Hopefully nobody will be surprised to learn that after Spanish bonds closed at all time records earlier, just shy of 7.50%, that LCH has decided to hike margins on not only Spanish bonds, in the 7-30 year duration windows (from 11.80% to 12.20% for the benchmark 10 Year), but also on Italian bonds, at both the short and long-end, which are now also rapidly approaching the 7% threshold, pushing the 7-10 Year duration window from 9.50% to 11.65%, and which will approach it much faster now that there will be even more forced margin selling to cover collateral calls.
Spain:
[4]
Italy
[5]
Source: LCH [6]