Yield spreads on 10-year Italian bonds spiked to a post-EMU record of 491 basis points over German Bunds. Crucially, they reached 424 points over the benchmark AAA basket used by LCH Clearnet to fix margin requirements. The exchange has in the past raised the bar once spreads reach 450 and stayed there for a few days. "The markets will price in financial systemic risk once we get to this level," said Andrew Roberts from RBS.