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CAD Rates Fade BoC Surveys As They Await CPI

  • 3M CORRA futures haven’t been swayed by the BoC business and consumer surveys today, only slightly trimming what has been a modest sell-off on the day with most contracts 1.5-2.5bp cheaper.
  • They mostly track their SOFR counterparts, perhaps unsurprising with CAD CPI for Sep to land tomorrow in the last major release before next week’s BoC decision (core measures seen easing a tenth to 3.9% Y/Y).
  • There is currently a ~10bp hike priced building to a cumulative 20bp to a terminal 5.23% in early 2024 when factoring in last week’s drift higher in CORRA to 5.03%.
  • Further out, the CORU3/Z4 spread of -25bps holds within 12bps of recent absolute lows seen in early October.

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