At Any Rate US Rates: Analysing Eurex and US futures roll
Aug 14, 2025
Discussing the upcoming rollover of US and Eurex bond futures, the conversation navigates macroeconomic trends and Federal Reserve easing expectations. Challenges in analyzing Eurex futures due to limited data are explored, focusing on asset managers' strategies to reduce delivery risks. Key factors affecting funding rates and calendar spreads are also analyzed, revealing their influence on bond yield movements and market positioning. Tune in for intriguing insights on the dynamic landscape of futures trading!
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Delivery Rules Drive Different Optionality
- U.S. futures allow delivery anytime during the delivery month, while Eurex uses a single delivery day which changes optionality dynamics.
- This means U.S. contracts retain more time-value and wildcard optionality versus Eurex ahead of roll.
Forward Financing Less Likely To Drive US Roll
- Recent U.S. data (jobs, CPI, PPI) left markets priced for a September 25bp cut and stable forward financing near term.
- Stable forward financing reduces its likely impact as a driver of the upcoming roll.
ECB Pricing Narrows Eurex Macro Risk
- ECB has cut rates materially and is now paused with a narrow path for further easing, pricing near-zero odds for September.
- That makes ECB-driven macro moves a modest influence on the Eurex roll compared with funding evolution.