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Canadian Rates Lag US Rally

  • Canadian rates see a far more muted reaction to the sharp rally in Eurodollars following WSJ's Timiraos writing about the Fed potentially slowing to 50bp pace in Dec.
  • BA contracts rally as much as 4 ticks in the Mar’23 but generally 2-3 ticks out to mid-2024 compared to up to 9 tick increases in Eurodollars.
  • There is still a notable spread in terminal rates though, with OIS implying ~4.9% in Fed Funds vs ~4.4% for the BoC.

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