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BAX Yields Slide, Fresh Inversion High Catching Up With Eurodollars

CANADA
  • Continued rallies seen through FI markets are equally evident in BAX futures with implied yields down 3bps for the Dec’22 and 9bps for the Dec’23.
  • The curve is beginning to level out more notably in front contracts, with just 4bp of hikes through BAU2/BAZ2 compared to 35bps at the beginning of the month.
  • It shunts BAZ2/BAZ3 to -68.5bps as it slowly catches up with the widening to -79bps for the Eurodollars equivalent.

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