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Renewed/Continued Cheapening Across FI

CANADA
  • FI cheapening pressure re-emerging at the front end and continuing a largely one directional move further out the curve.
  • BAX futures implied yields push back to as much as 15bps higher on the day for 1H24 contracts: if the Mar’24 closed now at 4.43% there would only have been two sessions with a higher closing yield (Oct 20 and 21).
  • That same pressure is seen with 2Y GoC yields now +11bp at 4.075%, albeit still off a post-jobs spike of 4.128%, whilst 5-10Y tenors have caught up (+11.5bp, +10.5bp) with only 30s lagging with +8.5bps.

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