November 10, 2022 18:37 GMT
BAX Implied Terminal Chopped Almost 25bps With Larger Slide Beyond
CANADA
- Front BA futures remain off post-US CPI highs having pulled back from the initial reaction but late 2023/early 2024 contracts continued to increase towards early close, nearing highs seen the day after the BoC stepdown to 50bp.
- It sees peak implied yields switch from Mar-Jun’23 to Dec’22-Mar’23, chopping circa 25bps from terminal to around 4.25%, with sharper cuts in 2H23.
- Changes in implied yields: Dec’22 -6.5bp, Mar’23 -15bp, Dec’23 -44bp and Mar’24 -48bp.
- There was little immediate reaction to BoC Governor Macklem's prepared remarks and event Q&A but the media Q&A has just started.
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