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Holding Flatter, OIS Moves Higher Again

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Approaching The Base Of Its Bear Channel

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GoC Inversion Continues To Exceed Treasuries, Gilts

CANADA
  • GoCs mimic Treasuries with a belly-led sell-off today, with the 5Y yield +10bps at 2.99%, having fleetingly breached 3% for the first time since Jul 21, the day after Canadian CPI disappointed in the June report.
  • The 5YY remains far off highs of 3.6% from mid-June though, which despite a modest steepening on the day keeps 2s5s heavily inverted at -41bps, close to lows pre-US CPI lows of -43/44bps that were the lowest since 1990.
  • This segment of the curve remains more heavily inverted than in both the US and UK, as has been the case since early July [chart 1], with little weight from the post-pandemic elevation of the Canadian terms of trade [chart 2 –CAD ToT only to Q1 but WTI and broader GS ToT index back close to Q1 av].

2s5s spreads in US (white), Canada (yellow) and UK (green)Source: Bloomberg


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  • GoCs mimic Treasuries with a belly-led sell-off today, with the 5Y yield +10bps at 2.99%, having fleetingly breached 3% for the first time since Jul 21, the day after Canadian CPI disappointed in the June report.
  • The 5YY remains far off highs of 3.6% from mid-June though, which despite a modest steepening on the day keeps 2s5s heavily inverted at -41bps, close to lows pre-US CPI lows of -43/44bps that were the lowest since 1990.
  • This segment of the curve remains more heavily inverted than in both the US and UK, as has been the case since early July [chart 1], with little weight from the post-pandemic elevation of the Canadian terms of trade [chart 2 –CAD ToT only to Q1 but WTI and broader GS ToT index back close to Q1 av].

2s5s spreads in US (white), Canada (yellow) and UK (green)Source: Bloomberg