Global Rates: Analysing Eurex and US futures roll
J.P. Morgan discusses the drivers of US and Eurex futures roll, with a focus on the Mar26/Jun26 bond futures rollover. The podcast highlights key factors such as liquidity, positioning, and hedging flows influencing roll dynamics.
What the desk is arguing
J.P. Morgan's Ipek Ozil and Khagendra Gupta analyze the upcoming Mar26/Jun26 bond futures rollover in US Treasury and Eurex markets. They emphasize that roll costs are driven by carry, financing levels, and positioning ahead of expiration, with expectations of smooth roll execution given current market conditions.
Where it sits in our coverage
We have no internal coverage data on the relevant currencies, so we cannot provide a consensus or firm spread. This note stands alone as a specialized piece on futures roll mechanics.
How other firms see it
No other firms are cited in the source commentary. The analysis is exclusive to J.P. Morgan Research, with no external views referenced.
Key takeaways
- 01Roll drivers include carry, repo rates, and positioning
- 02Outlook suggests orderly Mar26/Jun26 rollover
- 03Liquidity and hedging flows are key near-term factors
Market implications
The orderly rollover implies stable futures basis and limited disruption to Treasury and Eurex markets. Traders may focus on roll carry opportunities as expiration approaches.
Risks to this view
Unexpected shifts in funding costs or large positioning changes could disrupt the roll, leading to wider spreads and increased volatility.
In this podcast Khagendra Gupta and Ipek Ozil discuss the drivers of US and Eurex futures roll and their outlook for Mar26/Jun26 bond futures rollover. Speakers: Ipek Ozil - Head of US Interest Rate Derivatives Strategy Khagendra Gupta - Head of European Interest Rate Derivatives Strategy This podcast was recorded on February 13, 2026. This communication is provided for information purposes only.
Institutional clients can view the related report at https://www.jpmm.com/research/content/GPS-5201365-0 and https://www.jpmm.com/research/content/GPS-5203633-0 for more information; please visit www.jpmm.com/research/disclosures for important disclosures. © 2026 JPMorgan Chase & Co. All rights reserved. This material or any portion hereof may not be reprinted, sold or redistributed without the written consent of J.P.
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Sources & References
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