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Mixed Session Consolidates Recent BAX Cheapening

CANADA
  • BAX futures see a mixed session to date, slightly richer at front contracts (+0.005-0.01) before cheapening a touch from the Dec’23 onwards (-0.01-0.02).
  • In doing so it consolidates more sizeable cheapening that started in the second half of last week and continued yesterday, with Dec’23 implied yields currently 4.30% from Wednesday’s close of 4.07%.
  • The curve remains heavily inverted, with BAH3/Z3 -0.705 and BAZ3/M4 -1.07, with potential for BoC guidance to try and push back against those cuts priced.

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