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Front BAX Future Leads 2023 Sell Off

  • The front BAM3 sits at session lows of 95.145 (-0.055) with broadly similar moves in SOFR on the day. It sees the implied yield of 4.855% on track for the highest close since Mar 10.
  • However, unlike in SOFR, the Dec’23 lags (95.580, -0.015), rare for recent sell offs, and sees BAM3/Z3 inversion build again in absolute terms with -0.435.
  • Tomorrow’s data drivers: CAD mthly GDP hits with US mthly PCE before the MNI Chicago PMI and final U.Mich survey.

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