Bund volatility sparks uncertainty around futures delivery

Changing cheapest-to-deliver status catches some traders off guard despite Finanzagentur intervention

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A cloud of uncertainty surrounds the cheapest to deliver on the September German Bund future, as increased volatility in bond yields forces the market to repeatedly reassess which Bund will ultimately qualify when the contract expires.

“This hasn’t happened for many, many years – that there has been doubt on what is the cheapest to deliver in such liquid products as the Bund,” says the head of rates trading at a European bank.

European government bond yields have been on an upward trajectory

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