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Late 23/Early 24 BAX Futures Unwind Last Week’s Rally

CANADA
  • BAX futures are extending cheapening pressure, led by 2H23 contracts where yields are up 9bps on the day.
  • The BAZ3, for example, is back at levels prior to the net dovish perception to the BoC’s business and consumer survey on Jan 16.
  • An almost unchanged front BAH3 (OIS still pricing ~20bps for Wednesday’s decision) sees a solid unwinding of latest inversion in 2023, with BAH3/Z3 now at -0.72 from Wednesday’s close of -0.910.
  • That nevertheless still sees large hikes through the second half of this year, and with the -1.075 for BAZ3/M4 showing no let up in the pace of cuts expected beyond.

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