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US CPI Sees First BoC Cut No Longer Fully Priced For July

CANADA
  • CAD FI has firmly outperformed its US counterparts today, not keeping pace with the post CPI sell-off after sizeable underperformance in the prior two sessions.
  • 2Y GoCs sit +11bp vs +17bp for Tsys, which sees the Can-US 2Y diff slip back to -29bps having pre-CPI touched highs since early October.
  • Similarly, 3M CORRA futures sit up to 19.5 ticks cheaper for the Mar’25 vs 24 ticks for SOFR, but the move has still seen the CORH4/Z4 spread jump to -62bps (from -77.5bp yesterday) for its highest since mid-Nov.
  • CORRA OIS suggests a first BoC cut in July is now longer fully priced (~20bps), building to circa 2.5 25bps cuts by year-end.

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