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Front-End To Belly GoC Yields Close In On New Cycle Highs

CANADA
  • New session highs for GoC yields come very close to surpassing prior cycle highs.
  • Currently up 13.5-16.5bp across major tenors, GoCs underperform Treasuries after a beat for headline CPI but slightly more nuanced core inflation.
  • 2YY of 4.15% and 5YY of 3.675% are within 1bp of fresh post-2007 and post-2008 highs respectively.
  • As in the US, inflation expectations have picked up off late Sep lows but remain relatively well anchored, with the 5Y breakeven +22bps this month but still only 2.17%.

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