Free Trial

BAX Implied Yields Cool

  • Hikes implied by BAX futures over the next year have cooled as they catch up with an earlier move lower in yields further out the curve, now down -5-5.5bps through 2023.
  • The broadly parallel shift in the curve from 1Q23 onwards plus a further steady widening in FRA-OIS trims the roughly implied terminal overnight rate to circa 3%, still the top end of the 2-3% neutral rate range.
  • Nearer quarters are more resilient on the day and will be whilst OIS still prices nearly 100bp of hikes over the next two meetings, supported by latest comments by BoC’s Gravelle along with apparent FOMC consensus for the same pace in the US.

To read the full story



MNI is the leading provider

of intelligence and analysis on the Global Fixed Income, Foreign Exchange and Energy markets. We use an innovative combination of real-time analysis, deep fundamental research and journalism to provide unique and actionable insights for traders and investors. Our "All signal, no noise" approach drives an intelligence service that is succinct and timely, which is highly regarded by our time constrained client base.

Our Head Office is in London with offices in Chicago, Washington and Beijing, as well as an on the ground presence in other major financial centres across the world.