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BA Yields Embodying Higher For Longer

  • BA yields are now 11-15bp higher across most of the curve, with front rates broadly keeping to post-CPI levels (only up another ~2bp since an hour after the data) but with rates in 2H23 and beyond increasing notably since then.
  • Better tracking moves in US rates, BAZ3 is now 13bp higher on the day, having only increased 4bp on the CPI release.
  • Peak yields are seen in Dec’22/Mar’23 contracts, implying a policy rate in the middle of 4.25-4.5 whilst OIS implies this starts with a little over 70bp priced for next week’s BoC decision.

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