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BAX Inversion Builds On BoC Surveys

CANADA
  • Demand fears in the BOS and modest improvements in longer-term expectations drive significant further inversion in BAX futures, building on an already large rally earlier in the session.
  • Front BAH3 +0.02 but Dec’23 +0.14 and Jun’24 +0.16 despite coming off highs.
  • Last week’s trend had been growing inversion in 1H24 but today’s is more heavily front-loaded, with the Mar’23-Dec’23 spread tilting back to recent record lows at -0.84 whilst Dec’23-Jun’24 ekes out new lows with -0.95.
  • Near-term, BoC-dated OIS eases to 21bps for next week’s meeting but with Dec CPI still to come tomorrow.

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