Free Trial

CAD Rate Sell-Off Extends And Outstrips SOFR Move

  • CAD rates continue to extend new lows, with BAX futures now -0.035 for the front Sep’23, -0.055 Dec’23, -0.145 Jun’24 and -0.19 Dec’24.
  • It’s been a mostly one directional sell-off on the day as BAX futures switch to underperforming SOFR futures after lagging the sell-off until recently.
  • Headline drivers for the latest switch to underperformance are unclear, although supported by a 2.2% jump higher in the Teranet SA house price index earlier in the session as it finally follows similarly sized increases in existing home sale prices.
  • Sep-Dec’23 stands at +7.5bps, which would be the highest close since Jun 23, and the Sep’23-Dec’24 of -81.5bps is back at the Jul 12 close after US CPI missed but the BoC hiked 25bps with hawkish commentary.

To read the full story



MNI is the leading provider

of intelligence and analysis on the Global Fixed Income, Foreign Exchange and Energy markets. We use an innovative combination of real-time analysis, deep fundamental research and journalism to provide unique and actionable insights for traders and investors. Our "All signal, no noise" approach drives an intelligence service that is succinct and timely, which is highly regarded by our time constrained client base.

Our Head Office is in London with offices in Chicago, Washington and Beijing, as well as an on the ground presence in other major financial centres across the world.