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GoCs Reverse Post-Employment Report Underperformance

CANADA
  • GoCs see some growing outperformance to Treasuries on the day, rallying 5-10bps across the curve vs -1.5-7bps in the US, with a smaller bid-to-cover at the 5Y re-open compared to the last auction doing little to stop a solid rally in the belly to long end.
  • It sees a further re-widening in 2Y and 10Y Can-US yield differentials at -35bp and -54bp respectively. Both remain at the high end of recent ranges but with the 10Y differential having now unwound Friday’s post-employment report narrowing.

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