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BAX Futures Cheapening Possibly Capped Ahead Of Labour Report

  • Broad FI cheapening pressure takes shape in shorter-term rates as well, with BAX futures implied yields for contracts through 2H23-1H24 now 4bps higher on the day.
  • The move is similar to that of SOFR futures for 2H23 but lags a larger slide into 2024 with SFRM4 yields now +10bps.
  • BAX yields might struggle to push much higher here ahead of tomorrow’s employment report, with the Dec’23 of 4.665% just 0.5bps off Tuesday’s intraday high at levels not seen since late October.

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