More fireworks this afternoon?
Further to our first winning trade of the day (details below), the bears may well have even more to celebrate as the spread that LCH uses on BTPs (Italian bonds), a benchmark composed of Bunds, OATs and other EMU sovs, hit 450bps.
If this is sustained throughout the day there will be a margin call from LCH. Blackrock and others (including the ECB) may have to liquidate, and then we will really see some fireworks.
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