February 21, 2023 14:17 GMT
BAX Yield Curve Shifts Back Lower With Softer CPI Inflation
- BAX implied yields have dropped 5bps for the front Mar’23, 8.5bps for the Dec’23 and 7bps for the Jun’24 with the CPI report digested (plus softer ex-auto retail sales).
- Sizeable cheapening impetus after the post-holiday open does however mean that implied yields are only 3bps lower on the day and still 2-5bps higher in 1H24 and close to cycle highs.
- The combination tips BAH3/Z3 back into implying (minimal) cuts at -0.03 having poked into positive territory early this morning for the first time since May.