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Canadian Rates Outperforming US

CANADA
  • Ahead of US payrolls, BAX futures are down 7-7.5 ticks through most of the white pack and into the reds compared to up to a 11.5 tick decline in Eurodollars.
  • Shape of curves seen unchanged: Eurodollars yields seen peaking in M3 vs a more prolonged peak in BAX yields in U3-Z3.
  • Roughly similar moves on the day seen in government bond yields, with GoC yields 4-4.5bps higher vs 4.5-6bps for Tsys.

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