November 20, 2023 18:38 GMT
Sizeable Widening In Can-US 2YY Differential Ahead Of CAD CPI
- The sharp rally in Treasuries after the 20Y auction traded through by 1bp has done relatively little to close the day’s large widening in CAN-US yield differentials ahead of tomorrow’s CAD CPI.
- GoCs have only seen ~1bp of underperformance since the auction after sizeable outperformance ahead of it amidst a light local docket.
- GoC outperformance is clearest at the front end, with 2Y GoCs 4.7bp richer vs 2Y Tsys 1.7bp cheaper, pushing the 2Y differential to -48.3bp for what would currently be the lowest close since Nov 10 (the final close before softer US CPI on Nov 14 with Remembrance Day landing in between).
- If it gets much beyond -50bps it will see levels last seen in March.