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Can-US 2Y Yield Differential Near Recent Highs Ahead Of Jobs Reports

CANADA
  • GoCs trading 5.5-7.5bp cheaper have reversed most of their earlier outperformance to Tsys on the day, closing the gap at the front end and most of it further out the curve.
  • In doing so it pushed 2Y GoC yields more firmly back above 4% (4.035% currently) for highs since sliding with the Dec 13 FOMC decision.
  • Ahead of tomorrow’s twin jobs reports, Can-US yield differentials see the -36bps for the 2Y still close to highs since mid-Nov whilst the -78bp for the 10Y is more in keeping with recent levels.
  • The broader FI sell-off over the past two sessions sees April as no longer fully pricing in a first BoC cut, at 22-23bp, from 30bps at year-end and briefly closer to 40bps after the Dec FOMC.

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