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Government of Canada Bond Futures


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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):






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 

Implied Pricing for Fixed Income DerivativesGovernment of Canada Bond Futures and Options on Futures Reference Manual

Trading Strategies

Why Global Investors Should Add Canadian Bonds to Their Portfolios

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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5Y / 30Y

GoC bond futures spread (7:1 ratio):


10Y / 30Y

GoC bond futures spread (7:2 ratio): 


5Y / 10Y / 30Y

 GoC bond futures butterfly (7:7:1 ratio): 


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