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BAX Futures Unwinding Post-Jobs Move

CANADA
  • Having swung in different directions on Canadian and US employment reports, BAX futures have more recently been unwinding the main move higher.
  • Implied yields currently sit 1-2bps lower on the day, broadly fair after wage growth surprisingly softened but a pause in labour force growth could suggest growing supply side limitations.
  • The front end of the curve is little changed from previous highs through 2022 after which the terminal is modestly lower to the tune of ~7.5bps, still sitting near a crudely implied 3.25% for the overnight rate.
  • BoC's Gravelle provides the next steer from the Bank on Thu (May 12), speaking on "commodity price shocks and the impact on growth and inflation in Canada".
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  • Having swung in different directions on Canadian and US employment reports, BAX futures have more recently been unwinding the main move higher.
  • Implied yields currently sit 1-2bps lower on the day, broadly fair after wage growth surprisingly softened but a pause in labour force growth could suggest growing supply side limitations.
  • The front end of the curve is little changed from previous highs through 2022 after which the terminal is modestly lower to the tune of ~7.5bps, still sitting near a crudely implied 3.25% for the overnight rate.
  • BoC's Gravelle provides the next steer from the Bank on Thu (May 12), speaking on "commodity price shocks and the impact on growth and inflation in Canada".