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BAX Yields Nudge Fresh Cycle Highs

  • BAX futures have seen a mixed session so far but ultimately see implied yields 2.5-4bp higher across the curve.
  • It unwinds yesterday’s rally to leave yields at or above Wednesday’s close, which out to the Mar’24 contract were fresh highs for the cycle.
  • The BAH3/Z3 spread has almost fully unwound cuts for the year as a whole (-0.05) this week, but remains solidly inverted in 1H24 with BAZ3/M4 -0.75.
  • Stronger than expected input costs and US import prices have helped sustain the move on the day with CPI clearly in focus on Tuesday. Headline seen 6.1% Y/Y (-20bps), with CPI median 4.9 (-10bps) and trim 5.1% (-20bps)

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