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.

*http://www.lchclearnet.com/Images/General%20regulations_tcm6-43737.pdf

Further Information

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