Amendment of AA €GC Baskets 

Following the lowering by Moody’s of its sovereign credit ratings on Spanish Government bonds to single A+ on Tuesday 18 October 2011, RepoClear clients are advised that, with effect from Thursday 20 October 2011, Spanish Government bonds will no longer be eligible for delivery in the €GC AA Baskets.

LCH.Clearnet Ltd continues to clear Spanish Government bonds in the following €GC Baskets:

• €GC Spanish Country Basket

• €GC Single A Basket

For the avoidance of doubt, €GC Baskets are based on settlement in both the Euroclear Bank and Clearstream Banking Luxembourg Triparty services and are separate from the core RepoClear specific-ISIN clearing business. 

Further Information

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

Yours sincerely,

Nick Maggs
Senior Manager
Fixed Income Market Liaison
[email protected]