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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