Yields across EGBs have drifted lower...>

EGB SUMMARY: Yields across EGBs have drifted lower this morning.

- The benchmark 2-year German bund yield has traded down to -0.678% from -0.674%

at the open, while the 10-year trades at 0.322% from 0.339% over the same

period. The curve has flattened slightly during the session with the 2s10s

spread narrowing to 99.1bps from 99.7bps at the open.

- While the short end of the French OAT curve rallied during the early morning

and subsequently gave back a lot of the gains, the longer end has tracked

steadily lower. The 2-year OAT yield trades at -0.453%, down from 0.451% while

the 10-year yield has edged down to 0.716% from 0.736%.

- Intraday yield shifts in Italian BTPs continue to dwarf core EGBs. The

benchmark 2-year BTP yield has experienced a peak-to-trough 13bps move and

currently trades at 0.925%. The curve has steepened significantly during the

morning with the 2s10s spread widening to 188.7% from a low of 179.6bps.

- The EURIBOR futures strip is broadly unchanged on the morning. Reds have

nudged down 0.5 ticks.