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Maintaining Positive Can-US Yield Differential

CANADA
  • Minor reversal in the recent rally, but GoC yields still down -1.5-3bps and with the 10Y underperforming.
  • 2Y yields of 2.31% are just over 10bps off highs seen earlier this week, unwinding the twist steepening on open with 2s10s back to 15bps and 5s30s marginally inverted.
  • Modest underperformance to Treasuries sees the 10Y Can-US differential hover at +8-9bps, first reached yesterday and the highest since mid-Jan.

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