Amendment of single A €GC baskets to exclude Greece

Following the lowering by Fitch Ratings of its sovereign credit ratings on Greece's debt to BBB+ with a negative outlook on Tuesday 8 December 2009, RepoClear participants are advised that with effect from the 9 December, 2009 Greek Government bonds will be no longer be eligible for delivery in the €GC single A baskets.

Whilst 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 the Clearing House 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.

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
nick.maggs@lchclearnet.com