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BAX Inversion Builds Some More

CANADA
  • BAX yields have reversed the initial move higher in early trade as the resumption of a broader FI rally takes hold.
  • Front-dated contracts are relatively pinned (Dec’22 -0.5bps) but there is an increasingly large slide in yields further out (led by Dec’23 -5bps).
  • The combination sees 50bps of cuts through Dec’22-Dec’23, having been 20bps at Thursday’s close prior to Canada Day as it catches up with the 75bps of inversion in Eurodollars over the same section of the curve.

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