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Rate Expectations Cool Post CPI

CANADA
  • BoC-dated OIS prices a 49bp hike for the Oct 26 meeting, down from 54-56bps prior to CPI.
  • That’s despite the reaction likely being limited ahead of tomorrow’s FOMC and with one more round of both jobs and CPI reports prior to the BOC.
  • The front of the BA curve carries the adjustment, with BAZ2 -9bps vs BAZ3 -2.5bps, whilst pushing the peak implied yield into the Mar’23 contract at 4.475% before just shy of 40bps of cuts to end-2023.

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