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BAX Yields Trimmed Ahead Of BoC Tomorrow

CANADA
  • BAX yields have declined today, led by the Mar’23 falling -9.5bps, having been surprisingly resilient to a similar move in Eurodollars yesterday.
  • The peak yield in Dec’22 has also been trimmed -6bps today to 3.985% but is 60bps higher than after the last BoC decision six weeks ago.
  • Subsequent inversion through 2023 is off last week’s high of more than 50bps but still sits at 42.5bps of cuts with the BoC seen easing policy once the current tightening phase bites.

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