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GoC Underperformance Grows

CANADA
  • GoCs underperform Tsys in front-end to belly ahead of CPI, with yields +3.5bps vs +1bps and the difference widening since the GoC open.
  • There's a similar story in front rates despite a lack of clear drivers, with BAX futures implied yields 7bps higher through late 2022 and 1H2023, pushing the implied terminal rate closer to previous highs.
  • It sees the 2Y Can-US yield differential increase again to 8bps, back close to recent highs of circa 10bps.

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