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Chipping Away At Can-US Yield Differential Slide

CANADA
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  • GoCs have been retracing some of the heavy outperformance seen after weak CAD jobs and a strong US payroll report but still see a heavy decline for Can-US yield differentials.
  • The 2Y differential is now 8bps lower than pre-data levels at -53bps (it was 11.5bps lower at one point) and the 10Y is 5bps lower at -81bps.
  • BoC-dated OIS has pulled back from the 22-23bp of cuts priced for June to circa 19bps currently, but remains above the 17.5bps pre-data having drifted higher through the week.
  • Further out, Dec’24 CORRA implied yields are only 2bps lower on the day, with CORH4/Z4 unchanged from pre-data levels with 79bps of cuts.
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  • GoCs have been retracing some of the heavy outperformance seen after weak CAD jobs and a strong US payroll report but still see a heavy decline for Can-US yield differentials.
  • The 2Y differential is now 8bps lower than pre-data levels at -53bps (it was 11.5bps lower at one point) and the 10Y is 5bps lower at -81bps.
  • BoC-dated OIS has pulled back from the 22-23bp of cuts priced for June to circa 19bps currently, but remains above the 17.5bps pre-data having drifted higher through the week.
  • Further out, Dec’24 CORRA implied yields are only 2bps lower on the day, with CORH4/Z4 unchanged from pre-data levels with 79bps of cuts.