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GoC Outperformance Continues To Extend

CANADA
  • GoCs have been noticeably reluctant to follow the latest intraday sell-off in Treasuries, likely as the GDP data with its softer June advance continues to weigh.
  • GoC yields are 1bp lower since the data for 2s and 3bps lower for 10s, in contrast to Treasuries which see 2YY +4.5bp and 10YY +2.5bp over the same post 0830ET data period, with the outperformance in stark contrast to underperformance ahead of the data.
  • BoC-dated CORRA OIS is lower on the day, with 10bps for the September decision (from 11bp yesterday) building to a cumulative 20.5bp come year-end (from 24bp) as that additional hike is called more into question.
  • External factors aside, a light docket next week sees the next major potential driver the CAD labour report on Friday.

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