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BAX Curve Implying A Terminal 3% Rate

CANADA
  • BAX futures and Eurodollars alike have seen little change today despite a sizeable sell-off in bonds, with GoC yields up 6-9.5bps.
  • The BAX curve hovers with a crudely implied terminal overnight rate at 3%, reached in early 2023 from the current 1% and holding at that level through the year before almost 20bps of cuts thereafter.
  • Macklem’s comments will come after market close.
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