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BAX Offs Lows But Still See Sizeable Underperformance To US Rates

  • BAX futures have pulled off lows in coordination with the DXY unwinding earlier strength but still see -0.05-0.06 through the Dec’23 and beyond, contrary to little change through the Eurodollars white pack and drifting up to 0.05 higher through the red pack.
  • In trend terms, it continues large recent moves post-US payrolls (BAH4 -0.28 over 2 days, -0.33 over the week) as cut expectations continue to be trimmed with 1H24 contract implied yields more than 50bps higher than after the BoC’s pause signal on Jan 25.

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