CLARIFICATION #1 – January 17, 2013
Please be advised that effective Friday, March 8, 2013 RTH cycle CME Clearing (CME) will use price plus accrued (dirty price) for debt securities. Price plus accrued includes the accrued interest in the value of the security.
Please note this change will affect U.S. treasuries, agencies, and foreign sovereign debt. CME already uses dirty prices for corporate debt securities, and the distinction between clean versus dirty price does not apply to mortgage backed securities.
Note also that this change in pricing methodology will not affect haircuts. Please see CME Clearing website for acceptable collateral and applicable haircuts.
For any questions regarding the change to price plus accrued, please contact CME Clearing Financial Unit at (312) 207-2594 or Risk Management department at (312) 648-3888.
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