RECALCULATION OF PDST-R1 AND PDST-R2 INTERPOLATED RATES FOR SHORT TENORSPosted on: August 17, 2016
Please be advised that due to a failure to update an Overnight Rate from four percent (4.0%) to three percent (3.0%) (established on 03 June 2016) within our system, the interpolation of PDST-R1 and PDST-R2 for short benchmark tenors and affected government securities produced incorrect results on certain dates between 03 June 2016 to 18 July 2016.
Following are the revised calculations for the affected tenor and securities for 18 July 2016:
|Benchmark Tenor||Published PDST-R1||Corrected PDST-R1||Published PDST-R2||Corrected PDST-R2|
|Tenor/Security||Published PDST-R1||Corrected PDST-R1||Published PDST-R2||Corrected PDST-R2|
The rate has been updated to 3.0% as of July 19, 2016; from that date onward, rates interpolated as needed for the short tenors and government securities have been based on the 3.0% rate.
A report on affected reference rates since 3 June 2016 is attached hereto.
We humbly apologize for this incident and the inconvenience caused, and wish to assure you that measures to strengthen control of our manual processes have been implemented to mitigate a recurrence of this incident going forward.
We also wish to reassure you of our commitment to ensure the accuracy of the data calculated and published under the Calculation Agency and the responsiveness of our systems to the requirements of the Bankers Association of the Philippines and the Bangko Sentral ng Pilipinas (BSP).
Please click the link below for a copy of the memo and the attached annexes.