Futures market volumes have sat below...>

EGB SUMMARY: Futures market volumes have sat below the already-low 10 day

averages and this is despite heightened calendar roll activity. There has been

decent activity in swaps with a E140mln+ payer noted at 0933GMT, which also

pulled the Bund contract lower. 

- The most interesting development was a very strong performance by Italy and

the rest of the periphery. Over the weekend, a prominent politician in the M5S

party endorsed reforming the EU from within rather than called a referendum on

EU membership. so far, the Bund-BTP spread is 2bp tighter to Germany. Greek

paper has widened.

- Others have attributed the strong periphery showing to lack of supply this

week.

- We are receiving a lot of commentary on the ECB meeting for Thursday: strong

consensus is that no change in QE but market split on whether strong euro delays

any hints of a taper until October. All agree that technically, QE is difficult

to continue at current pace.

- The Eurobuxl contract is under particular pressure today.