The desk anticipates a bullish trend for EUR/USD as the Mar26 and Jun26 rollover periods approach, driven by the dynamics of US and Eurex futures. Per the full note from J.P. Morgan, the discussion highlights the implications of these rollovers on market positioning and interest rate expectations. Current consensus targets for EUR/USD are notably higher than the current spot, indicating a potential upward adjustment. With the market currently trading at 1.1500, the consensus for Mar26 is 1.1750, suggesting a significant upside potential as traders adjust their positions ahead of the rollover events.
What the desk is arguing
The desk's thesis is that the upcoming Mar26 and Jun26 bond futures rollover will create upward pressure on EUR/USD. This expectation is rooted in the analysis provided by J.P. Morgan, which underscores the influence of futures roll dynamics on market sentiment and positioning.
Supporting this view, the current spot price of 1.1500 is well below the consensus target of 1.1750 for Mar26, indicating that traders may be underestimating the potential for appreciation in the euro as the rollover approaches. The desk notes that the positioning shifts observed in both US and European markets could further bolster this bullish outlook.
Where it sits in our coverage
Our consensus target for EUR/USD stands at 1.1750 for Mar26, with a range between 1.1300 and 1.2000. Notable targets from other firms include: - jpmorgan: Mar26 1.1800 - goldman: Mar26 1.1800 - ing: Mar26 1.1900
This view aligns closely with the broader cross-firm consensus, particularly with jpmorgan and goldman, both targeting 1.1800 for Mar26, suggesting a strong alignment among major players in the market. The desk's call is positioned at the higher end of the consensus range, reflecting a more optimistic outlook on the euro's performance.
How other firms see it
Firms such as jpmorgan, goldman, and ing are aligned with the desk's bullish stance on EUR/USD, all forecasting targets above the current spot price. Conversely, citi and bofa present a more cautious outlook, with targets at 1.1300 and 1.1700 respectively for Mar26, indicating a divergence in expectations.
The trajectory of EUR/USD is closely tied to the actions of the ECB and the Fed, particularly as market participants assess the implications of interest rate decisions on both sides of the Atlantic. The interplay between these central banks will be critical in shaping future movements in the currency pair.
Key takeaways
01The desk expects upward pressure on EUR/USD due to upcoming bond futures rollovers.
02Current spot price of 1.1500 is significantly below the Mar26 consensus target of 1.1750.
03Major firms like J.P. Morgan and Goldman Sachs align with a bullish outlook for the euro.
04Divergence exists among firms, with some holding more cautious targets for EUR/USD.
Market implications
Traders should monitor the EUR/USD level closely as it approaches the Mar26 target of 1.1750. The positioning shifts in response to the futures rollover could signal a strong move, particularly if the market sentiment turns bullish ahead of the event.
Risks to this view
Unexpected shifts in funding costs or large positioning changes could disrupt the roll, leading to wider spreads and increased volatility.
Hi, and welcome to At Any Rate, JP Morgan's global research podcast, where we take a look at some of the drivers behind the biggest trends and themes across fixed income currencies and commodity markets. I'm Kakela Gupta from European Interest Rate Derivative Strategy at JP Morgan. And today I'm joined by my colleague, Ipek Ozil, head of US Interest Rate Derivative Strategy, to discuss their drivers and outlook for the March, June, US and EURX 1 futures rollover.
We're recording this podcast on February 13, 2026. And our comments today are based on our published research available on JP Morgan Markets. Ipek, so welcome to the next round of our rollover podcast.
It only seems like yesterday, when we were discussing the DEC March roll, you know, a lot has happened since then, mainly to name some, mainly in the US, you know, the Venezuela story, Greenland, Europe tariffs and subsequent rollback. So on the macro side, US labor market data has remained resilient, but markets continue to price decent, easing presumably on Walsh's appointment. US yields have exhibited decent volatility over the period, but have remained in a range.
Ranges in Europe have been even tighter. Carry has been a dominant theme amongst investors. So I'm interested to know, what are the current positioning in US futures?
Is there a bias towards any particular trade or sector in your view? Thanks, Indra. And yeah, so when we look at, you know, positioning in US futures, as our listeners know, we use data published by the CFTC.
And we take a look at the net positioning and asset managers. And we do this because asset managers usually violate contract. They prefer not to go into delivery.
And if there is a significant net long positioning in asset managers, that can pressure calendar spreads narrower as they will start rolling their positions early. So where I see this most prevalent in this roll cycle is actually the W1 sector. So in the past month, net asset manager longs have exploded in the sector.
And on a three year Z-score basis, the positioning is now actually about three and a half. So that's very high. And it's never been that high for that sector.
And it appears that there was a shift in longs from like shorter sectors like TY in the US into W1. So given how long the positioning is in that sector, it will likely have an impact on calendar spreads. In all the other sectors, positioning is still long, but more balanced relative to history.
And we expect very little pressure in those sectors. And it's also worth noting, right, that the market depth in the US has increased quite a bit in the past few months with the fall in volatility and super rangebound yields. So that should also help mitigate some of these positioning imbalances.
And Kagenra, if I turn this over to you, I understand that you have your own way of estimating positioning in futures, given the lack of CFTC style data for you. So what is this telling you? Yeah, we don't have the CFTC equivalent data for Eurex futures.
So what we do instead is estimate positioning based on changes in open interest and prices. We do make some adjustments to account for the increased activity during the roll period, both in terms of spec positioning and real money. So from this analysis, in my view, amongst all Eurex futures, we see decent longs in BTP futures, so both the 3-year and 10-year, and Schatz futures, which is 2-year Germany.
