Free Trial

GoCs Underperform Treasuries Ahead Of CPI

CANADA
  • GoCs underperform Tsys, especially at the front end, with yields down -2.6bps (2Y) to -4.2bps (10Y) following a reversal of yesterday’s risk-on sentiment in part from potential escalation comments from Russia’s Lavrov.
  • Barring today’s underperformance, Can-US yield differentials have consistently moved lower over the past week, with both 2Y and 10Y diffs both close to month lows at 7-8bps.
  • TD expect Canada’s relative positive momentum to continue but note the risk it stalls on a big CPI beat today – they look for headline CPI modestly below consensus at 8.3% Y/Y with average core up 0.2pps to 4.9% Y/Y.
  • BoC-dated OIS currently prices a 72bp hike for the Sep 7 meeting with a cumulative 124bps of hikes over the three meetings to year-end.

To read the full story

Close

Why MNI

MNI is the leading provider

of intelligence and analysis on the Global Fixed Income, Foreign Exchange and Energy markets. We use an innovative combination of real-time analysis, deep fundamental research and journalism to provide unique and actionable insights for traders and investors. Our "All signal, no noise" approach drives an intelligence service that is succinct and timely, which is highly regarded by our time constrained client base.

Our Head Office is in London with offices in Chicago, Washington and Beijing, as well as an on the ground presence in other major financial centres across the world.