Going into the close, the 10Y Bund......>

EGB SUMMARY: Going into the close, the 10Y Bund yield was +6.8bp, roughly

equivalent to a 2.5 standard deviation movement based upon the daily changes

from the past year i.e. such events only happen once every 104 trading sessions.

Volumes were heavy.

- The weakness at the open was largely attributed to comment by Klaas Knot about

ending QE as soon as possible, although his comments were not really fresh.

Selling was also exaggerated by MBS related convexity hedging that hurt the USD

swap curve, which itself was responding to a Goldman's piece highlighting that

the FOMC Statement could see growth language upgraded. 

- Stop-losses in the Bund were being hit all the way down as the market

collapsed under its own weight, the 2-10Y spread steepened 3.7bp to 122.5bp. 

- Peripheral markets generally outperformed as they were the sideshow in the

sell-off. Interestingly, 30Y peripheral markets saw net yield declines on the

day.

- Reuters writes that Greece will do a 7Y GGB in E3bln in the next two weeks.