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BAX Inversion Further Off Prior Max Levels

CANADA
  • BAX futures holding on to an acceleration of yesterday’s paring of gains from earlier in the week that had come primarily on weaker US data.
  • Front Mar’23 yields are currently 2.5bp higher, consistent with OIS pushing back to circa 22bps for Wednesday’s rate decision.
  • Larger moves further out the curve, capped by Mar’24 yields +13bps and set for the highest close of the week currently at 3.65%.
  • 2023 inversion has seen a decent pullback off Wed lows with BAH3/Z3 at -0.78 vs -0.91, but some of this is delayed into 1H24 with BAZ3/M4 pushing record lows at -1.075.

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