While funding rates are the main driver for many Eurex futures rolls, the Bund and Shats calendar spreads are different. Their performance is primarily determined by the evolution of the cheapest-to-deliver (CTD) yield curve and relative value dynamics, making them directional to yields.

With both the Federal Reserve and European Central Bank expected to remain on hold, forward financing rates are stable. This removes central bank policy as a key driver for the upcoming bond futures roll, elevating the importance of technical factors like investor positioning and repo market specifics.

Asset managers, who typically avoid delivery, have accumulated unprecedented net long positions in the WN futures sector. This concentration, a shift from shorter-duration sectors, is expected to unusually pressure WN calendar spreads as these positions are rolled early.

Contrary to historical norms where Eurex futures lack delivery option value, the German Buxl (30-year) future currently presents some. This is driven by potential Cheapest-to-Deliver (CTD) switches, particularly to a lower coupon bond in a sell-off, creating an asymmetric upside risk for the delivery option's value.

With the European Central Bank firmly on hold, a low-volatility regime is expected to persist. However, the options market is not fully pricing in the potential for directional curve movements, such as steepening or flattening. This creates opportunities to express curve views through options where the risk is undervalued.

Improving risk-adjusted carry in intra-EMU spreads is deceptive, driven by falling volatility, not higher returns. This creates a 'carry trap' where a small one-standard-deviation widening can erase one to two months of gains, highlighting the risk in currently crowded positions.

Analysts are cautious on intra-EMU carry trades because spreads are too tight. The low carry, or "skinny carry," provides an insufficient cushion against external risk-off events, which can wipe out months of gains. The advice is to await wider spreads before re-entering these crowded positions.

German swap spread movements are being driven more by technical factors than macro fundamentals. A primary driver is the unwinding of long-end interest rate hedges by Dutch pension funds. This flow is causing significant steepening in the 10-30 year swap curve and is expected to continue.

Asset managers tend to roll their futures positions early to avoid the complexities of the physical delivery period. This concentrated activity creates predictable market pressure. In sectors where these managers are net long, their early rolling can exert a bearish influence on calendar spreads.