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Canada: Implied Yields Tick Higher

STIR FUTURES
  • OIS pricing for Mar 2 has nudged higher to 35bps ahead of CPI, with very roughly 7 hikes for 2022 amidst high volatility.
  • Similarly, there has been a modest increase in BAX implied yields in early trading, up 1.5-3bps through the whites and reds from M2 onwards.
  • The slight front-loading of these latest increases sees the curve continue to flatten quite abruptly through 2023, with only 40bps of hikes in the Z2-Z3 spread.


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