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Front End Can-US Yield Differential Reverses Employment Narrowing

  • The combination of front GoC yields pushing session lows (-3.5bps) and Treasuries session highs (+2.5bps) sees the 2Y Can-US differential widen to -52bps.
  • It has now more than reversed a narrowing to a 30-35bp range shortly after Friday’s conflicting employment reports when Canadian employment surprisingly surged.
  • The week’s reversal has been externally driven, with local focus on next week’s key BoS/CSCE surveys (Jan 16) and CPI (Jan 17) before the BoC Jan 25 with just shy of a likely final 25bp hike priced.

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