H24-M24 Roll Update (CGZ, CGF, CGB and LGB)

February 20, 2024   |   
Author: Kevin Dribnenki

With the turn in the monetary policy cycle, clients should re-familiarize themselves with the timing option in futures contracts, positive futures basis, and any implications for their own portfolio, especially in the Two-Year Government of Canada Bond Futures (CGZ™) contract. The marks left by the price reversal early February make predicting the supply/demand pressure on the roll a difficult exercise this quarter. However, relative value managers should benefit from the rich/cheap opportunities currently available between futures contracts as well as various bonds in the delivery baskets of the Two-Year, Five-Year and Ten-Year Government of Canada Bond Futures contracts.

First notice is February 28, and the liquid part of the roll period will probably be Friday, February 23, and February 26-27.

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