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BAX Yields Continue To Shift Higher

CANADA
  • BAX futures yields have increased solidly across the curve today, with the largest rise of 13.5bps in the red pack, as opposed to Eurodollars where the increase in yields has been more front-loaded.
  • The curve is about as steep as it’s been through the whites whilst the terminal rate moves nearer to peaks seen late last week, although a further drifting higher in FRA-OIS means the roughly implied overnight rate is only marginally above the top of the BoC’s neutral range of 2-3%.
  • Rare double BOCspeak next week, with Senior Dep Gov Rogers on May 3 (text 1230ET, speech 1245ET) and then Dep Gov Schembri on May 5 (text 0940ET, speech 0955ET).

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  • BAX futures yields have increased solidly across the curve today, with the largest rise of 13.5bps in the red pack, as opposed to Eurodollars where the increase in yields has been more front-loaded.
  • The curve is about as steep as it’s been through the whites whilst the terminal rate moves nearer to peaks seen late last week, although a further drifting higher in FRA-OIS means the roughly implied overnight rate is only marginally above the top of the BoC’s neutral range of 2-3%.
  • Rare double BOCspeak next week, with Senior Dep Gov Rogers on May 3 (text 1230ET, speech 1245ET) and then Dep Gov Schembri on May 5 (text 0940ET, speech 0955ET).