MNI BRIEF: Chinese Exports Jeopardise EU Industry--Le Maire

MNI BRIEF: EU's Gentiloni Calls For G7 Coordination On China

MNI: Canada Retails Jump In April After Weak First Quarter

MNI: PBOC Conducts CNY2 Bln Via OMO Fri; Liquidity Unchanged

CHINA PBOC INJECTS CNY2 BILLION VIA 7-DAY REVERSE REPOS FRI

MNI: PBOC Sets Yuan Parity Higher At 7.1102 Fri; -2.68% Y/Y

MNI: BAKER HUGHES US RIG COUNT 600; OIL RIGS 497; GAS RIGS 99

EZ/UK Bond Supply Calendar: EU, Belgium Auction on Monday

EZ/UK T-Bill Calendar: Germany and France To Sell Bills Monday

RPT-MNI: Canada Sticks To Fiscal Anchors, Spends Chunk Of Windfall

MNI BRIEF: Poilievre Calls QE 'Scam' And Would Limit BOC Remit

MNI: Growth Drag From Net Zero Carbon Goal Can Be Offset-OECD

© 1982-2024 MNI. All rights reserved.
Terms | Privacy
Log Out
Free Trial

CIBC On CN Futures Roll

CANADA
  • Written yesterday, CIBC note the “rapidly approaching” first notice for CNZ3 on Nov 29 before first delivery on Dec 1 and final tradable data on Dec 18.
  • They “suspect there is still some way to go for the H4s to become fully liquid, especially given the US Thanksgiving Holiday”.
  • “As at yesterday’s close, the Z3H4 roll traded at -61 cents, relative to its fair value of -55 cents, with the Z3s coming in roughly four cents cheap into first notice while the H4s are a penny or so rich.”
  • “Data from CIBC RAM suggests that there is a larger presence of long basis positions open as we move into first notice, which suggests that the footprint on cash markets will be larger.”
  • “We like CTD/10yr flattening ahead, even in the days immediately after the first notice period on November 29th. Specifically, our preferred trades include flattening Dec31s/Dec33s as long basis positions in Z3 unwind, or flattening Dec31s/Jun32s on the H4 CTD switch into the coming week or so. Exogenous catalysts, such as the December 1st Index Extension, will provide additional tailwinds to the trade.”
Homepagemarkets-real-timeBulletMarketsFixed Income Bullets
Homepagemarkets-real-timeBulletMarketsFixed Income Bullets

To read the full story

Close

Why MNI

MNI is the leading provider

of intelligence and analysis on the Global Fixed Income, Foreign Exchange and Energy markets. We use an innovative combination of real-time analysis, deep fundamental research and journalism to provide unique and actionable insights for traders and investors. Our "All signal, no noise" approach drives an intelligence service that is succinct and timely, which is highly regarded by our time constrained client base.

Our Head Office is in London with offices in Chicago, Washington and Beijing, as well as an on the ground presence in other major financial centres across the world.