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BAX Futures Firm Less Than Eurodollars Ahead Of BOC

CANADA
  • Ahead of the BOC decision, BAX futures lag the firming in Eurodollars, especially into the red pack and beyond.
  • Near-term implied yields are little changed from after Dep Gov Kozicki talked of being prepared to act forcefully but continue to be trimmed further out, with BAZ2 implied yields 12bps lower and the peak in BAU3 some 17.5bps lower.
  • Nevertheless, it still crudely implies a policy rate peaking a little below 3% compared to current BOC estimates of the neutral rate range between 1.75-2.75%.

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