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.
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.
Lacking official CFTC-style data, analysts estimate Eurex futures positioning using open interest and price changes. This proprietary analysis reveals significant long positions in Italian BTP and German Schatz futures, corroborating client survey data that shows the European carry trade is a popular theme.
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.