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BAX Futures Approaching Post-Powell Lows

CANADA
  • BAX futures are pushing back towards initial lows on Powell’s released remarks.
  • In implied yield terms, the nature of the BoC’s conditional guidance from Jan and the BoC decision tomorrow keeps the most active Jun’23 relatively restrained with +3.5bbps.
  • Larger moves further out though, led by the Sep and Dec’23 yields climbing 9-8.5bps (lagging US rates close to +15bps). It sees the BAH3/Z3 spread on track for its highest close of the cycle at 0.085 after the substantial, US-driven higher for longer push has reversed significant cuts since the Jan meeting (from circa -0.75).

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