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CANADA: Can-US 2Y Yield Differential Close To Recent Highs

CANADA
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  • Can-US 2Y yield differentials sit 3.7bp higher today although with 3bp of that coming mechanically from the new 2Y benchmark.
  • Nevertheless, a 2Y differential of -60.5bps would mark the highest close since early this month, as opposed to the 10Y differential which at -77.5bps remain more resolutely within recent ranges.  
  • BoC-dated OIS continues to hover around 38bp of cuts priced for Oct, with markets seeing significant odds of an upsizing in cut pace after three 25bp cuts. Friday’s monthly GDP report marks the next major local release.
  • Still to come today, US 5Y supply has scope for some spillover before Trudeau’s government faces a vote of no confidence at ~1530ET that it’s expected to successfully defend.
  • Yesterday, Gov. Macklem echoed remarks from Senior Dep Gov Rogers after CPI, being pleased that inflation has returned to the target midpoint but wanting continued easing in core and shelter inflation.
  • Grain workers at Canada’s biggest port went on strike yesterday at an important time for harvest season – yet another notable strike after some high profile wage settlements recently. 
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  • Can-US 2Y yield differentials sit 3.7bp higher today although with 3bp of that coming mechanically from the new 2Y benchmark.
  • Nevertheless, a 2Y differential of -60.5bps would mark the highest close since early this month, as opposed to the 10Y differential which at -77.5bps remain more resolutely within recent ranges.  
  • BoC-dated OIS continues to hover around 38bp of cuts priced for Oct, with markets seeing significant odds of an upsizing in cut pace after three 25bp cuts. Friday’s monthly GDP report marks the next major local release.
  • Still to come today, US 5Y supply has scope for some spillover before Trudeau’s government faces a vote of no confidence at ~1530ET that it’s expected to successfully defend.
  • Yesterday, Gov. Macklem echoed remarks from Senior Dep Gov Rogers after CPI, being pleased that inflation has returned to the target midpoint but wanting continued easing in core and shelter inflation.
  • Grain workers at Canada’s biggest port went on strike yesterday at an important time for harvest season – yet another notable strike after some high profile wage settlements recently.