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BAX Yields Slide In Continued Reaction After First Republic Asset Sale Talk

CANADA
  • The spillover rally in Canadian rates stemming from the US First Republic Bank asset sale talks continues, with BAX implied yields now down -5bps for the front Jun’23, -19bps for the Dec’23 and -20-22bps for 2024 contracts (the latter vs down 30-32bps for SOFR).
  • It sees the BAM3/Z3 spread widen to -0.515 further off last week's high of -0.225 for the most inverted since Apr 6.
  • Large moves are seen in GoCs as well, with 2YY now -14.7bps vs -16.6bps for Tsys.

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