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Yields/Rates Give Back Some Of Recent Underperformance To US

CANADA
  • GoCs have cheapened 1-3.5bps today for 3bp and 5bp outperformance to Tsys at 2Y and 10Y tenors, although a 2Y yield diff at -31bps remains notably narrower than the -40 to -45bps before CAD employment surged on Friday led to some analysts at the more dovish end of the spectrum calling for an extra 25bp hike this month.
  • Similarly, BAX futures see minimal change with Macklem’s remarks not touching directly on monetary policy compared to Eurodollars yields climbing up to 8bps in late 2024.
  • US CPI on Thu remains firmly in focus with key CAD indicators next week with the BoS/CSCE surveys (Jan 16) and CPI (Jan 17) before the BoC Jan 25.

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