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Modest Pullback In BAX Yields After Substantial Increases

  • BAX futures are firmer today, led by the front whites up 5-6 ticks but limited to 1-3 ticks through the rest of the whites and reds, areas of the curve that have seen the largest moves over the past week.
  • This does little to change a heavily front-loaded curve which has pushed implied yields in the H3 contract some 50bps higher since the BoC decision two weeks ago.
  • Yesterday’s strong CPI report helps vindicate the steepening, but any further drivers are likely non-local: the next key data are arguably GDP for Jan on Mar 31 and the BoC’s BOS and CSCE surveys on Apr 4 with no BOCspeak currently scheduled ahead of the Apr 13 meeting.

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