VOLUME 20 - BULLETIN #97
TO:
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ALL CLEARING MEMBERS
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FROM:
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BUSINESS SYSTEMS GROUP
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DATE:
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March 23, 2000
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SUBJECT:
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Sovereign Debt as Original Margin
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The Board of Trade Clearing Corporation is pleased to announce that it will begin accepting sovereign debt as original margin collateral. Previously, original margin collateral deposits were restricted to cash, letters of credit, equity securities and U.S. government securities.
Original margin deposits in the form of sovereign debt from Canada, France, Germany and the United Kingdom will be accepted at this time as set forth below. Sovereign debt from these countries will be held in BOTCC® accounts and are subject to appropriate haircuts. Haircuts on sovereign debt are designed to minimize the risk in case of adverse price movements in the sovereign debt itself and in its corresponding currency.
At present, BOTCC will only accept sovereign debt through Bank One (London) if such debt is eligible to be transferred via the Euroclear or Clearstream systems. Listed below are securities that Bank One (London) has advised us meet this criteria. Please note that clearing members will be responsible for all taxes that are assessed in connection with the deposit, holding and withdrawal of these securities.
Securities Eligible For Deposit At Bank One (London)
Country of Foreign Currency
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Debt Security
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1) United Kingdom
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Gilts
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T-Bills (GBP and EUR denominated)
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2) France
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Government Bonds (OAT)
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BTN (Bons du Tresor Negociable)-
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Consisting of BTAN and BTF
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3) Germany
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Government Notes (Bubills)
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Government Notes (Schatze)
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Government Notes
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Volume 20 – Bulletin #97
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(Kassenobligationen)
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Government Bonds (Bunds)
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4) Canada
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Government Bonds
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T-Bills
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Sovereign Debt Haircut Rates
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United Kingdom
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Current Haircut
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1 year
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3.00%
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5 year
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3.50%
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10 year
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4.50%
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30 year
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4.50%
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Germany
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1 year
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3.00%
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5 year
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3.50%
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10 year
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4.50%
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30 year
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4.50%
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Canada
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1 year
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4.00%
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5 year
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4.50%
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10 year
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5.00%
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30 year
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5.50%
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France
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1 year
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3.00%
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5 year
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3.50%
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10 year
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4.50%
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30 year
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4.50%
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Should you have any questions, please call or e-mail one of the following Business Systems Analysts:
BOTCC is a registered trademark of Board of Trade Clearing Corporation.
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