Incorrect fixing yields for monthly cash settlement
As of 20th of April the fixing yield used for margin calculations for the series below has been incorrect.
Due to the incorrect fixing yield, the monthly mark to market calculations on the 30th of April with settlement day on the 6th of May was incorrect and needs to be recalculated.
| Serie | Incorrect Fixing 30/4 | Correct Fixing 30/4 |
| R2RR | -0,290 | -0,284 |
| R5RR | 0,095 | 0,085 |
| ST2RR | 0,010 | 0,017 |
| FRA15R | -0,170 | -0,1750 |
The incorrect fixing yield for monthly mark to market was communicated on the 30th of April in Exchange notice “Monthly fixing information – Fixed income 12/15 “.
We are currently recalculating settlement, and will contact each affected member with specific information.
For further information concerning this exchange notice please contact Clearing Operations, telephone +46 8 405 68 80, or clearing@nasdaqomx.com.