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GoCs Continue Recent Outperformance To Tsys

CANADA
  • GoCs notably outperform Tsys for the second day running, having previously underperformed at any opportunity in the prior week following a hawkish BoC over Jun 1/2.
  • Gov Macklem yesterday broadly repeated Beaudry’s guidance, disappointing stretched pricing expectations.
  • The contrast is most stark at the front-end, with the 2Y GoC -0.4bps vs +5.3bps for Tsys and with a broadly similar differential in rates as well.
  • It sees the 2Y Can-US differential narrow further to a still high +20bps, but down from a recent high of +33bps on Wed.

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