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BA Yields Maintain 2H23 Inversion

CANADA
  • BA yields have pulled back off session highs for BAZ2 and cycle highs for later contracts such as BAZ3, but maintain a yield roughly consistent with a policy rate north of 4% through 1H23.
  • BOC-dated OIS shows this almost being hit by year-end, in what would be 75bp of hikes over the remaining two meetings (broadly 50/25bp).
  • The curve continues to price cuts in 2H23 though, with ~25bps to the Dec’23, contrary to the unwinding of 2023 inversion in Eurodollars since last week.

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