Euro breakup risks, although subsiding, are still high on investor minds.
Almost one in two fund managers surveyed by Bank of America Merrill Lynch last month said they expect a euro zone country to leave the monetary union.
Technology services company SunGard, which has modelled different euro breakup scenarios, says the departure of Greece and Portugal will lead to a 15 percent rise in the euro against the dollar, a 20 percent fall in euro zone yields, a 15 percent fall in euro zone equities and a 20 percent increase in credit spreads.
Below are other findings:
If all PIIGS left the euro, the single currency would rise 25% and regional equities would fall 20%. U.S. stocks would drop 15 percent. European banking stocks would fall by 25% and ITRAXX Financials credit spreads would increase by 100%, which would imply losses of up to 20% in high-grade corporate debt. VIX would be over 50.
A total collapse scenario would see European equities down 40%, U.S. and global equities down 30%, euro yields down 75% and ITRAXX Europe and ITRAXX Financials credit spreads up 150% and 200%respectively.
Oil would fall across the scenarios, ranging from 5% from a Greece departure through to a 50% decline from a complete breakup.
Sterling would strengthen against the Euro by between 5-25% across the scenarios.
The results seek to model the impact of each scenario over three months, looking eight weeks before and six weeks after the shock to form a balanced picture.