSTRH) are comparable. In both it is possible to see e.g. the development of structured bonds by underlying asset type.

4.3 Coherence between Provisional and Final Statistics

The statistics are normally revised two reference periods back when the present month is published, cf. also Danmarks Nationalbank's revision policy for financial statistics and the appurtenant revision cycle.

 

5 Accessibility

5.1 Forms of Dissemination

Published monthly via updating of Danmarks Nationalbank's StatBank and csv files,

www.nationalbanken.dk
http://nationalbanken.statbank.dk

www.statbank.dk

5.2 Basic Material: Storage and Usability
Data is collected from VP electronically and stored in local databases from which data to StatBank Denmark are transmitted.

The statistics can be used for e.g.:

  • Analysis of the composition and development of the Danish market for structured bonds (DNVPSTRS)
  • Analysis of the development in underlying asset types. Is the trend towards shorter-term structured bonds or the opposite? Are more or fewer products issued with partial principal protection than before? (DNVPSTRS)
  • Analysis of changes in ownership distribution of structured bonds (DNVPSTRH)
  • Analysis of which underlying asset types are the most popular among different investor sectors (DNVPSTRH)

5.3 Documentation
None.

5.4 Other Information
No further information ins available.

 

6 Supplementary Documentation
None.

 
Last revised: 23/06/2017