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Can-US Yield Differentials Further Off Six-Week Highs Ahead Of CPI

CANADA
Homepagemarkets-real-timeBulletMarketsFixed Income BulletsForeign Exchange Bullets Bank of Canada Market News
  • GoC yields sit 1-2bp lower after the post-Victoria Day open.
  • It sees Can-US differentials dip 0.5-2bp from Friday (largest for the 2Y) to leave them a little further off recent highs with the 2Y at -61.5bp and 10Y at -81bps but still far off mid-April lows of -75bps and -94bps respectively.
  • Canada CPI is firmly in focus at 0830ET – preview: https://roar-assets-auto.rbl.ms/files/64303/Canada...
  • It’s likely to have important implications for the Jun 5 decision which is currently seen as almost a coin toss for a first cut with BoC-dated OIS sitting between 11-12bps. A 25bp cut is fully priced for July.
  • Further out, CORRA futures show 63bp of cuts over 2024 contracts (42bp starting from the Jun’24) before a further 67bp of cuts through 2025.
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  • GoC yields sit 1-2bp lower after the post-Victoria Day open.
  • It sees Can-US differentials dip 0.5-2bp from Friday (largest for the 2Y) to leave them a little further off recent highs with the 2Y at -61.5bp and 10Y at -81bps but still far off mid-April lows of -75bps and -94bps respectively.
  • Canada CPI is firmly in focus at 0830ET – preview: https://roar-assets-auto.rbl.ms/files/64303/Canada...
  • It’s likely to have important implications for the Jun 5 decision which is currently seen as almost a coin toss for a first cut with BoC-dated OIS sitting between 11-12bps. A 25bp cut is fully priced for July.
  • Further out, CORRA futures show 63bp of cuts over 2024 contracts (42bp starting from the Jun’24) before a further 67bp of cuts through 2025.