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Further Disinversion Ahead Of An Important Week

CANADA
  • 3M CORRA futures are trading near unchanged for the U3 but beyond that sit 1.5-3 ticks lower on the day despite paring some of the day’s losses in recent trade.
  • It sees a further increase in the U3/Z4 spread to new recent absolute lows of -44.5bps (from -48bp at yesterday’s close) although the tightening in the Z3/Z4 spread was limited to 2bps to -53.5bps.
  • RBC mid-week saw levels providing a decent margin of safety for CORRA Z3Z4 flatteners vs SOFR Z3Z4 steepeners, with entry 53bp, target 10bp and stop 75bp. It currently trades 44.5bps after a sharper reduction yesterday.
  • After what has been a lighter week for local data, next week sees CPI and Dep Gov Kozicki speaking on Tue, the BoC minutes on Wed and retail sales Fri.

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