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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 (25:1 ratio):

25CGZH22-1LGBH22

FRTop

Post-Trade

CDCC

CDS

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 


Useful Resources 

LGB: A Primer for CGB Users
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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View Full Contract Specifications

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 (9:1 ratio):

9CGFH22-1LGBH22  

10Y / 30Y

GoC bond futures spread (9:2 ratio): 

9CGBH22-2LGBH22 

5Y / 10Y / 30Y

 GoC bond futures butterfly (9:9:1 ratio): 

9CGFH22-9CGBH22+1LGBH22  

Key Curve Strategies

(example shown for the March 2022 contracts)

Launch of 30-Year Canadian Bond Futures