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BAX Futures See Solid Back-Loaded Sell-Off, GS Look For More

CANADA
  • BAX futures have seen a sizeable cheapening today further out the curve. Front contracts see limited change as last week’s dovish BoC guidance of a potential pause still holds sway but there is notable reversal of prior sharp additional inversion of the curve.
  • In yield space, the front BAH3 is just +1bp but the Dec’23 is +6.5bp and the Jun’24 is +15bp. The latter is also +16bp since just prior to the Jan 25 decision but this masks a 25bp swing from the post-meeting close.
  • GS still see sizeable scope for a further sell-off, having advised selling the implied Dec’23 yield at 4.27% with a target 4.70% and stop 4.00%, currently 4.355%.

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