April 30, 2024 19:08 GMT
GoCs Follow Tsys Cheaper, Heavy US Session Tomorrow
CANADA
- GoCs have continued to sell off in recent hours, with yields currently 5-7bps higher on the day as they follow their US counterparts higher.
- A strong ECI index and somewhat lacklustre monthly CAD GDP report has pushed Can-US yield differentials 1.5-3bps lower post-release but they’re only 1.5bp lower on the day for 2s at -70bps and unch for 10s at -86.5bps.
- BoC-dated OIS hovers around 13bp of cuts at the next meeting in June with a first cut fully priced for July. CORRA futures have 60bp of cuts across 2024 contracts.
- Tomorrow sees a heavy US docket with the Treasury’s QRA, important labor releases, ISM mfg and then the FOMC decision. The Canadian docket adds BoC’s Macklem and Rogers appearance at the Senate committee in the mix, albeit late on with text released 1615ET.
- The latter's impact could be limited by April labor and CPI reports still to be seen before the Jun 5 BoC.
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