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Front End Yields Extend US Underperformance

CANADA
  • GoCs continue to extend underperformance to Tsys, with the 2Y Can-US differential at its narrowest since the Sep FOMC at -23bps from late Sep lows of -50bps.
  • That’s been mirrored in BA yields, only dipping 1-2bps through to early 2024 contracts vs Eurodollars yields down as much as 8bps for the EDU3 from Friday's close.
  • No idiosyncratic driver for underperformance aside from continuation of a hawkish Macklem last week (followed by surprise dips in u/e rates for both countries), with yields holding 12-15bps higher than prior to Macklem’s address.

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