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Delivery Basket Preview: June 2024 – March 2025

May 14, 2024   |   
Author: Kevin Dribnenki

In this edition, we look at factors inherent to Government of Canada bond futures contracts and their implications for 2024 and 2025 expiries. While few disruptive issues are being foreseen, investors should be aware of the likely negative basis stemming from interest rate policy expectations. The article provides interest rate scenarios according to each bond futures expiry shedding light on the basis along with a perspective on wildcard value.

Aside from these factors, a number of developments will be worth monitoring including Canada's budget and borrowing program, switch risk and the prominent transition to CORRA that is marking the end of the former flagship, CDOR-based, BAX product.

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