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BAX Inversion Hits New Highs Post CPI

CANADA
  • BAX implied yields have for the most part unwound any post-CPI increases, only holding higher in the front Mar’23 and then Jun’23 (+1.5-2bps on the day and release).
  • Inversion builds further out the curve, with the largest rally seen in the Jun’24 currently at -7bps (-4bps since CPI).
  • In doing so, BAH3/Z3 and BAZ3/M4 time spreads are currently on track for new lows with -0.885 to Dec’23 and then an accelerated -0.98 in 1H24. The former compares with -0.415 for Eurodollars.

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