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Trimming Of Rate Cuts Resumes

CANADA
  • BAX futures have kept to the tone that was set quite early on in today’s session under consistently light volumes.
  • The front Sep’23 trades -0.02, building to -0.06 for the Jun’24 and -0.09 for the Dec’24.
  • It’s a move that pushes the BAU3/Z4 spread to -63bps and on track for its tightest close since Oct’22, with 2H24 implied yields now more than 20bps higher than after the Jul 12 BoC decision.
  • The near-term rate outlook has firmed on the day with BoC-dated CORRA OIS rising to 10bp for Sep and a cumulative 21.5bp to year-end but remains off the 24bps seen prior to last week’s GDP report.

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