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CIBC On CN Roll

CANADA
Homepagemarkets-real-timeBulletMarketsFixed Income Bullets
  • “We are soon approaching the first notice day for the CN Jun24s (M4s) on May 31st, with the first and last delivery date on June 3rd and June 28th respectively, and the final tradable date on June 19th.”
  • “The upcoming CN roll will be important given the semi annual CTD switch: as we roll from the M4s to the U4s the cheapest-to-deliver bond will move from the Jun32s to the Dec32s.”
  • “Our analysis favors flattening the CTD/10yr (Jun32/Jun34s) and the CTD switch (Jun32s/Dec32s) during the roll period. To maximize alpha, the CTD/10yr roll should be held until first notice and unwound immediately after; the CTD switch should be initiated in the week before first notice, and held for a few weeks after.”
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  • “We are soon approaching the first notice day for the CN Jun24s (M4s) on May 31st, with the first and last delivery date on June 3rd and June 28th respectively, and the final tradable date on June 19th.”
  • “The upcoming CN roll will be important given the semi annual CTD switch: as we roll from the M4s to the U4s the cheapest-to-deliver bond will move from the Jun32s to the Dec32s.”
  • “Our analysis favors flattening the CTD/10yr (Jun32/Jun34s) and the CTD switch (Jun32s/Dec32s) during the roll period. To maximize alpha, the CTD/10yr roll should be held until first notice and unwound immediately after; the CTD switch should be initiated in the week before first notice, and held for a few weeks after.”