Canada-US yield gap

What it is. The gap between the rate at which the Government of Canada borrows over 10 years and that of the United States, its large neighbour.

Why it matters. The more the gap rises, the more investors demand from Canada compared with the United States. Since 2014, Canada has almost always borrowed more cheaply (the gap is negative 96 days out of 100). A caution: unlike the France-Germany spread, where both share one currency and one central bank, this gap also follows the decisions of the Bank of Canada and the US Federal Reserve. Its record since 2001, +134 points on 9 October 2002, came from interest rates set on each side, not from a crisis. During Canada’s 1994-1995 debt crisis, it was 150 to 200 points.

How to read the chart. The gap is given in basis points: 100 points equal 1%. At -100, Canada pays 1% a year less than the United States to borrow. In Gap view, coloured bands show the risk thresholds; the Yields button shows the two yields themselves, in %, without thresholds.

Who measures it, and when. The Bank of Canada for the Canadian yield (10-year benchmark bond) and the Federal Reserve for the US yield, every day at market close since 2001; collected every morning. Only days published on both sides of the border are kept.