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OIS Close To 50/50 For BoC Hike On Wed, BAX Steepens Further

CANADA
  • BoC-dated OIS has seen another day pushing higher and is now close to a 50/50 decision between holding and hiking 25bp on Wed and cumulatively fully prices a 25bp hike with the July decision.
  • In BAX space, similar moves have seen underperformance to SOFR counterparts, with the front Jun’23 -0.02 (SOFR +0.01), Dec’23 -0.035 (+0.025) and Jun’24 -0.04 (+0.04).
  • The BAM3/Z3 spread continues its push higher accordingly, currently at +0.155 at what would be the highest close since Feb/early March 2022.

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