Margins’ Parameters
February 7th, 2017
CC&G: Bond Section, test of Repos contracts on Sovereign bonds
issued by Spain, Ireland and Portugal
PORTUGAL
CLASS
SPAIN
DURATION BUCKET MARGIN INTERVAL
I
(0-3M]
0,60%
CLASS
IRELAND
DURATION BUCKET MARGIN INTERVAL
I
(0-3M]
0,30%
CLASS
DURATION BUCKET MARGIN INTERVAL
I
(0-3M]
0,20%
II
(3M-6M]
1,10%
II
(3M-6M]
0,60%
II
(3M-6M]
1,00%
III
(6M-1Y]
4,25%
III
(6M-1Y]
1,20%
III
(6M-1Y]
2,45%
IV
(1Y-2Y]
7,75%
IV
(1Y-2Y]
2,70%
IV
(1Y-2Y]
5,95%
V
(2Y-3Y]
12,95%
V
(2Y-3Y]
3,65%
V
(2Y-3Y]
6,40%
VI
(3Y-4Y]
13,60%
VI
(3Y-4Y]
4,45%
VI
(3Y-4Y]
6,15%
VII
(4Y-5Y]
16,00%
VII
(4Y-5Y]
5,50%
VII
(4Y-5Y]
6,90%
VIII
(5Y-7Y]
15,60%
VIII
(5Y-7Y]
6,45%
VIII
(5Y-7Y]
7,60%
IX
(7Y-10Y]
13,60%
IX
(7Y-10Y]
8,30%
IX
(7Y-10Y]
8,45%
X
(10Y-15Y]
15,85%
X
(10Y-15Y]
11,85%
X
(10Y-15Y]
10,60%
XI
(15Y-30Y]
28,30%
XI
(15Y-30Y]
17,90%
XI
(15Y-30Y]
22,40%
XII
Inflation linked
11,00%
2