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BAX Curve Continues To Chip Away At Prior Inversion

CANADA
  • It’s been a mostly uneventful session so far for BAX futures, trading on thin volumes amidst a light docket, but nevertheless consolidating the recent steepening with currently the least cuts priced since Oct’22.
  • The front Sep’23 and also Dec’23 are unchanged on the day building to a 1-2 tick sell-off to end-2024, nudging the BAU3/Z4 spread to -55.5bps.
  • It follows a similar trend in US rates, although the SOFR equivalent continues to price a more aggressive -113bps.
  • Tomorrow sees IPPI which could provide some further insight after core CPI moderated by less than some had hoped in monthly trend terms.

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