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Milder But Continued Underperformance To US FI Ahead Of CPI

CANADA
  • GoCs have continued yesterday’s front-end underperformance to Tsys with and since the open, albeit in a toned down move ahead of US retail sales and CAD CPI at 0830ET as part of heavy data dockets today.
  • 2Y GoC yields sit -3.3bps vs -4.2bps for Tsys, with the Can-US yield differential at just -6bps, having tightened 5.5bps yesterday.
  • In early trade, BAX futures see a similar 4-5 tick rally to SOFR futures out in late 2024, but are stickier for near-term contracts edging up just 0.5-1.5 ticks for the Sep and Dec’23. It means a limited move in the BAU3/Z3 at +4.5bps and a rewidening for BAU3/Z4 at -93.5bps which sits not far from post-US CPI and BOC lows.

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