Today should be eventful with events....>

EGB SUMMARY: Today should be eventful with events in Spain coming to a head at

1000CET and will be followed by Spanish and French auctions later in the

morning. Yet, net movements in yields are fairly small. The 10Y Bund yield is

unchanged but peripheral spreads to Germany have widened by around 1bp.

- The Spanish 5Y CDS has tightened from 75bp at the start of the year to 72bp

today. It has been tighter but there is no obvious Catalonian secession risk in

the price.

- The 2Y German-US spread has hit its highest level since August 1999 this

morning and perhaps will act as a bulwark against the 2Y Schatz pushing lower

yields. However, using a cross currency basis swaps the Schatz is around 8bp

cheaper than the 2Y UST.

- There is little data on the slate for today and simply a large swathe of

auctions. After these auctions, the market can look forward to a period of

extremely heavy redemptions into the end of the month.