August 05, 2022 16:40 GMT
- 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.