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The visitors controlled the match following the early goal and could have went further ahead when Branislav Ivanovic headed the ball straight at Myhill.
Wales offered very little as an attacking threat and they found themselves two goals behind just before the break when Aleksandar Kolarov fired an unstoppable effort into the top corner.
Serbia only needed 10 minutes to extend their lead in the second half as another Myhill save, this time from Ivan Radovanovic, fell to a Serbian player and Lazar Markovic had the easy task of slotting the ball home from close range.
The Welsh crowd had something to cheer when Gareth Bale was introduced to the action but his added threat failed to end the Serbian dominance despite forcing Vladimir Stojkovic into his first real save of the night with a powerful effort.
Bale went close again in stoppage time with a dipping free kick but Stojkovic saved well to secure a clean sheet and ensure the scoreline remained a convincing one.