M25-U25 Roll Update (CGZ, CGF, CGB & LGB)

Roll update M25 U25

June futures first notice falls on May 30th, with first delivery on June 2nd, 2025. Roll dates from June to September contracts are expected between May 27-29th, with no holiday disruptions. The overnight repo rate stands at 2.75%, projected to decrease by 0.25% by September. For Montréal Exchange fixed income contracts (excluding 30-year), CTD bonds with 2.75-3% coupons incentivize late delivery due to potential carry earnings.

READ ARTICLE

Related Articles

  • June 1, 2026
    A significant upgrade to CORRA futures liquidity at the Montréal Exchange just gave managers the precision tools to execute event-driven trading strategies where it matters most.
    April 15, 2026
    This article discusses the switch risk associated with the Cheapest-to-Deliver (CTD) bond and examines why it is consistently minimal in Canadian fixed income futures contracts.
  • May 21, 2026
    The M26 roll window opens around May 26, coinciding with U.S. Memorial Day. Early delivery is unlikely across all contracts, though CGZ (2-year) shorts may deliver early to improve capital efficiency. Wildcard options have minimal value. The roll will pit price-sensitive traders against each other, with fewer price-insensitive portfolios involved.