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Highest Can-US Yield Differential In Over A Month

  • GoCs see a sizeable twist flattening on the day with the front-end bolstered by renewed rate hike expectations following the US CPI beat (2Y +5.5bps) and the long-end rallying (-1.5bps).
  • Underperformance to Tsys, a move mirrored in rates and considerably from the red pack onwards, pushes the Can-US yield differential to the 9bps for the 2Y and 5.5bps for the 10Y, the highest since late March/early April.

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