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H23-M23 Roll Update (CGZ, CGF, CGB & LGB)
February 17, 2023 |
Author: Kevin Dribnenki
First Notice day is February 27th for the March 2023 contracts so the roll should begin on February 21st and finish on or before the 23rd, leaving one day for cleaning up positions before any risk of delivery. The President's Day holiday in the USA and Family Day in Canada both occur on the 20th and will not influence the roll this quarter. The Bank of Canada has a rate announcement on March 8th, early in the delivery window.
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