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| Originating department: | Risk Management |
| Company Circular No: | LCH.Clearnet Ltd Circular No 2919 |
| Service Circular No: | RepoClear: 174 |
| Date: | 27 July 2011 |
| To: | All RepoClear Clearing Members |
Amendment of RepoClear €GC Baskets to exclude Cyprus
Following Moody’s lowering of its sovereign credit ratings on Cyprus to BBB+ on Wednesday 27 July 2011, RepoClear participants are advised that with effect from Thursday 28 July 2011 Cypriot Government bonds will no longer be eligible for delivery in any of the RepoClear €GC Baskets.
Until today’s downgrade Cyprus 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 |