Most EGB activity happened during the...>

EGB SUMMARY: Most EGB activity happened during the morning session with selling

of cash Bunds early in the session and then some very good-sized switches from

Germany in Italian paper then quickly led to a collapse in the Bund-BTP.

- Bond prices were generally stronger across the yield curve as some bargain

hunting was seen.

- There was a strong bid to the periphery all through the day, pushing past all

the Spanish headlines that did little to change the picture.

- There were no economic data releases of note and the only long-dated supply

came from the Belgians, which saw solid, but not exceptional bidding.

- Open interest (OI) numbers have attracted a lot of attention to understand if

the capitulation in debt market priced in the second half of the week was a

liquidation by longs. They showed that OI dropped quite significantly in the

Eurobuxl but by less as contract maturities shortened.

- The 10Y Bund yield was down 1.9bp to 0.433% going into the European close,

with a small bull flattening. The Bund-BTP and Bund-Bonos 10Y spread were each

2bp lower at 157bp and 119bp respectively.