September 29, 2022 16:59 GMT
- Canadian rates see sizeable outperformance to the US from the Mar'23 onward e.g. BAZ3 -0.045 vs EDZ3 -0.11.
- Nevertheless, yields are still up from yesterday across the curve, maintaining a Dec'22 peak roughly consistent with a policy rate of 4% (i.e. 75bp more hikes over two meetings left this year).
- Macro drivers for outperformance: i) the July GDP beat was offset by a weak August flash, ii) the SEPH report for July showed signs of cooling labour demand as the vacancy rate fell 0.4pts to 5.4% (April peak 6.0%) and iii) the CFIB barometer showed a further decline in the outlook along with price and job plans.