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CAD Rates Outperform US Post Powell

CANADA
  • BAX futures outperform SOFR, with implied yields currently just 1-2bp higher through 2024 vs SOFR yields sitting as much as 6.5bps higher for 1H24.
  • The mostly parallel sell-off does little to change the BAU3/Z4 spread at -52.5bps as it remains near Tuesday’s -49bps for the lowest close since Sep’22 (SFRU3/Z4 also tightens but is still -110bps).
  • Looking to next week, GDP on Friday marks the last major release before the Sep 6 BoC decision, with BoC-dated OIS currently pricing +6bps based off CORRA at 5.02%.

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