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| 1857 LCH margin hikes on italian Btps ? | | | |
| Here below the guidelines for the LCH re. boonds : • LCH.Clearnet Ltd monitors the yield spreads between 10-year bonds from each sovereign issuer and benchmark 10-year AAA government bonds. We would generally consider a spread of 450 basis points over the 10-year AAA benchmark to be indicative of additional sovereign risk and LCH.Clearnet Ltd may materially increase the margin required for positions in that issuer. As a guide, materially would likely mean an increase in the order of 15% of position size, with further material increases in margin charged as the spread deteriorates further. We will also consider whether additional margin is required from indicators in CDS prices or Market Implied Rating data. according to these guidelines, tonight close of btp, well above the 450 BP of spread could trigger a margin hike by LCH. This happened when Irish spread broke 450 : LCH hiked margins, and hiked 2 more times when spreads stabilized over 500 bp. Could this explain the sudden drop of btp from 94.50 to 92.80 toward the close of the market? fears of margin hike ? which of course is not a nice visiting card for btp holders... | |
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