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CANADA: Can-US Yield Differentials Historically Depressed Ahead Of CAD CPI

CANADA
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  • Canada CPI comes ahead at 0830ET, with consensus looking for headline to dip down two tenths to 1.8% Y/Y and the BoC’s preferred core measures to remain broadly unchanged at an average 2.4% Y/Y.
  • Preview here.
  • BoC-dated OIS sees next week’s BoC decision as broadly a 50/50 call between a fourth consecutive 25bp cut or ramping up to a 50bp cut (drawn from the currently elevated effective rate of 4.30% rather than the overnight target rate of 4.25%).
  • Further out, CORRA futures show 62bp of cuts on a U4/Z4 basis and 130bp of cuts over U4/Z5.
  • Can-US yield differentials are historically depressed, with the 2Y at -89bps and 10Y at -87bps. 
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  • Canada CPI comes ahead at 0830ET, with consensus looking for headline to dip down two tenths to 1.8% Y/Y and the BoC’s preferred core measures to remain broadly unchanged at an average 2.4% Y/Y.
  • Preview here.
  • BoC-dated OIS sees next week’s BoC decision as broadly a 50/50 call between a fourth consecutive 25bp cut or ramping up to a 50bp cut (drawn from the currently elevated effective rate of 4.30% rather than the overnight target rate of 4.25%).
  • Further out, CORRA futures show 62bp of cuts on a U4/Z4 basis and 130bp of cuts over U4/Z5.
  • Can-US yield differentials are historically depressed, with the 2Y at -89bps and 10Y at -87bps.