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Can-US 2Y Yield Differential At Highest In A Month

CANADA
Homepagemarkets-real-timeBulletMarketsFixed Income BulletsForeign Exchange BulletsCanada Bank of Canada Market News
  • GoCs have extended their underperformance to Tsys seen originally after the surprisingly large increase in initial jobless claims.
  • The extension looks primarily driven by the bid seen in Tsys after the 30Y traded through but the BoC seeing the financial system as remaining resilient has perhaps helped at the margin.
  • Can-US yield differentials are ~3.5bp higher on the day across 2-10Y tenors, with the 2Y rising to -61bps for what would be its highest close since Apr 11.
  • Nearer-term, the BoC is seen with ~17bps of a cut priced for the Jun 5 decision and CORRA futures show 70bp of cuts across 2024 contracts ahead of tomorrow’s jobs report.
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  • GoCs have extended their underperformance to Tsys seen originally after the surprisingly large increase in initial jobless claims.
  • The extension looks primarily driven by the bid seen in Tsys after the 30Y traded through but the BoC seeing the financial system as remaining resilient has perhaps helped at the margin.
  • Can-US yield differentials are ~3.5bp higher on the day across 2-10Y tenors, with the 2Y rising to -61bps for what would be its highest close since Apr 11.
  • Nearer-term, the BoC is seen with ~17bps of a cut priced for the Jun 5 decision and CORRA futures show 70bp of cuts across 2024 contracts ahead of tomorrow’s jobs report.