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Trimming Belly-10Y Led Rally Ahead of US CPI

  • GoCs have unwound half the belly to 10Y-led rally from open but yields still sit 2.5-3bps lower as growth fears are at the forefront, underperforming Tsys in the process.
  • CIBC on 5Y auction: Inaugural Sep27 with C$4B to be issued, with the 2.75% coupon the largest since the Mar24s in 2019. It’s the first round of belly supply for FY 22/23 and should take benchmark in late summer.
  • There are no local data releases of note this week, but cues will as always be taken from US CPI before BoC Dep Gov Gravelle tomorrow gives the main BoC communication ahead of the Jun 1 decision.

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