- The rally in German bunds lost........>

EGB SUMMARY: - The rally in German bunds lost steam by midday with the shorter

end of the curve trading sideways and the longer end giving back some gains. The

benchmark 2-year bund trades at -0.533% down from a session high of -0.511%

while the 10-year yield has edged back up to 0.472% having hit a low of 0.447%.

- The flattening of the French OAT curve petered out by midday and subsequently

steepened. The 2s10s spread has widened to 116.1bps from a low of 114.3bps.

- The sell-off in Italian BTPs have stabilised somewhat with yields falling back

from the session's highs. The 2-year BTP trades at a yield of 1.016% down from a

high of 1.229% while the 10-year yield has pulled back to 3.125% from 3.258%.

- The Spanish curve has flattened significantly as a result of the shorter end

selling off and the longer end rallying. The 2s10s spread has narrowed to

168.1bps from 175.2bps, while the 2s30s has traded down to 276.3bps from

284.2bps.

- The Euribor futures strip has flattened with greens/blues up 3.5-4.0 ticks on

the day.