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CAD FI Outperforms Day Ahead Of BoC & Powell

CANADA
  • Both GoC and 3-mth CORRA futures outperform their US counterparts today ahead of tomorrow’s BoC decision. Preview here: https://roar-assets-auto.rbl.ms/files/60215/BOCPreviewMar2024.pdf
  • GoC yields sit 7.5-9bp lower on the day vs 5-7.5bp lower for Tsys whilst 1H25 CORRA implied yields sit 10-11.5bps lower, of which about half of which has come since the miss for US ISM services.
  • The S&P Global Canadian composite PMI pushing to its highest since September hasn’t had much of an impact, at 47.1 still firmly in contraction territory.
  • OIS is getting close to fully pricing a first cut in June rather than July, with a cumulative 23.5bps, more in line with the median analyst view in recent surveys.

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