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GoCs Follows Treasuries Richer After Initial Retail Sales Outperformance

CANADA
  • The rally in GoCs has continued further, with 2 through 10Y yields now 10.5 to 12.5bps lower on the day (bit over half since retail sales). After the initial outperformance of GoCs to Tsys on the retail data, this latest move looks more in keeping with the recent rally in Treasuries.
  • In rates space, BoC-dated CORRA OIS shows +7.5bp for the Sep 6 decision when based off the recent step higher to 5.02% for CORRA.
  • Further out, BAX inversion builds with BAU3/Z4 at -56bps from -49bps at yesterday’s close (and fresh high since September), but it’s only back to Tuesday’s close.

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