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Near-Term BoC Cuts Trimmed on CPI But Not Further Out

CANADA
  • 2Y GoCs hold the majority of their losses from stronger than expected CAD CPI. Yields sit 4bp higher since shortly beforehand although having rallied into the release are only 0.3bp higher on the day (vs +2bp and -0.3bp for Tsys respectively).
  • It sees the Can-US 2Y yield differential narrow to -45bps, by only 0.5bp but on track to technically close at its least negative since Nov 17.
  • BoC-dated OIS meanwhile prices 3.5bp of cuts for Jan (from 5bp pre CPI) and a cumulative 13bp for Mar (from 15-16bp prior), still fully pricing the first cut in April (30bp vs 34bp prior).
  • Cut expectations have increased further out though, with CORZ3/Z4 dropping to -130bps from yesterday’s -125bps.
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