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Rates Rally Catches Up With US

CANADA
  • BA yields have steadily rallied as much as 15bp through late 2023/early 2024 contracts today, closing the gap with US rates after initial resilience to the sharp post-Timiraos rally in the US.
  • With OIS almost fully pricing a 75bp hike from the BoC on Wed, BA yields only dip 3.5bps in the Dec'22 with the peak pulled forward into it. It sees the curve re-inverting by 10bps to -0.31 for BAZ2/BAZ3 as it fully unwinds yesterday’s flattening.

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