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BAX Futures Maintain Heavily Front-Loaded Curve

CANADA
  • BAX yields have broadly taken their cue from Eurodollars today in absence of idiosyncratic drivers, and could well remain the case with very little in the calendar until Canadian CPI next Tue (Aug 16).
  • Yields in the Dec’22 hold in at elevated levels (+1.5bps on the day) – crudely implying a further 100bp of hikes from the current 2.5% - but with declines on the day from mid-2023 onwards with the Dec’23 -3bps and larger moves beyond that.
  • It keeps BAZ2/BAZ3 off lows but at -0.65 remains heavily inverted.

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  • BAX yields have broadly taken their cue from Eurodollars today in absence of idiosyncratic drivers, and could well remain the case with very little in the calendar until Canadian CPI next Tue (Aug 16).
  • Yields in the Dec’22 hold in at elevated levels (+1.5bps on the day) – crudely implying a further 100bp of hikes from the current 2.5% - but with declines on the day from mid-2023 onwards with the Dec’23 -3bps and larger moves beyond that.
  • It keeps BAZ2/BAZ3 off lows but at -0.65 remains heavily inverted.