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Canada Update + Goldman Steepener

STIR
  • OIS futures are pricing in 32bps of hikes for the March 2 meeting and 6 hikes in total for 2022.
  • There remains two 25bp hikes for Q2, roughly matching BAH2-BAM2 of 48.5bps.
  • Goldman see the risk of more than 6 hikes this year as low. “A scenario where this risk is realized (persistent elevated inflation) is also likely one where more normalization will be required next year than what markets currently discount”.
  • Goldman "therefore recommend adding BAZ2-BAZ3 steepeners", with entry 41bp, target 65bp and stop 25bp.

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