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BAX Futures Modestly Richer With Subdued Volumes

CANADA
  • BAX futures sit little changed on the day for front contracts (BAH3 unch, BAM3 +0.01) but 2-3 ticks richer further along the curve despite some cheapening after the Canadian PMI earlier edged lower and the US PMI was in line with expectations.
  • Curves consolidate the sizeable trimming on inversion late last year following modestly stronger than expected CPI inflation, with BAH3/BAZ3 at -0.56 vs -0.80-0.85 prior.
  • Canadian rates likely take their cue from US spillover until the next local driver with Friday’s employment report for Dec and BoC’s Macklem speaking Jan 10.

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