April 27, 2022 16:05 GMT
- 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.