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Front GoCs Outperform Further, Extension Increasingly In Focus

CANADA
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  • GoC yields sit 2.5-3.5bp higher, seeing further but more modest outperformance to Tsys across 2-5Y tenors after yesterday’s Canadian CPI-induced rally.
  • Can-US differentials sit 1bp lower for the 2Y at -67bps whilst the 10Y is unchanged at -84bps.
  • There is increasing focus on the upcoming extension for Jun 3 (both Jun 1/2). TD note 0.139yrs for the overall index (0.126 short, 0.238 mid and 0.53 long), with the long index notably longer than average.
  • TD: “This is going to be a good fade the extension year, as the May 29th $2bn 30y auction is on deck (there was no 30y auction the previous two Mays heading into June 1/2), and we expect Provincial issuance to wisely cluster into and after the June 1/2 extension.”
  • Today sees Canada sell C$5bn of 3% 10Y. Recent auctions have seen a rise in demand with the five auction bid-to-cover of 2.31x and April’s 2.36x.

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  • GoC yields sit 2.5-3.5bp higher, seeing further but more modest outperformance to Tsys across 2-5Y tenors after yesterday’s Canadian CPI-induced rally.
  • Can-US differentials sit 1bp lower for the 2Y at -67bps whilst the 10Y is unchanged at -84bps.
  • There is increasing focus on the upcoming extension for Jun 3 (both Jun 1/2). TD note 0.139yrs for the overall index (0.126 short, 0.238 mid and 0.53 long), with the long index notably longer than average.
  • TD: “This is going to be a good fade the extension year, as the May 29th $2bn 30y auction is on deck (there was no 30y auction the previous two Mays heading into June 1/2), and we expect Provincial issuance to wisely cluster into and after the June 1/2 extension.”
  • Today sees Canada sell C$5bn of 3% 10Y. Recent auctions have seen a rise in demand with the five auction bid-to-cover of 2.31x and April’s 2.36x.