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GoCs Underperform Tsys But CAD Rates Tracking US Counterparts

CANADA
  • GoC yields have dropped 5.5-6bps through 2-10Y tenors since US CPI, leaving them -2.5-3bps on the day for underperformance to Tsys where yields sit -3.5-4.5bps lower.
  • BAX futures are back little changed for near-term contracts but still see implied yields up to 3bps lower later into 2024 (tracking in line with SOFR), with the BAU3/Z4 spread widening to -55.5bps.
  • The little change near-term is supported by BoC-dated OIS drifting lower to +8.5bp for next month and a cumulative +13bp for year-end.
  • Earlier, the household debt to disposable income ratio fell from 184% to 180.5% GDP in Q2 on disposable incomes increasing 2.6%.

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