From April 10, via Francesco Garzarelli, two weeks into Q2:
And of course this from June, which just happened to be was a tag-end in June:Our recommendation to be short 5-yr Spanish bonds (Oct-2016) against their Italian counterparts (Sept-2016), initiated on March 14 at a yield differential of -6bp, is now at -24.9bp, against our target of -50bp. We would now close the trade, with a potential period total return of 0.35%. in light of the re-pricing that has already occurred, we advise investor to close this particular trade as markets tensions originated on concerns over Spain are now also affecting Italian rates and we do not see much more room for Italian rates to further outperform Spanish ones.
In other words, Goldman advised clients to be buying Italian bonds exiting Q1 and heading into Q2, as well as exiting Q2 and heading into Q3.We recommend being long an equally-weighted basket of benchmark 5-year Spanish, Irish and Italian government bonds, currently yielding 5.9% on average, for a target of 4.5% and tight stop loss on a close at 6.5%.