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Widely Different Inversion In 2023 Rates vs US

CANADA
  • Mirroring GoC outperformance to Tsys, BAX futures sit as much as 4 ticks lower in the Mar’24 compared to 8.5 ticks lower in the Eurodollars equivalent.
  • The sell-off has been less pronounced in front contracts but doesn’t materially change the shape of the curve.
  • Peak BAX yields remains in the Dec’22 but broadly plateau through 1H23 before then turning lower with BAZ2/Z3 at -0.58 (notably at odds to nearly 0 in Eurodollars) and then BAZ3/M4 -0.76.

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