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BAX Yields Buck Decline In Eurodollars

CANADA
  • BAX implied yields have started to reverse an earlier move higher, especially in front contracts, but continue to contrast the fall in Eurodollars yields (BAZ2 +1bp, BAZ3 +4bp) coming ahead of Powell's widely anticipated Jackson Hole speech.
  • The Dec’22 is 5bps off cycle highs from Tuesday but still historically elevated, whilst further increases in the Dec’23 continue to unwind BAZ2/BAZ3 inversion at just 22bps of cuts from 75bps in late July.
  • Coming ahead of the Sep 7 BoC with almost 70bps priced, job vacancies to unemployed nudging to new recent highs of 1:1 in June rather than softening with the decline in employment in Jun-Jul has helped these increases at the margin today.

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