February 06, 2023 15:07 GMT
Continued Significant Trimming Of 2H23 Cuts
- The Dec’23 BAX future is the most active contract today as late 2023 / early 2024 implied yields see the largest repricing higher in a continuation of post US-payrolls moves.
- The Mar’23 yields climb a further 2.5bps vs Dec’23 +11bps (+29bp from Thu close) and Jun’24 +19bps (+37bp since Thu close).
- BAH3/Z3 of -0.41 is off -0.665 Thu close and a mid-Jan low of -0.91, at its highest (least negative) since early Nov, but with a smaller correction thereafter with BAZ3/M4 still at -0.885.
- Macklem speaks tomorrow but comes soon after the BoC’s Jan 25 push towards a pause whilst awaiting an accumulation of evidence.