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Can-US 2YY Differential Widest Since March

CANADA
  • Front GoC yields continue to move in the opposite direction to Treasuries, moving closer to earlier lows vs Tsy yields pushing highs (2Y GoC -3.5bps vs Tsy +2.5bp on the day).
  • It sees the CAN-US 2Y yield differential widen to -46bps for a fresh recent low and a level last seen in March.
  • However, despite the softer than expected Canadian GDP data, long-end GoCs underperform Treasuries (10Y -2bp vs -3.5bp) with the 10Y differential narrowing slightly to a still historically depressed -84bps.

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