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US Factors Help Lift Yields But CPI Still Weighs Heavily

CANADA
Homepagemarkets-real-timeBulletMarketsFixed Income Bullets Bank of Canada Market News
  • GoC yields have been lifted by Treasuries following Jefferson’s commentary, IMF forecasts and stronger than expected production data.
  • Softer core CPI inflation still weighs heavily though, with 2Y yields -7.6bps since the data (-3.5bps on the day) vs +1.7bps for Tsys.
  • The Can-US 2Y differential is at historical lows of -77.5bps, last seen as SVB failed in early Mar’23)
  • In the nearer-term, there is now 16-17bp of cuts priced for the next meeting in June vs 13-14bps pre-CPI (it was ~20bps before US CPI strength).
  • CORRA futures see 69bps of cuts through 2024 contracts vs 62bps pre-CPI.
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  • GoC yields have been lifted by Treasuries following Jefferson’s commentary, IMF forecasts and stronger than expected production data.
  • Softer core CPI inflation still weighs heavily though, with 2Y yields -7.6bps since the data (-3.5bps on the day) vs +1.7bps for Tsys.
  • The Can-US 2Y differential is at historical lows of -77.5bps, last seen as SVB failed in early Mar’23)
  • In the nearer-term, there is now 16-17bp of cuts priced for the next meeting in June vs 13-14bps pre-CPI (it was ~20bps before US CPI strength).
  • CORRA futures see 69bps of cuts through 2024 contracts vs 62bps pre-CPI.