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New Highs For BAX Inversion

CANADA
  • Front BAX yields have followed Eurodollars higher, with BAZ2 +3.5bps albeit still more than 20bps below where it sat after the BoC’s 100bp hike two weeks ago.
  • The move is consistent with a firming in expectations for near-term meetings, including the next BoC in Sep now sitting at 66bps from 62bp first thing judging by OIS, and plays to Goldman’s BAZ2 short recommendation flagged earlier.
  • Declines further out (EDZ3 -2.5bps) push 2023 inversion to new highs with 67bps of cuts now priced for BAZ2/BAZ3 as the BoC’s “front-loaded” guidance holds.

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