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| Originating department: | Risk Management |
| Company Circular No: | LCH.Clearnet Ltd Circular No 2749 |
| Service Circular No: | RepoClear: 156 |
| Date: | 09 November 2010 |
| To: | All RepoClear Clearing Members |
Amendment of RepoClear €GC Baskets to exclude Ireland
Following the lowering by Fitch Ratings of its sovereign credit ratings on Republic of Ireland debt to BBB+ on Thursday 9 December 2010, RepoClear participants are advised that with effect from the 10 December 2010 Irish Government bonds will be no longer be eligible for delivery in any of the RepoClear €GC Baskets.
Until today’s downgrade Ireland had been eligible for the single A €GC Basket.
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:
| 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 |