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Near-Term BAX Futures Await Direction From US CPI, BOCSpeak

CANADA
  • Near-term BAX contracts are near enough unchanged on the day through to end-2022 (+1.5 ticks), not far off Eurodollars (-0.5 tick) ahead of tomorrow’s US CPI and with the additional potential catalyst of BoC’s Dep Gov Gravelle speaking on Thu.
  • Global growth concerns weigh further out the curve though, with the red pack rising as much as 7.5 ticks.
  • Implied yields are reasonably close to the steepest the curve has been over immediate quarters but beyond that increasingly sit between where they were after the BoC meeting on Apr 13 and subsequent highs, crudely implying a terminal overnight rate falling close to 3%.

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