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GoCs Outperforming Treasuries Approaching Year-End

CANADA
  • GoCs have opened up some decent outperformance to Treasuries over the past hour or so, especially 5s where GoC yields are -4bp on the day vs +0.5bp for Tsys.
  • Year-end positioning is likely at play with little by way of headlines supporting the move.
  • In Can-US yield differential terms, the 1.5bp dip in the 2Y pushes it to -37.5bps but that’s still one of the tightest since Oct 23, whilst the 4.5bp dip in the 5Y to -69bps is back to levels last seen in mid-Dec.

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