The Bank of Canada (BoC) is likely to cut the policy rate more than currently implied by the Three-Month CORRA Futures (CRA™; Bloomberg: CORU4) curve. As it stands, 163bps of cuts are priced within the next two years. This is over 200bps shy of the cutting cycles that occurred following the 2000 hiking cycle and Global Financial Crisis (GFC). As a result, there is value in owning the September 2024 Three-month CORRA Futures contract.
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