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Significant Outperformance To US FI After Jobs Reports

CANADA
  • Canadian FI has shown no sign of the earlier paring of gains at extremes seen in the US, with GoC yields down 13-17bps on the day vs 7-12bps for Treasuries, as weak CAD jobs growth is seen to trump a rebound in wage growth.
  • It’s a similar story in BAX futures, from the front Sep'23 up +0.03 vs +0.01 for SOFR all the way to the Dec'24 up +0.19 vs +0.105 for SOFR. The move sees the BAU3/Z4 widen from -64bps to -80bps for its most inverted since Jul 26 after the FOMC decision.
  • BoC-dated CORRA OIS shows an 8bp hike for Sept (-2bp on the day) and a cumulative 16bp to a terminal 5.16% for Dec (-4.5bp).

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