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GoC Underperformance Continues Ahead Of CAD CPI, US Retail Sales

CANADA
  • GoCs have continued yesterday’s underperformance to Tsys, not quite to the same extent but still notable with a lack of new drivers to spur the move ahead of US retail sales/CAD CPI in just over an hour.
  • Largest relative moves are again seen in the front end to belly, with 2YY -1bps vs -3.6bps Tsys and 5YY -1.9bps vs -4bps.
  • There is a similar story in early BAX trading, up just +0.005/0.01 on the day up until +0.03 for the Dec’24 vs SOFR trading +0.03 for the Dec’23 and +0.045 for the Dec’24.
  • 2023 BAX inversion trades close to recent lows with the BAM3/Z3 time spread -0.315 whilst OIS is in keeping with the BoC's guidance of a pause ahead with less than one cut priced by year-end.

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