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Can-US Yield Differentials Narrow, BoC’s Rogers On The Docket

CANADA
  • GoCs have seen some sizeable underperformance to Tsys with the open, trading 5.5-8bp cheaper vs 2-6.5bp cheaper for Tsys.
  • 2Y yields have now lifted 7.5bps since yesterday’s BoC minutes leaned hawkish with some members still thinking it more likely than not that rates will need to be increased further. 2Y Tsys in that time have increased 3.5bps.
  • It pushes Can-US yield differentials up to -43bps for the 2Y and -76bp for the 10Y (latter tightest since mid-Oct).
  • A light local docket today but BoC Senior Dep Gov Rogers gives a Financial Stability Update. Remarks to be published 1145ET before the speech begins 1200ET followed by audience Q&A.

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