CANADA: CIBC Suggest Longs In CGB Futures Should Roll Early
Feb-20 14:03
CIBC suggest that outright long H5 positions in Canadian Government Bond futures should roll to M5 early, “given the large level of outstanding commercial & institutional longs.”
- They note that this view is supported by “outright cheapness in the H5 net basis along with a lack of near-term movement in the M5 net basis. For basis holders, we believe there is value in the H5 wildcard option, driven primarily by tariff risks, and bolstered by the March extension and upcoming FOMC meeting.”
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