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Bull Flattening As Hike Expectations Remain Substantial

CANADA
  • GoCs have seen a sizeable bull flattening today with 2YY -3bps, 10YY -7.5bps and 30YY -10.5bps, with moves driven further by lower equities.
  • The 8bp rally in the 10Y puts it roughly on par with Treasuries but the front end underperforms whilst Canadian rates see a smaller unwind of the recent substantial increase in hike expectations (BAX up ~1.5 ticks until the middle of the red pack vs up to 6 ticks in Eurodollars).
  • 5s30s of 24bps is the flattest since Mar-2020 and not far from the 10-15bps seen just prior to the pandemic.

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