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Can-US Yield Differential Holds Further Move Off Historical Lows

CANADA
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  • GoC yields sit just 0-1bp lower on the day, holding onto the further lift in Can-US yield differentials seen after the softer US PMI release.
  • The 2Y differential has lifted 3.5bps to -68bps (+10bps since the close after last week’s dovish CAD CPI and a hawkish Powell), whilst the 10Y diff has lifted 2bps to -84bps (also +10bps since post-CPI close).
  • BoC-dated OIS puts 15-16bp of cuts priced for the next meeting in June with a first cut fully priced in July, in contrast to Fed Funds only just pricing a first cut with the September meeting.
  • CORRA futures show 65bp of cuts through 2024 contracts vs yesterday’s Bloomberg analyst survey with a median 100bp of cuts pencilled in.
  • Tomorrow sees Canadian retail sales and the minutes from the BoC Apr 10 decision.
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  • GoC yields sit just 0-1bp lower on the day, holding onto the further lift in Can-US yield differentials seen after the softer US PMI release.
  • The 2Y differential has lifted 3.5bps to -68bps (+10bps since the close after last week’s dovish CAD CPI and a hawkish Powell), whilst the 10Y diff has lifted 2bps to -84bps (also +10bps since post-CPI close).
  • BoC-dated OIS puts 15-16bp of cuts priced for the next meeting in June with a first cut fully priced in July, in contrast to Fed Funds only just pricing a first cut with the September meeting.
  • CORRA futures show 65bp of cuts through 2024 contracts vs yesterday’s Bloomberg analyst survey with a median 100bp of cuts pencilled in.
  • Tomorrow sees Canadian retail sales and the minutes from the BoC Apr 10 decision.