Market Notice No: 202105
Date: 15 November 2021
The initial BKBM Rate Set published on the 15th November 2021 by the NZFBF used an incorrectly entered trade in the 3month tenor. The value used was 0.85 where it should have been 0.84.
The error in the data entered was not picked up until after the market calculated which compelled the NZFBF to amend the data and recalculate the market.
The corrected data was published at 10:46am NZDT (5minutes after the initial publication) and changed the 3month rate from 0.84667 to 0.84333 (-0.00334 difference).
The 4 and 5month interpolation was consequently changed by -0.00222 and -0.0011 respectively.
NZFBF regrets any inconvenience this may have caused.
If you have any comments or questions, please contact the NZFBF Helpdesk.