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GoC/Rates Broadly Tracking US Sell-Off

CANADA
  • GoCs are tracking Treasuries at the short-end (2YY +3bps) and modestly outperforming further out (10YY +6.5bps vs 8bps).
  • Consistent with short-end yields, STIRs see a similar sell-off by the end of the red pack (-7 ticks) although Eurodollars steepen marginally earlier in the curve on the day.
  • Can-US yield differentials have trended lower this week, with 2Y at -14bps and 10Y at -5bps.
  • Tomorrow’s budget should give guidance on size of potential issuance plus shares of short and long tenors for FY22/23.

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