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Further Outperformance For Rates/Yields

CANADA
  • With GoCs flat to rallying vs Tsys +2-2.5bps on the day, negative Can-US yield differentials continue to widen, at -61bp for the 2Y and -75bp for the 10Y.
  • These yield differentials are towards the lower end of recent ranges, with a solid US docket in focus until BoC Gov. Macklem testifies at a House Committee late on at 1630ET.
  • Somewhat larger outperformance in rates space, with BAX futures also little changed out to early 2024 (in admittedly light, early trading) compared to SOFR yields up as much as 9bps.

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