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CAD Rates Outperform US, BoC Press Conference Next Up

CANADA
  • With the dust settling on the impact of the BoC decision and strong US flash PMIs, the Can-US 2YY differential has fallen nearly 4bps to -33.5bps.
  • 3M CORRA futures are little changed, ranging from 1 tick cheaper (Z3) to 1 tick richer (U4-Z4), consolidating a rally seen prior to 0945ET.
  • CORH4/Z4 sits at -95bps vs -94bps, whilst nearer-term BoC-dated OIS shows 15-16bp of cuts for the April decision.
  • Macklem’s presser begins shortly: https://www.bankofcanada.ca/multimedia/press-conference-monetary-policy-report-january-2024/

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