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Can-US 10YY Differential Sees Fresh Post-Pandemic Lows

  • GoCs sit 0.5-4.5bp cheaper, outperforming Treasuries across the curve, since the open for the front end and more recently for the longer end of the curve.
  • 2s have shown a reluctance to follow the day’s sell-off in Tsys, perhaps with one eye on Wednesday’s BoC decision, whilst 10s outperformance (+4.3bps vs +5.6bps) has at the margin been helped by a further slip in weekly consumer confidence (more on that below).
  • The latest outperformance at the long end sees the Can-US 10Y yield differential widen modestly further to -86bps after a large 20bps widening last week.

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