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CANADA: Can-US Spread Historically Depressed, Macklem House Appearance Ahead

CANADA
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  • Can-US near-term yield differentials have narrowed slightly on the day but remain historically depressed, with a 2Y GoC-Tsy spread of -103bps and a 2Y swap differential of -90bps.  
  • Friday’s commentary from Macklem that Canada is still “not close” to the limit of divergence with the US remains the more notable of post-BoC commentary whilst he added yesterday that the Bank will have to “discover” neutral rates over time.
  • BoC’s Macklem and Rogers speak later today at the House finance committee (text 1530ET). Macklem yesterday in a fireside chat said the Bank will have to “discover” neutral rates over time having made a bigger step this month to normalize policy.
  • US data is in focus in the near-term before CAD monthly GDP on Thursday offers some brief idiosyncratic risk.
  • BoC-dated OIS currently has odds slightly in favor of a second 50bp cut in December as opposed to reverting to a 25bp cut having upped the size earlier this month for a realized 125bp of cuts seen since June. 
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  • Can-US near-term yield differentials have narrowed slightly on the day but remain historically depressed, with a 2Y GoC-Tsy spread of -103bps and a 2Y swap differential of -90bps.  
  • Friday’s commentary from Macklem that Canada is still “not close” to the limit of divergence with the US remains the more notable of post-BoC commentary whilst he added yesterday that the Bank will have to “discover” neutral rates over time.
  • BoC’s Macklem and Rogers speak later today at the House finance committee (text 1530ET). Macklem yesterday in a fireside chat said the Bank will have to “discover” neutral rates over time having made a bigger step this month to normalize policy.
  • US data is in focus in the near-term before CAD monthly GDP on Thursday offers some brief idiosyncratic risk.
  • BoC-dated OIS currently has odds slightly in favor of a second 50bp cut in December as opposed to reverting to a 25bp cut having upped the size earlier this month for a realized 125bp of cuts seen since June.