This is one of the many streets in downtown Reykjavik that is named after the Nordic gods. It’s literally “Baldur’s Street”. Baldur being the son of Odin. They also have Óðinsgata (Odin’s street), Þórsgata (Thor’s street) and more.
Then there is Lokastígur (Loki’s path) which crosses Baldursgata, because Loki crossed…