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BAX Futures Slowly Catching Up With GoCs

CANADA
  • BAX futures are slowly catching up with the sell-off in GoCs, with March red implied yields up 2bps (having been -7bps early in the session) vs the +5.5bps for 2Y GoCs.
  • It does little to change the material flattening in the curve seen since Friday though, with a terminal rate less than 10bps higher than immediately after the BoC decision to hike 50bps on Apr 13.
  • Subsequent CPI inflation strength and consideration of a 50bp hike in June has seen the path remain more front-loaded.
  • Having edged higher over the past week, the 3M FRA-OIS has tentatively levelled off at 33.5bps, below the recent peak of 37bps from early March at the height of Russian invasion uncertainty.

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  • BAX futures are slowly catching up with the sell-off in GoCs, with March red implied yields up 2bps (having been -7bps early in the session) vs the +5.5bps for 2Y GoCs.
  • It does little to change the material flattening in the curve seen since Friday though, with a terminal rate less than 10bps higher than immediately after the BoC decision to hike 50bps on Apr 13.
  • Subsequent CPI inflation strength and consideration of a 50bp hike in June has seen the path remain more front-loaded.
  • Having edged higher over the past week, the 3M FRA-OIS has tentatively levelled off at 33.5bps, below the recent peak of 37bps from early March at the height of Russian invasion uncertainty.