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Largest Can-US 10Y Spread Since Jan FOMC

CANADA
  • GoC yields fell 1-1.5bps on Canadian/US data, back towards session lows for down 8-9bps on the day.
  • Weaker than expected consumption within US GDP plus a dip in Canadian average weekly earnings likely drove the move.
  • With USTs outperforming, currently down -13bps in 10Y space, this pushes the Can-US yield differential to +2bps, the highest since the day before last month’s BOC/FOMC meetings, having been as low as -14bps after US CPI, in a modest boost for CAD.

Canadian and US 10Y bond yields with spread, only showing for Canadian trading hours. Source: Bloomberg

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