Pricing Services
NBP`s main objective is to provide best estimated market prices for the instruments covered. This objective is accomplished through gathering information and data, cleansing and processing of data and quality assurance by experienced analysts.
Valuations are estimated based on broker quotes and indications, and in addition, on several other sources of market information when available. Such market information may be secondary market trading levels, primary market issuance and market information provided by fund managers or traders.
NBP has close to full coverage in the Norwegian market, aiming for the same in the Swedish market by the end of 2023.
*XS ISIN: Swedish and Norwegian domiciled issuers only; Issues in EUR; NOK and SEK.
** Estimated coverage.
Index Services
The NBP Index family is composed of a universe of bonds registered in the Norwegian CSD (Euronext Securities Oslo) or the Swedish CSD (Euroclear Sweden). The indices are created to offer fixed income investors with independent benchmarks to evaluate the performance of their portfolios. NBP is an approved Benchmark Administrator, under EU 2016/1011 Benchmark Regulation.
NBP Index family consist of three main groups of indices: Norwegian government debt, Regular Market (“Investment Grade”) and Hight Yield. In 2022, NBP launched a Nordic High Yield Index.
The charts and table below display index levels since inception, in 2022 and annual performances.
Regular Market (RM) are divided into following classes:
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Covered bonds and bonds issues by Municipalities (RM1),
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Senior unsecured and senior non-preferred bonds issued by financials (RM2),
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Corporate bonds ex financials and subordinated financials (RM3), and
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Hybrid bonds (T1) (RM4).
Figure 1 gives an overview of the NBP index family.
Figure 1: NBP index family
Fixed and floating rate RM indices are divided into several sub-indices by RM-class and, for fixed rate securities, duration targets. Figure 2 gives an overview of the RM sub-indices ex liquidity indices.
Figure 2: NBP Regular market indices
Duration indices have following targets:
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0.25: Issues with modified duration below 0.875 (government only).
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0.5: Issues with modified duration below 1.25 (government only).
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1: Issues with modified duration below 3.
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3: Issues with more than a year to maturity and a modified duration below 8.
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5: Issues with more than a year to maturity.
Liquidity indices (WAL target) are designed for benchmarking low interest rate risk portfolios, i.e., securities with a maximum of one year interest rate fixing period. The indices are set out to comply with ’Liquidity Fund’ rules as outlined by Verdipapirfondenes Forening (VFF) link.
The High Yield Index allows for bonds denominated in multiple currencies and currency hedged indices are offered. The currency hedge is against the base currency with rolling one moth currency forwards.