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CANADA: Holding Half Of Initial Hawkish Reaction To CAD CPI

CANADA
  • Canadian fixed income has pared almost half of its snap sell-off on the surprisingly strong February CAD CPI report.
  • GoC yields are now 2bp higher post-release across 2-10Y tenors, leaving 2Y yields +4.5bp on the day vs 2Y Tsy yields +1.5bp.
  • BoC-dated OIS meanwhile shows 6-7bp of cuts for the Apr 16 decision (9-10bp prior) whilst terminal expectations have lifted only slightly closer to mid rather than low 2.30s for still reasonably close to last week’s dovish extremes around 2.20%.

     

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  • Canadian fixed income has pared almost half of its snap sell-off on the surprisingly strong February CAD CPI report.
  • GoC yields are now 2bp higher post-release across 2-10Y tenors, leaving 2Y yields +4.5bp on the day vs 2Y Tsy yields +1.5bp.
  • BoC-dated OIS meanwhile shows 6-7bp of cuts for the Apr 16 decision (9-10bp prior) whilst terminal expectations have lifted only slightly closer to mid rather than low 2.30s for still reasonably close to last week’s dovish extremes around 2.20%.

     

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