Canada Swap Spreads

August 13, 2025   |   
Author: Kevin Dribnenki

Canada swap spreads

After a 43-basis-point tightening over 13 months, Canadian 5-year swap spreads are showing signs of stabilizing, opening up new opportunities in fixed-income markets. This tightening reflects changes in risk appetite, government bond issuance, and mortgage market hedging practices. While economic uncertainties persist, current spread levels suggest a potential for mean reversion, particularly when compared to historical trends. This market development provides tactical entry points for relative value strategies.

READ ARTICLE

Related Articles

  • FTSE Canada Bank Credit Index Futures (BCS): An innovative Index and Futures contract design
    March 9, 2026
    An innovative exchange-traded tool for isolating and managing Canadian corporate credit exposure.
    Deep Dive into Switch Risk
    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.
  • H26-M26 Roll Update (CGZ, CGF, CGB & LGB)
    February 19, 2026
    Canadian bond futures H26/M26 analysis indicates that algorithmic models are driving open interest to near all-time highs following the mid-December reversal. With CORRA rates around 2.28%, early delivery remains rare, creating a clean roll environment with multiple opportunities. The 5-year point offers an attractive 14.4 bp annual rolldown, while contract-specific volatilities create distinct trading dynamics: CGB rolls remain stable, CGF shows 10.6% DV01 extension instability, and CGZ faces potential 2-cent intraday swings with 14.2% DV01 extension.

TMX Group Limited and its affiliates (the “TMX group of companies”) do not endorse or recommend any securities issued by any companies identified on, or linked through, this site. Please seek professional advice to evaluate specific securities or other content on this site. All content (including any links to third party sites) is provided for informational purposes only (and not for trading purposes), and is not intended to provide legal, accounting, tax, investment, financial or other advice and should not be relied upon for such advice. The views, opinions and advice of any third party reflect those of the individual authors and are not endorsed by the TMX group of companies. The TMX group of companies have not prepared, reviewed or updated the content of third parties on this site or the content of any third party sites, and assume no responsibility for such information.

Copyright © 2026 Bourse de Montréal Inc. All rights reserved.
Canadian Derivatives Exchange is an official mark of Bourse de Montréal Inc.