Management of Sovereign Credit Risk for RepoClear Service 

Dear RepoClear Member,

1. In accordance with the Sovereign Risk Framework issued on 5 October 2010, LCH.Clearnet Ltd has revised the risk parameters for Irish government bonds cleared through the RepoClear service.  The margin required for positions of Irish government bonds will consequently be increased by 15% of net exposure. This will also apply to Irish government bond exposures in the single 'A'  €GC basket. LCH.Clearnet will continue to monitor the situation closely and keep the parameters under close review.  

2. The additional margin will be charged on net exposure at close of business on Thursday 11 November 2010 and will be reflected in a margin call on Friday 12 November 2010.

3. Those members affected by the changes will be contacted individually later today and given an indication of the size of the margin call.  

4. Details of the Sovereign Risk Framework can be found on the LCH.Clearnet website (www.lchclearnet.com) under Risk Management > Ltd > Margin rate circulars > RepoClear.

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

6. This circular supersedes circular LCH.Clearnet Ltd Circular No 2702; RepoClear/147 dated 25 October 2010.

7. For further information please contact either myself ([email protected]), +442074267103 or Tom Chapman ([email protected]) +442074266338

Christopher Jones
Director, Risk Management