September 20, 2022 19:01 GMT
- Canadian 2Y2Y OIS rates have dipped 4bps to 3.28% today as near-term rate expectations were trimmed on a notable miss for CPI inflation, although in broad terms keeps to the plateauing seen this month.
- The trend remains sharply at odds with that of the US, which has climbed to 3.25%, closer to pre–June FOMC highs of 3.29% on the expectations of rates remaining higher for longer in a slower pullback from a terminal OIS implied rate that has surged since last week to almost 4.5%.
- The differing trends see a Can-US differential of just +2bps, the lowest since Jun'19, compared to the +40-80bps seen both in the run-up to the pandemic plus it's impact/recovery in what likely reflected stronger longer term growth expectations.
2Y2Y OIS for Canada (white), US (yellow) and Can-US differential (green)Source: Bloomberg