Statistiche › Attivo, passivo e flussi › Note markups
Danish retail notes were issued about 6% above their theoretical value and half of that cost was not disclosed
| Misura | Figura | Nota |
|---|---|---|
| Mean total overpricing | 6.17% | Significant at 1%, N = 300 |
| Median | 5.86% | Standard deviation 4.16 |
| Range | -4.12% to 18.80% | Some notes were issued below modelled value |
| Mean undisclosed cost | 2.83% | Roughly half of all costs |
| Mean disclosed annual percentage rate | 1.03% | What the buyer was told |
| Median redemption price of 206 expired notes | Exactly 100 | The guarantee paid and nothing more |
380 principal protected notes issued in Denmark between 1998 and the end of 2009. Modelled value uses a domestic zero coupon curve with no credit spread and a multi asset simulation. The authors' summary is that only half of all costs are disclosed to investors. One widely cited literature table misstates this sample period as 1998 to 2001.
Across 380 principal protected notes issued between 1998 and 2009, the average gap between issue price and modelled value was 6.17 per cent. The hidden component averaged 2.83 per cent against a disclosed cost of 1.03 per cent.
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