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BA Yields Edging Off New Highs After Extending Post-CPI Climb

CANADA
  • BA yields are pulling back from session and new cycle highs but still eke out increases on the day.
  • Front contracts (BAZ2 +1.5bp, BAZH3 +0.5bp) see little advance after jumping yesterday with CPI, still implying a terminal policy rate between 4.25-4.5% (100-125bp of hikes) with OIS pricing ~70bp for next week’s decision.
  • Larger increases further out (BAZ3 +7bp) but still keeps to just over one 25bp cut priced for later in 2023.

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