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GoCs and BAX Futures Fade Treasuries Pressure From Minutes

CANADA
  • GoC yields holding a solid -5-6.5bps lower on the day, the 2Y on balance moving slightly lower post the FOMC Minutes with no spillover from 2Y Tsy yields currently 2.5bps higher (for -1bp on the day).
  • Similar moves in rates space, with BAX futures implied yields -1bps for the front Mar’23 and 4-5bps lower through 2H23-1H24 contacts. The Dec’23 is now 11bps lower since yesterday’s CPI print.

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