ScanRate provides the The Danish Securities Services (Værdipapircentralen - VP) with synthetic/fair prices for all Danish bonds. The prices are distributed by VP in their vp.Fact data feed and used by market participants to determine the collateral value of Danish bonds.
The main idea is to provide prices for illiquid bonds, which are conservative in the sense that it is to be expected that the bonds will actually be able to sell at the stated price. To establish the synthetic prices the chosen method relies on quoted prices and turnover for the most liquid callable mortgage bonds as well as Danish government bonds.
Prices of callable bonds are found by interpolation between the most liquid bonds of similar characteristics, while noncallable bonds are priced on a yield curve based on government bonds using a spread, which is calculated from callable low coupon bonds. Special procedures are undertaken to ensure conservative price estimates for bonds with very high and low coupons as well as bonds with short maturities.
The chosen method has been extensively tested over several years of data and has been found to yield very stable results. For more details we refer to the fact sheet as well as the technical description by Technical document by Jakobsen, Frandsen and Strunge