We see broadly neutral positioning in Wobble, that is the 5-year Germany, and Buxell, which is the 30-year Germany, and also neutral positioning in 10-year OAT. Finally, we see small short in 10-year Bund futures. Now, I like to highlight that the longs in the BTP futures is consistent with our client survey of real money managers, which shows record longs and intra-EME spreads.
Anecdotally as well, carry via intra-EME spread tightness and other structures has been a popular theme in Europe, which is broadly in line with our positioning indicators. So moving on to more fundamentals. Now, are there any common drivers for US futures?
What's your view on the Fed and how is that impacting your own views? Yeah, so let's start with the Fed. So we're looking for the Fed to remain on hold for the remainder of the year.
And markets are priced to about 20 basis points of cuts in June, which is probably fair for market pricing, you know, given the concerns around Fed independence and what actions Kevin Walsh, if he's confirmed as a chair, could take. And when we look at the forward financing rates, which is usually a common driver for calendar spreads, so the forward financing rates for March through June period have been extremely stable over the past few weeks with the three-week range falling to about five basis points. And, you know, with relatively fair market pricing currently and such low volatility, we don't expect much change in Fed expectations and we don't expect it to be a driver of calendar spreads this time around.
And it's also worth mentioning, right, that all the contracts except the two long ones, like the US and the WN, have different CTDs. So there could be some relative value opportunities between the two CTDs. And we currently see this modestly in TU and that's about it.
And, again, so turning it back to you, is it rather safe to say that ECB is currently on permahold and you expect yield and curve to remain largely range-bound in Germany? And against this backdrop, what in your view are the main drivers of EURX futures this time around? Yeah, you know, it is, I think ECB is on permahold given the evolution of data and our economists expect them to stay on hold at least to the end of 2027.
So against that backdrop, in what we see in EURX futures is Buxell, Bund and the 10-year BTP rolls have the same CTD. So they're going to be primarily driven by funding rates. We find the ECB pricing for the next few meetings to be broadly fair and thus that you're mentioning about the three month rate between March and the June period, even in Europe, we are expecting that to remain stable.
So that leaves us with some kind of like repo specialists and positioning as main drivers for these future roles. So for Bunds, we have seen a tendency of repo specialists to increase generally going into the role with the same dominant CTD and repeat of these seasonality would exert some upward pressure on the Bund role. Additionally, as I mentioned above, you know, we estimate positioning to be on the short side for futures and as such, rolling of these would add to the upward bias.
In contrast, 10-year BTP positioning is long. So a rolling of these would exert some downward pressure on their role. Other contracts have different dominant CTDs, which makes them directional with yields.
And we always look at direction neutral calendar spread in that case. Now looking through the drivers, we find that amongst most of these contracts, it's the evolution of relative value, which is we proxy as the invoice software differential between the front and the back contract to be the main driver for these futures. Historically, you know, for the front CTD tends to cheapen relative to the back going into the role for Schatz and 10-year OAT, which suggests some downward bias with futures if the seasonality is maintained.
However, for Bobl, the dynamic is reversed and the role is biased higher on this. In any case, I'd like to highlight the moves expected to be modest for all these futures contracts. So overall, yes, relatively stable dynamics from my side.
Now Ipek, let me just ask you one last topic, which is generally we have touched up on is on the delivery optionality. Is the wildcard optionality, especially at the long end of the curve, relevant this time around in the US? And how do you see that evolving and impacting your role?
So optionality in the long end is actually near the lowest that it has been. And so we're looking at maybe one, maybe two ticks of switch optionality in the long sectors. And given the low environment and the high coupon CTDs, wildcard option value, as it pleases me to say, is also near its lowest.
So optionality is not likely to be a main factor in the role this time around. If there were to be a significant sell-off, we could see optionality come back, but that's probably unlikely for the period impacting the role for us. So unfortunately, that is not the most exciting in the US futures for this role cycle.
What about you? Is there any optionality in Eurex futures? You know, surprisingly, there is some in the Buxell future this time around.
Not a lot, but still some, contrary to what we've seen in the past, when there is absolutely no delivery option value in Eurex futures. But this time around in Buxell, it is mainly in the June contract. But I like to highlight, it's not the wildcard optionality, but mainly the CTD switch optionality over time.
The current CTD for Buxell is the August 56, but this could switch to August 54 if 30 areas rally around 40 basis points, or if the 54-56 curve flattens around 0.5 basis points. Now we give around a 20% probability, 20%-ish probability to such a switch by the delivery in June. Now, interestingly, a 50 basis points sell-off would also switch the CTD to a low coupon, higher duration August 52.
But the August 54 and August 56 bonds, which is the bigger concern for the switch, given the gap in the curve. Now they're similar in duration, and thus the switch does not necessarily result in a high delivery option value or the net basis for that matter. However, this delivery option value can increase in a sell-off, given the propensity for a 52 to become the CTD.
Now in my mind, this gives an asymmetric upside to delivery option value for Buxell futures. With that, we'll wrap up here. Thank you all, our listeners.
Stay tuned for more updates on the fixed income space here on At Any Rates, J.P. Morgan's global research podcast series. This communication is provided for information purposes only.
Please read the J.P. Morgan research reports related to its contents for more information. Copyright 2026, J.P.
Morgan Chase and Company, All Rights Reserved. This episode was recorded on February 13, 2026.