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BAX Futures Await Jobs Reports Having Reversed BoC Rally

CANADA
  • BAX futures have more than unwound the rally on the BoC’s statement, the latter tied to moves in US rates.
  • It leaves implied yields nudging only slightly higher through 2023 contracts, led by the Dec’23 (+3.5bps) with a rally seen further out into late 2024 in less traded contracts.
  • As such the curve is little changed: BAM3/Z3 trades +0.04, on track for only the second positive close since May with the near-term curve flat ahead of Friday’s labour data in both the US and Canada.
  • Taken collectively and there's a similar story in GoCs, with front yields currently almost 2bps lower on the day 4.30% having before the BoC set new cycle highs with 4.36%, the highest since Oct'07.

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