It has been a disastrous day for the....>

EGB SUMMARY: It has been a disastrous day for the ECB in terms of the market's

response to its decision. The ECB left interest rates on hold while announcing

new TLTROs with an interest rate floor tied to 25bp below the deposit rate (25bp

lower than previously). An extra E120bln of QE was also announced to be

completed by the end of the year. These decisions underwhelmed the market and

peripheral bonds in particular sold off. However, the biggest moves came during

the press conference after Lagarde said that the ECB's role was not to close

spreads in sovereign debt markets.

- BTPs saw their biggest move in basis points ever today, at one point up over

65bp on the day with spreads to Bunds hitting a high of 267bp. Although there

was some retracement later, spreads remain over 60bp wider on the day at the

time of writing. Less extreme but similar moves have been seen in other

peripherals and semi-core EGBs.

- Bund futures are down -0.35 today at 176.42 with 10y Bund yields up 1.1bp at

-0.734% and Schatz yields up 0.9bp at -0.955%. BTP futures are down -6.65 today

at 138.27 with 10y yields up 57.3bp at 1.746% and 2y yields up 53.3bp at 0.751%.