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FI Snapshot Pre-Macklem

CANADA
  • Ahead of Gov Macklem’s remarks released at the bottom of the hour, GoC yields have been dragged higher by Treasuries today after stronger than expected US data, sitting 2-4.5bp cheaper and led by 5s.
  • Despite a sizeable uplift in planned issuance as part of yesterday’s FES, they still outperform Tsys on the day with the 2YY differential widening to -50bps and 10YY diff -75bps.
  • BoC-dated CORRA OIS shows a first cut coming in June, whilst 3M CORRA futures show total 2024 cuts trimmed to 81bp from 85bp yesterday on a Z3/Z4 basis.

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