The morning risk-off session............>

EGB SUMMARY: The morning risk-off session propelled core bond prices up sharply.

As the US data were released, the risk trade took a back seat to a sudden spike

in US Treasury price a a massive 24k block of TY contracts went through,

equivalent to around $1.85mln DV01.

- Investors also mentioned the weak real wage data and the breaking of a

multi-decade UST 5-30Y support line as sitting behind the move.

- The German yield bottomed out at 0.347%, having closed yesterday at 0.397%.

Thereafter, equities recovered some lost ground and the rally faded. Going into

the close, the 10Y yield was back to 0.375%.

- Peripheral spreads to the core widening slowly and in a controlled manner

throughout the day. The Bund-BTP grew 1.5bp and the Bund-Bonos was +3bp. Note

that the 10Y Bund-Bonos spread hit a one year low at 28bp.

- Greece announced plans for a huge EUR30bln PSI debt debt swap into 5 new lines

with the aim to restore some liquidity to the Greek bond curve. It is voluntary

and to take place before 5pm on 28 Nov.