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Taking Stock Of The FI Rally

CANADA
  • 2Y GoC yields are 15bps off session lows but still down -44bps on the day at 3.53%. The front end outperforms although 10YY still down -25bps.
  • A smaller bull steepening compared to that of Tsys sees a gap in 2s10s widen again with GoCs are -79bps vs -55bps Tsys.
  • BAX futures see even larger moves, with implied yields down 59bps for the most active Jun’23, led by -78bps for the Sep’23 and fading to -45bps for the Jun’24. The BAM3/Z3 of -0.310 has slipped 35bps since Wednesday’s close after briefly pricing out cuts, back to early Feb levels.
  • US news flow and CPI tomorrow likely to continue to dominate with second tier local releases this week.

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