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Strong Rise In BAX Implied Yields

CANADA
  • BAX futures implied yields have increased strongly to new highs after trimming recent rises yesterday, helping support the step lower in USDCAD.
  • Largest moves have been in late whites and through the red pack, with the contracts currently down as much as 11.5 ticks vs 6.5 ticks for Eurodollars.
  • The BAX curve continues to price in a steeper path over the next eighteen months than in Eurodollars and with modestly slower inversion thereafter.
  • Few obvious new drivers for the difference on the day. Ahead, we get the only BOC commentary between now and the BOC decision on Apr 13 tomorrow from Dep Gov Kozicki.


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