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BA Yields On Track For Highest Terminal Close Of Cycle

CANADA
  • BA yields see largest increases in 2H23, with the BAU3 yield +7bp, as they work their way closer to post-payrolls initial highs.
  • Limited change in the Dec’22, up 1bp but still 10bps lower since the surprise BoC downshift to a 50bp hike, with OIS currently torn between a 25/50bp hike in Dec (37bp priced).
  • Yields are notably higher beyond that though, with a terminal yield in the BAM3 on track for the highest close of the cycle, getting close to an equivalent 4.5% policy rate from the 3.75% currently.

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