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

Z24-H25 Roll Update (CGZ, CGF, CGB and LGB), Author: Kevin Dribnenki

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.

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    September futures contracts face first notice August 29 and first delivery September 2, following the Labour Day holiday. The holiday timing prompts early roll trades as managers and dealers attempt to close September contracts ahead of schedule, creating optimal liquid roll dates between August 25 - 27. The holiday period typically creates more volatile roll pricing as market participation shifts. Additionally, futures have been trading rich to bonds since July, further complicating execution. Timing options will be active for CGZ and CGF contracts this quarter.