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BAX Implied Yields Shift Nearer To Highs

CANADA
  • Having stalled yesterday, BAX futures implied yields have seen a broadly parallel shift higher in the curve through 2H22-end2023, up 7-8bps as the front end has caught up of late.
  • The increases generally lag Eurodollars on the day except for at the very front end of the curve, with no obvious drivers behind the difference.
  • It pushes implied yields for immediate contracts back to previous highs (partly on higher FRA-OIS) although is less aggressive thereafter at a level that crudely implies a terminal overnight rate a little north of 3%.

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