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Rate Hike Expectations Firm Back Towards Highs

CANADA
  • BAX futures have increased over the past hour but still see double-digit declines from the late white pack outwards. Almost half of this has come since US payrolls.
  • A larger daily move in Eurodollars means that after FRA-OIS spread differences, BAX and Eurodollars now price in a roughly similar rate path, albeit one in which US rates peak a quarter earlier and see slightly larger inversion.
  • Over the nearer-term, BOC-dated OIS sits at 44bps for Apr 13 whilst Jun 1 pricing has firmed 3bps to 83bps since payrolls.
  • Rate call changes this week have included BMO and JPM now looking for back-to-back 50bp hikes, whilst BoA, Citi and UBS go one step further with three consecutive 50bp hikes (although UBS then sees a lengthy pause at 2%).

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  • BAX futures have increased over the past hour but still see double-digit declines from the late white pack outwards. Almost half of this has come since US payrolls.
  • A larger daily move in Eurodollars means that after FRA-OIS spread differences, BAX and Eurodollars now price in a roughly similar rate path, albeit one in which US rates peak a quarter earlier and see slightly larger inversion.
  • Over the nearer-term, BOC-dated OIS sits at 44bps for Apr 13 whilst Jun 1 pricing has firmed 3bps to 83bps since payrolls.
  • Rate call changes this week have included BMO and JPM now looking for back-to-back 50bp hikes, whilst BoA, Citi and UBS go one step further with three consecutive 50bp hikes (although UBS then sees a lengthy pause at 2%).