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Curve Inversion Builds As 2023 Rate Expectations Soften

CANADA
  • BA yields have nudged higher in front contracts today, with the backdrop of the BoC expected to maintain a hawkish tone on Wednesday.
  • Increases are led by the Mar’23 (+3.5bp) but lag a slightly larger increase in Eurodollars despite the weak US PMIs, whilst late 2023/early 2024 BA yields have also seen larger declines, further reflecting the latest renewed outperformance to US rates.
  • The combination has seen a modest increase in inversion, with BAZ2/BAZ3 widening to 37bp of cuts for 2023, the widest in around a month.

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