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BAX Holding Friday's Inversion Build

CANADA
  • BAX futures sit little changed across the curve, with the front Jun’23 and the day’s most active Sep’23 seeing implied yields +0.5-1bp whilst Jun’24 yields nudge 1bp lower.
  • The moves see growing underperformance vs US rates with SOFR implied yields currently down as much as 6.5-7bps in 2024 contracts, about a third of which came after the softer Dallas Fed mfg release.
  • The BAM3/Z3 time spread sits at -0.38, off last week’s low close of -0.225 for the most inverted since the Apr 12 (US CPI and BoC).

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