LTRO Stigma Spikes As Sovereigns Slump

Tyler Durden's picture

As we approach the US day session open, Europe is on a similar trend to yesterday with broad market weakness. European sovereigns, most notably the fulcrum securities in Italy and Spain - but also France, are at their worst levels in three weeks with Italian 10Y back over 5% yield and Spanish 10Y back over 5.5% (near its worst level since mid January). The LTRO Stigma (the spread between LTRO-encumbered banks and non-LTRO-encumbered banks) has jumped again and is near its worst levels since the initial LTRO at over a 90bps differential. Corporate credit and stocks are also notably weaker as credit decompresses to catch up with stocks weakness as CDS roll technicals unwind.

European Sovereign Yields are accelerating - especially Spain...

The LTRO Stigma is now very close to record wides and has accelerated notably post the CDS roll...

Post the CDS roll, corporate and financials credit is catching up to equity's broad weakness...

Charts: Bloomberg