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BA Yields Extend The Week's Cheapening

CANADA
  • BA yields continue to make inroads into last week’s post-US CPI rally, led by the Sep’23 +9.5bps and with solid climbs through 2023, but with the Dec’23 still circa 25bps lower than pre-CPI.
  • Yesterday’s inline/slightly weaker than expected CAD CPI report helps see Canadian rates outperform the US on the day, with further cost-based inflation data tomorrow with industrial product and raw material indices.
  • The peak remains in the Mar’23, sitting around an implied 4.4% for the policy rate, although whilst BAH3/BAZ3 is off yesterday’s cycle lows it remains heavily inverted at -0.635.

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