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2023 Yields Ease Back With CPI In Focus

CANADA
  • There’s been a sizeable pullback in 2023 BA yields today, with the terminal in the Mar’23 -5bps and the Dec’23 -10bps.
  • It leaves the Dec’23 yield largely unchanged since last week’s US CPI beat despite front contracts still some 15bps higher, with an implied peak of circa 4.25% for 100bp of further hikes, starting with next week’s decision.
  • CPI in focus tomorrow with core prints seen unchanged in Y/Y terms after easing marginally in Aug (trim & median).

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