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Holding Onto Post-Jobs Narrowing In Can-US Yield Differential

CANADA
  • GoCs are little changed after the open, with the entire curve between +0.7bps and -0.1bps, in contrast to the larger twist flattening in Treasuries (2YY +2.3bp, 10YY -2.9bp).
  • It only slightly unwinds Friday’s narrowing in the Can-US 2YY spread, helped by the strength in the Canadian jobs report. At -55bp, it’s off post-FOMC lows of circa -70bps but still only back to levels shortly after the surprise BOC downshift to a 50bp hike on Oct 26.

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