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BAX Yields Surge With Improved Risk Sentiment

CANADA
  • BAX implied yields have surged today, rising 8.5bps for the Dec’22 contract but with double digit increases further out led by 15bps for the Dec’23.
  • It sees yields start to close the gap on levels seen after the BoC’s frontloaded 100bp hike on Jul 13, to less than 10bps through BAZ2-BAU3, whilst modestly reversing the sharp inversion built through July with 62bp of cuts still priced for 2023.
  • Data: Building permits and international trade hit tomorrow but data focus will firmly be on Friday’s employment reports from both the US and Canada.

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