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Canadian FI Modestly Outperforming US Ahead Of Jobs Reports

CANADA
  • GoCs trade 1.5-3bp richer as they modestly outperform Tsys across the curve ahead of their respective labour reports.
  • Can-US yield differentials remain within ranges for the past couple weeks at depressed levels of -45bp for the 2Y and a still particularly notable -82bp for the 10Y.
  • Rates markets are pricing in little chance of additional hikes from the current 5% overnight, with 3M CORRA futures peaking with an implied yield of 5.08% in the Dec’23 (and with o/n CORRA having drifted to 5.04/5.05% recently) before 69bp of cuts in 2024 on a Z3/Z4 basis.

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