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BA Yields Through Post US CPI Highs

  • BA yields have cleared yesterday’s post-US CPI highs after a short-lived rally in the second half of yesterday.
  • Increases are again led by the Mar’23 (+12bp), pushing the implied yield up to 4.85%, a huge 67bps higher than after the Sep 7 BoC meeting, 37bps of which since a hawkish Macklem on Oct 6 and 23bps alone since Wednesday’s close prior to the US CPI beat
  • It leaves a roughly implied terminal policy rate straddling between 4.25% and 4.5%, from a current 3.25%, although that still remains far off the 4.95% terminal priced for the Fed.
  • Macklem is set to speak again late at 1600ET before a key week with the BOS/CSCE surveys and CPI inflation plus Senior DG Rogers in the last steer before the Oct 26 decision.

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