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Originating department:Risk Management
Company Circular No:LCH.Clearnet Ltd Circular No 2692
Service Circular No:RepoClear: 148
Date:06 October 2010
To:All RepoClear Clearing Members

Amendment of AA €GC baskets to exclude Ireland

Following the lowering by Fitch Ratings of its sovereign credit ratings on Republic of Ireland debt to A+ on Wednesday 6th October 2010, RepoClear participants are advised that with effect from the 7th October 2010 Irish Government bonds will be no longer eligible for delivery in the €GC AA baskets. From this date, Irish Government bonds will continue to be eligible for the €GC A baskets.

This is in line with LCH.Clearnet Ltd’s Regulations*, which state that while the criteria which define each of the eligible €GC baskets remains fixed, the countries’ debt meeting the defined criteria for inclusion in each basket may change from time to time. Where the combined credit rating of a country that falls within the definition of Euro zone countries changes, LCH.Clearnet Ltd will add or remove that country’s debt from each of the relevant eligible €GC baskets based on the new combined credit rating of that country.


Further Information

If you have any questions, or would like further information, please contact one of the following: 

General RepoClear Nick Maggs+ 44 (0) 20 7426 7442
Risk Department Tom Chapman+ 44 (0) 20 7426 6338
Business Operations Mark Baker+ 44 (0) 20 7426 7217