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BAX Futures Hold Up To 7 Tick Rally As Important BoC Inputs Digested

CANADA
  • BAX futures have rallied solidly today, mostly with the monthly GDP data released along with softer details behind US PCE, before extending the move in later dated contracts with the BOC surveys.
  • The front Sep’23 holds 2.5 ticks higher, before 7-7.5 tick gains for subsequent contracts as the BAU3/Z3 spread flattens 4bps to +1.5bp and is currently set for its lowest close since Jun 12.
  • CORRA OIS has dipped 2bps on the day to +17bp for the Jul 12 decision, with Friday’s employment report the next key release before the decision.

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