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30-Year
Government of Canada Bond Futures
(LGB)
MONTRÉAL EXCHANGE
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Trade Across the Yield Curve
As fixed income investors seek higher returns, Montréal Exchange is committed to increasing market liquidity over the long term. We offer a full suite of Government of Canada bond futures contracts, enabling investors to both extract and preserve value along the Canadian listed yield curve.
The Thirty-Year Government of Canada Bond Futures (LGB), supported by a new marketing program, provides a cost-efficient and simple way to trade on the long end of the yield curve. Investors can utilize LGB to execute curve trade strategies alongside other bond futures contracts, hedge long-term exposure to the Canadian interest rate environment, and manage fixed income duration.
2Y / 30Y
GoC bond futures spread (20:1 ratio):
20CGZH23-1LGBH23
Access liquidity along more points on the Canadian listed curve
Facilitate hedging for longer maturity instruments
Enhance cross-market trade opportunities
Enable trading strategies alongside other GoC bond futures contracts
Trading Strategies & Uses
Canadian Listed Yield Curve
Key Benefits
Along with the other GoC bond futures contracts, LGB is an effective tool for yield enhancement of a Government of Canada bond portfolio. Investors can utilize LGB with the flagship 2-year (CGZ), 5-year (CGF) and 10-year (CGB) to:
- Manage interest rate risk, duration and portfolio risk profiles
- Hedge GoC bond holdings
- Replicate synthetic bond positions (long or short)
- Trade yield spread between countries
- Execute Canadian credit spread trades
- Deploy basis and invoice spread strategies
Trading Strategies
Curve Trades
With the 30-year LGB, investors have the ability to trade curve spread strategies against CGZ, CGF or CGB in a single transaction via the Montréal Exchange’s Inter-Group Strategy (IGS) functionality.
- Trade using a predefined ratio, reducing inherent execution risk:
Strategy pricing: (Listed leg1 ratio x Leg1 price) - (Listed leg2 ratio x Leg2 price)
- Implied pricing algorithm allows outright quotes to imply orders in the spread book, and quotes in the CGB-LGB spread book to imply into the respective outright order books.
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Increasing Liquidity Across the Canadian Listed Yield Curve with LGB
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For more information, contact our institutional sales team at irderivatives@tmx.com.
5Y / 30Y
GoC bond futures spread (7:1 ratio):
7CGFH23-1LGBH23
10Y / 30Y
GoC bond futures spread (7:2 ratio):
7CGBH23-2LGBH23
5Y / 10Y / 30Y
GoC bond futures butterfly (7:7:1 ratio):
7CGFH23-7CGBH23+1LGBH23
Key Curve Strategies
(example shown for the March 2023 contracts)
Useful Resources
Redesigned 30-Year Canadian Bond Futures
LGB: A Primer for CGB Users
LGB: Potential Strategies for Investors
LGB: Potential Strategies: Long Canadian Government Bond Futures Contracts