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GoCs Soften Further Ahead Of GDP

CANADA
  • GoCs sell-off, with front end yields lagging (+2.5bps) the rest of the curve (+4-4.5bps).
  • The front end surprisingly lags increases in BAX implied yields, which continue to re-firm, led by a 5bp increase in the Mar'23 contract.
  • Can-US yield differentials are towards the high end of the recent range at +9bps for 2Y and +5.5bps for 10Y.
  • Data: GDP for Mar/Q1 at 0830ET. Consensus has real GDP growth at 5.2% annualised after the 6.7% in Q4, vs the BoC’s forecast of 3.0% from April. With already aggressive market pricing ahead of tomorrow's BoC decision, it will likely take a large beat to have a material impact.

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