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Late Cheapening Pressure For BAX Futures

CANADA
  • Some late cheapening pressure sees 2023 BAX futures with little net change since the CPI print for still sizeable increases for implied yields on the day (Jun’23 +12bp, Sep’23 +16bp, Dec’23 +19bp).
  • In the process it trims the BAM3/Z3 spread to -0.305, back close to the lows in absolute terms since the start of the US regional banking crisis.
  • Tomorrow sees the BoC minutes from the Mar 8 decision released just 30mins before the Fed’s decision. Whilst superseded by banking woes, it could nevertheless provide useful details on deliberations prior to it following prior guidance with its first pause of the hiking cycle.

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