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A Minor Extension Of The Day's GoC Rally

CANADA
  • Limited net change in GoCs following the minutes, keeping to a small but marginally growing bull flattening on the day with 2YY -2bps and 10YY -3.5bps.
  • Outperformance to USTs sees Can-US yield differentials narrow some more with the 2Y at +4bps and 10Y at +2bps.
  • The outperformance is seen equally in rates space, with BAX futures climbing 4-4.5 ticks through late 2022-1H23 compared to the 1-2 tick rise in Eurodollars. Little obvious drivers for the gap, especially after a small miss in US core durable goods orders earlier.

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