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CORRA Futures Close To Most Inverted Since February

CANADA
  • GoCs have seen sizeable outperformance to Tsys at the front end today, with 2YY +1.7bps vs +4.5bp, as front GoCs see a listless session compared to the clearer shift cheaper for Tsys after a poorly received 7Y auction.
  • It sees a widening in the Can-US 2Y yield differential to -37bps although that’s still one of the narrowest spreads since late October.
  • The day’s outperformance is seen in rates space as well, with the largest sell-off for 3-mth CORRA futures a 4 tick dip for the Mar’25.
  • It leaves 140bp of inversion on a Z3/Z4 basis, falling from 143bp yesterday but still its most inverted since February.

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