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| 1700 lch clearnet says it has not raised margin charges on italian bonds | | | |
| lch clearnet says it has not raised margin charges on italian bonds • 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. if the margins are hiked, this could trigger forced selling of italian bonds, this will turn in higher yields, and enter a vicious circle... The italian and french counterparties use more more Clearnet SA, which has a much less rigid policy on haircuts | |
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