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The Week’s Outperformance For Rates Continues

CANADA
  • GoCs continue the week’s theme of reversing prior underperformance to Treasuries, more so at the front end today by rallying 2-2.5bps across the curve.
  • The Can-US 2Y yield differential stands at -37bps, down almost 10bps since last week’s close but still off mid-Dec lows of -60bps. OIS pricing has one last 25bp hike fully priced from the BoC, with high probability it comes on Jan 25 before a pause.
  • Continued supply today with C$4B of the 2Y after the same for 5Y yesterday.

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