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BAX Inversion Trimmed Ahead Of BoC

CANADA
  • Mostly tracking US rates, BAX futures have continued to eke out a large steepening today, with the BAU3/Z4 spread reduced to -63bps from -73bps at Friday’s close after weaker than expected GDP growth.
  • It actually more than unwinds the GDP-related rally, currently at what would be the least inverted close since Aug 29.
  • BoC-dated CORRA OIS still prices just 2.5bp for tomorrow’s BoC decision but cumulative hikes have built to +12bps to year-end from 8bps on Friday.

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