Rising as much as 18bps through 2H2023, BAX implied yields are back to very similar levels seen after the surprise front-loaded 100bp hike at the Jul BoC.
As such it sees the Dec’22 contract crudely implying an overnight rate a little above 3.5% (vs OIS currently showing a peak above 3.6% in Jan) from 2.5% at present.
Inversion in 2023 is trimmed very slightly in the process, but still shows almost 60bps of cuts through BAZ2/BAZ3.
Looking ahead to next week, US CPI sits front and centre in an extremely quiet week for local releases.

Bullet Markets Fixed Income News Foreign Exchange News Homepage Bank of Canada Market News

Chris Harrison

Bullet Markets Fixed Income News Foreign Exchange News Homepage Bank of Canada Market News

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Rate Path Back To Post July BoC Levels After Yields Surge