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BAX Futures Now Price Just One 25bp Cut For 2023

CANADA
  • The combination of BAX yields unchanged in the Dec’22 and +6.5bps in the Dec’23 has pushed cuts priced for 2023 to 24bps on a BAZ2/BAZ3 basis.
  • It’s a sizeable unwinding from the 75bps priced at the turn of the month and starts to see some divergence with Eurodollars pricing 36bps on the same basis (although that’s a little different where yields don’t peak until the H3).
  • Embodying higher rates for longer, it helps support 2Y GoC yields +1.5bps at 3.49%, keeping close to yesterday's post Jan-2008 high of 3.51%.

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