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Canada Underperformance To US Reverses With CPI

CANADA
  • GoCs promptly reverse the earlier front-end underperformance against Tsys following CPI, with 2Y yields falling as much as 6bps before retracing slightly with German gas delivery headlines, to leave it -6.2bps on the day vs -5bps for Tsys, in a continuation of the outperformance seen since last week's US CPI and BoC decision.
  • Unsurprisingly a smaller reaction in 10YY for -5bps on the day, switching to a modest bull steepening from the flattening earlier but in trend terms little with 2s5s hovering at -16bps and 2s10s -19bps.
  • OIS pricing meanwhile has been trimmed 2-3bps, currently eyeing at 70bps hike for the Sep BoC.

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