Z24-H25 Roll Update (CGZ, CGF, CGB and LGB)

November 18, 2024 |

Author: Kevin Dribnenki

The December 2024 Canadian bond futures contract roll is expected to begin earlier than usual due to limited US market participation around Thanksgiving. While first notice is November 29, 2024, with delivery on December 2, the liquid roll period to March 2025 contracts may start November 22 and conclude by November 27. With current overnight repo rates at 3.8%, the Two-Year Government of Canada Bond Futures (CGZZ24) stands as the only Montréal Exchange contract trading at a positive basis. Looking ahead to March contracts, only the Five-Year Government of Canada Bond Futures (CGF) is projected to trade at a positive basis during its active period. CGZZ24 short positions are anticipated to deliver late December, while CGFZ24 (5-year) and CGBZ24 (10-year) will likely deliver early December, barring wildcard option strategies.

Highlights:

First notice date: November 29, 2024
First delivery date: December 2, 2024
Current overnight repo rate: 3.8%
Early roll period: November 22-27, 2024
Last delivery date: December 31, 2024

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Z24-H25 Roll Update (CGZ, CGF, CGB and LGB)

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