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Brief Rates Underperformance Fades As Losses Pared

CANADA
  • The switch to underperformance to US rates proved short-lived for BAX futures, although they still see a sizeable sell-off on the day.
  • It builds from -0.025 for the front Sep’23 and -0.04 for Dec’23 out to -0.13 Dec’24, trimmed from -0.20 just an hour ago. The Sep’23-Dec’24 still tightens notably but by a lesser extent to -86.5bp from -97bps yesterday.
  • BoC-dated OIS hold decent increases on the day, with +10bp for the Sept meeting (from +8.5bp) and a cumulative +22.5bp by year-end (from +17bp).
  • Retail sales are in focus tomorrow, with analysts sticking to the advance estimate of 0.5% M/M for May’s nominal increase.
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