VOLUME 21 - BULLETIN #253
TO:
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ALL EXCHANGE MEMBERS
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FROM:
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BUSINESS SYSTEMS GROUP
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DATE:
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December 5, 2001
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SUBJECT:
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Accrued Interest on Margin Securities
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On Thursday, December 6, 2001 the Board of Trade Clearing Corporation will start giving margin credit to member firms for accrued interest on certain margin securities that are issued with fixed rate coupons. Accrued interest credit will be granted to each firm by origin for US domestic fixed income securities on deposit with the Clearing Corporation for the accrued income by CUSIP rounded down to the next lower $1,000 increment. (No credit will be given for the inflation adjustment accrual for US Treasury inflation index notes and bonds, nor will credit be given for accrued interest on money market fund shares or foreign sovereign debt.)
Members will see the amount of the accrued interest component of their margin collateral on infopac report OMR00011. The OMR00002 and the CRA00001 reports will reflect the accrued interest credit in the security valuation but will not show it as a separate item.
Should you have any questions, please call or e-mail one of the following Business Systems Analysts:
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