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BA Yields Extend Gulf To US

CANADA
  • A retracement for BA futures whilst Eurodollars hold closer to session lows, especially in 2023 contracts, further opens the gulf in yields.
  • Consistent with the Can-US 2Y yield differential sliding on the twin prong of strong US CPI/hawkish dot plot and weaker Canada CPI, BAZ3 yields are only 2.5bp higher over a two day period covering yesterday’s FOMC (+23bps for EDZ3) and still 6.5bps lower over the past week (+31bps for EDZ3).
  • [Table below shows changes in contract pricing rather than yields]

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