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Widest Can-US 10Y Differential Since 2012

CANADA
  • GoCs remain on track for relatively little change today, with the front end +0.2bps, holding above 3% for two days now, the first time since Dec'08, which has seen a further flattening in 2s10s to just 14bps and closes in on recent lows of 10bps.
  • This has kept the longer end of the curve from rallying too far, with yields dipping just 2bps compared to the 8bps in Tsys.
  • Can-US yield differentials remain at recent highs, with the +30bps for 2Y last seen in Dec’21 and the pop higher to +20bps for the 10Y last seen in Aug’12.


Can-US yield differentials: 2Y (white) and 10Y (yellow)Source: Bloomberg

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