Management of Sovereign Credit Risk for RepoClear Service 

In accordance with the Sovereign Credit Risk Framework and in response to the yield differential of 10 year Irish government debt against a AAA benchmark, LCH.Clearnet Ltd has revised the risk parameters for Irish government bonds cleared through the RepoClear service.  The additional margin required for positions of Irish government bonds will consequently be increased to 35% for long positions; this amount will be adjusted for the current bond price.  Short positions will pay a proportionately lower margin.

1. This decision is based solely on publicly available yield spread data and in no way represents a forward looking market view. LCH.Clearnet will continue to monitor yield spreads closely and keep the parameters under close review in accordance with the Sovereign Credit Risk Framework.

2. The additional margin will be reflected in a margin call/repayment on Friday 25 March 2011.

3. Report 74 (available on the LCH.Clearnet Member Reporting website) will detail any further changes in the margin levels charged under this framework.

4. This circular supersedes LCH.Clearnet Ltd Circular No 2746 dated 06 December 2010.

5. For further information please contact either Tom Chapman ([email protected]) +442074266338 or Lianne Arnold ([email protected]) +442074267376
    
   

Christopher Jones
Executive Director, Head of Risk Management