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BAX Inversion Builds With New Highs For 1H24

CANADA
  • BAX futures nudge a little further off recent lows for front contracts (BAH3 +0.01) and increasingly so further along the curve (BAZ3 +0.055, BAM4 +0.10). The front Mar'23 sees little change with almost a 25bp hike priced for the Jan 25 meeting in OIS.
  • The combination sees continued trend increases in inversion from a peak yield of 5.065% in the Mar’23, with BAH3/Z3 -0.675 (heavily backloaded in the year) and BAZ3/M4 -0.82 as the latter hits cycle lows.
  • Likely spillover from US CPI tomorrow before next week’s key CAD indicators with BoS/CSCE surveys (Jan 16) and CPI (Jan 17) before BoC Jan 25.

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