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Mixed Relative Performance To US FI

  • Contrary to 2Y GoCs outperforming Tsys today (-5.8bp vs -4.2bp), BA yields keep to smaller moves through 2023 with BAZ3 -3bps vs EDZ3 -6bps.
  • The peak seen in the Mar’23 contract is also only -3bps from Friday’s close, at a level roughly implying a terminal overnight policy rate at the lower end of the 4.25-4.5% range vs a Fed Funds implied terminal above 4.9%.
  • Beyond, there is just over one 25bp cut priced for 2023, coming in 2H23 and with the pace picking up into 1H24.

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