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CAD FI Pares Post-CPI Reaction, But US Differentials Still At Highs Since June BoC Cut

CANADA
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  • With the stronger than expected Canadian CPI report now more fully digested, 2Y GoC yields have limited post-data increases to a still sizeable 8.9bps (for +7.4bps on the day).
  • The Can-US 2Y yield differential has also trimmed some of its earlier large gains, now at -77bps having touched -73bps, but still increase from -82.5bps pre-data and would mark the highest close since the BoC cut 25bps on Jun 5.
  • BoC-dated OIS meanwhile hovers around 9-10bps priced for the Jul 24 meeting (from 15bp) with still another labour and CPI round to come plus the BoC’s business and consumer surveys.
  • Further out, CORRA futures have a cumulative 56bp of cuts to end-2024 and 138bp to end-2025, vs 64bp and 146bp pre-CPI.
  • Perhaps complicating proceedings on the day at the margin was yesterday’s shock win for the centre-right main opposition CPC in the Toronto-St Paul by-election, having been held by the LPC since the 1993 general election.

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  • With the stronger than expected Canadian CPI report now more fully digested, 2Y GoC yields have limited post-data increases to a still sizeable 8.9bps (for +7.4bps on the day).
  • The Can-US 2Y yield differential has also trimmed some of its earlier large gains, now at -77bps having touched -73bps, but still increase from -82.5bps pre-data and would mark the highest close since the BoC cut 25bps on Jun 5.
  • BoC-dated OIS meanwhile hovers around 9-10bps priced for the Jul 24 meeting (from 15bp) with still another labour and CPI round to come plus the BoC’s business and consumer surveys.
  • Further out, CORRA futures have a cumulative 56bp of cuts to end-2024 and 138bp to end-2025, vs 64bp and 146bp pre-CPI.
  • Perhaps complicating proceedings on the day at the margin was yesterday’s shock win for the centre-right main opposition CPC in the Toronto-St Paul by-election, having been held by the LPC since the 1993 general election.