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Modest Rally On Lower-Than-Expected Canadian CPI

US TSYS

Softer-than-expected Canadian CPI data allows TYM4 to look above pre-NY highs, although the move lacks follow through and the contract sticks to a narrow 0-06+ range on the day.

Cash Tsy yields are little changed to 3bp lower as the curve bull steepens.

  • A 5K TY block (DV01 ~$327K) was seen on the release, prevailing bid/offer at the time makes it look like a seller, although price action would tilt more towards a buyer.
  • The Canadian data sees very modest dovish FOMC-dated OIS flows, ~27bp of cuts priced through July and ~73bp showing through year end.
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com

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