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CPI Helps CAD Rates Extend Underperformance To US

CANADA
  • GoCs continue to extend the day’s underperformance to Treasuries, notably so at the front end, kickstarted by stronger than expected CPI.
  • It sees the 2Y differential tighten 6.5bps to -48bps, at highs since Dec 13-14 between US CPI and the FOMC decision.
  • There’s a similar dynamic in BAX futures, with yields 2-4bps higher in contrast to Eurodollars rallying 5-7bps through the white and red packs.
  • CPI has had little impact on the shape of the curve though, with BAH3/BAZ3 still notably inverted at -0.825.

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