May 10, 2024 12:59 GMT
CAD FI Holding Bulk Of Jobs Report Sell-Off
CANADA
- With some of the dust settling on the jobs report, GoC yields sit 4.5-5bps higher through 2-10Y tenors since the release (for 5.5-6.5bps higher on the day).
- It sees the 2Y Can-US yield differential increase 4.5bps on the day to -57bps at what would be its highest close since Apr 9 vs almost -70bps at end-April.
- BoC-dated OIS shows slightly under 50/50 odds of a June cut with a cut only just fully priced for July.
- CORRA futures show 60bps of cuts through 2024 contracts vs 69bps pre-CAD jobs.
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