Quotes from Societe Generale Cross Asset Research:
-Italy was downgraded and placed on negative watch on September 19 by S&P when 10y BTP yields were trading at 5.59%. Today yields are trading 100bp higher, near 6.60%. Measured roughly against an outstanding 10y loan stock of EUR 150bn (accounting for 2020, 2021 and 2022 maturities only), a 100bp markup in yield increases the refunding cost by EUR 15bn.
-Extrapolating that across the maturity spectrum and accounting for the rapidly worsening macro backdrop inevitably means Italy must be close to another credit review. It is difficult to accept that the EUR is already priced for this event.
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