BTPs Futures Open Sharply Lower Before Bouncing Following DBRS
Source: BFW (Bloomberg First Word)
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UUID: 7947283
(Bloomberg) -- Italian bond futures open lower by 49 ticks, before quickly bouncing after DBRS lowered rating by one notch on Friday. Cut will result in higher haircuts on Italian bonds used in ECB operations.
Alert: HALISTER1- BTP futures now 30 ticks lower at 134.34, the change equates to ~2.9bps in 10y yields; Friday’s closing level in 10-year bond yields was 1.896%
- BTPs will now attract higher collateral in ECB operations; a 10-year bond, which used to attract haircut of 3% would attract a haircut of 11.5% post- downgrade; impact may be 10-15bps of spread widening, Natwest Markets write in a client note
Source: BFW (Bloomberg First Word)
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UUID: 7947283