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BAX futures Holding Onto Post CPI Higher Yields

CANADA
  • BAX futures implied yields have kept much of the post-US CPI rise, up 6bps in the Dec white as they close in on the steepest the curve has been through the 2022.
  • 4bp increases through the red pack keep the curve particularly flat thereafter, crudely implying an overnight rate peak between 3-3.25%.
  • BoC’s Dep Gov Gravelle speaks tomorrow (text 1135ET, speaking 1150ET). We expect a reiteration or implication that a 50bp hike will be considered for Jun 1 (last Macklem comments) and look out for anything on pace of getting back to neutral.

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