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Unwinding Jobs Data Sell-Off

CANADA
  • GoCs have seen a fairly sharp paring of post-employment report losses following a rally in US FI. 2YY now -0.5bps on the day for -5bps since the report (Tsys -10bps since NFP for -7.5bp on the day).
  • The prior flattening has pivoted to a steepening with 10YY +2bp on the day.
  • The day’s underperformance to US FI is reflected in rates space, with BAX now trading broadly unchanged on the day vs up to a 10 tick rally for mid-2024 SOFR futures.
  • BoC-dated OIS has firmed slightly post-data with +18-19bp priced for next week’s decision, less so further out with a cumulative +40bp to year-end.

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