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BAX Futures Chip Away At Inversion

CANADA
  • BAX yields have seen large increases trimmed since US retail sales but are still led by +9bps for the Jun’23, lagging more widespread 12bp increases for Eurodollars today.
  • Yields for the Dec’22 stand 17.5bps higher than just before yesterday’s strong core CPI and push above levels after July’s surprise 100bp BoC hike, crudely implying a terminal rate between 3.5-3.75%.
  • 2023 inversion is trimmed to under 50bp of cuts judging by BAZ2/BAZ3 from 75bps in late July, in a similar move to Eurodollars with the consideration of higher for longer.

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