Correction of the PDST-R2 for 3Y and Six (6) Government Securities for 11 August 2015Posted on: August 12, 2015
ATTENTION: FI Trading Participants
Re: Correction of the PDST-R2 for 3Y and Six (6) Government Securities for 11 August 2015
Please be advised of the following revisions to the PDST-R2:
These corrections result from the exclusion of a trade with an erroneous yield discovered after the computation and publication of today’s PDST-R2. The trade details are as follows:
· Security: FXTN 05-72
· Face Amount: 50 MM
· Erroneous Yield: 3.9400%
· Time: 3:52:59 PM
This erroneous trade affected only the PDST-R2 calculations for the aforementioned (1) benchmark tenor and six (6) government securities. The PDST-R2 of other benchmark tenors and government securities as published are correct. The published PDST-R1 is also correct.
Please be guided accordingly.
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