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Slight FI Outperformance Ahead Of Tomorrow’s Heavier Session

CANADA
  • GoCs modestly outperform Tsys today, with yields climbing 2-3bps vs 3-3.5bps, and a similar pattern in rates markets.
  • BoC-dated OIS is closing in on now only pricing in a 50% chance of a first cut in June, with circa 30bp of cumulative cuts priced for July.
  • 3-mth CORRA implied yields sit up to 2bps higher at typing, with CORH4/Z4 at 80bp of cuts vs 89/88bps seen both before yesterday’s US CPI and last week’s BoC decision.
  • Macro drivers have been light today ahead of tomorrow’s US PPI/retail sales/jobless claims plus some minor local focus from manufacturing sales before 5-year supply.

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