Repo contracts on sovereign bonds issued by Spain, Ireland and Portugal

Project scope is to extent CC&G guarantee scheme on MTS Repos to sovereign bonds issued by Spain, Ireland and Portugal. The new contracts will be traded on a dedicated segment of MTS Repo market, where Italian Repos are already traded, cleared and guaranteed by CC&G in the Bond Section and settled in Monte Titoli.

Service Model

    • Repos on bonds issued by Spain, Ireland and Portugal will be managed within the operating Fixed Income Section; the clearing and guarantee’s scheme the margin methodology mechanisms between CC&G and its Participants will therefore be the same already applied for Repos on Italian Bonds;

    • CC&G will be the unique CCP;

    • The managing of contractual positions, as well as the computation of margins and Default Fund contributions, will be carried out following the same rules of the operating Fixed Income Section.

    • In order to determine the Initial Margin’s amount for those positions related to Repos on bonds issued by Spain, Ireland and Portugal, the MVP methodologiesy will be applied;

    • In order to take into account correlations between short and long positions within the same duration class and between two contiguous duration classes, intra and inter class offsetting factors will be defined also for bonds issued by Spain, Ireland and Portugal as already foreseen for Italian bonds. No offset is applied between positions originated by different Countries;

    • The Sovereign bonds issued by Spain, Ireland and Portugal traded spot on retail markets and on the MTS Repo Market will be managed with the foretold methodology as well.