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Strong CPI Sees BAX Yields Maintain Increase Despite Risk Off

CANADA
  • BAX implied yields have dipped slightly since CPI with the broad-based strength offset by growing risk-off sentiment.
  • Yields are still led higher by near-term contracts, up as much as 6bps through 2H22 to leave the path as steep as it’s been through 2022 (compared to Eurodollars -2bps on the day).
  • The path peaks approximately 10bps below previous cycle highs for now, but could see scope for further increases if sentiment improves.

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