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CAD Rates Underperform US Ahead Of BoC

CANADA
Homepagemarkets-real-timeBulletMarketsFixed Income BulletsForeign Exchange Bullets Bank of Canada Market News
  • CAD rates have modestly underperformed their US counterparts today through 2024 contracts, with implied yields 2bps lower vs as much as 4.5bps for SOFR, although they do dip 4-4.5bps further out into 2025.
  • The limited moves on the day come ahead of tomorrow’s BoC decision – see the full preview here: https://roar-assets-auto.rbl.ms/files/60782/BOCPreviewApr2024.pdf
  • BoC-dated OIS currently has 19-20bps of cumulative cuts priced for June, whilst further out, CORH4/Z4 stands at 77bp of cuts vs 88bps prior to the previous BoC decision just five weeks ago.
  • Of course, shortly before the BoC comes US CPI, with the two creating scope for sizeable volatility on the day.
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  • CAD rates have modestly underperformed their US counterparts today through 2024 contracts, with implied yields 2bps lower vs as much as 4.5bps for SOFR, although they do dip 4-4.5bps further out into 2025.
  • The limited moves on the day come ahead of tomorrow’s BoC decision – see the full preview here: https://roar-assets-auto.rbl.ms/files/60782/BOCPreviewApr2024.pdf
  • BoC-dated OIS currently has 19-20bps of cumulative cuts priced for June, whilst further out, CORH4/Z4 stands at 77bp of cuts vs 88bps prior to the previous BoC decision just five weeks ago.
  • Of course, shortly before the BoC comes US CPI, with the two creating scope for sizeable volatility on the day.