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GoCs Bear Steepen As Long End Underperforms Tsys

CANADA
  • GoCs trade 2-6.5bp cheaper on the day as they continue to sell off later in the session, with the front-end sell-off only slightly outpacing that of Tsys and with larger underperformance further out the curve.
  • Can-US yield differentials are still only in recent ranges though (2Y -48.5bps, 10Y -76bps) having been pushed lower after last week’s softer than expected CAD CPI. TD Securities look for a 10Y spread of -20bps at year-end.
  • CAD rates meanwhile see limited change on the day, 0-1bp cheaper and with CORH4/Z4 holding around -71bps.
  • The CORRA to overnight rate spread narrowed to just 1bp last week and held that yesterday having mostly held a 4-5bp range since late-Oct.
  • Tomorrow's 2nd Q4 release of US GDP/PCE marks the next data focal point before CAD GDP on Thu in one of the last main releases before the BoC on Mar 6.
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