A cable header connector includes a cable including a pair of signal wires, a contact sub-assembly terminated to the cable and a ground shield providing electrical shielding for the contact sub-assembly. The contact sub-assembly has a mounting block having contact channels therein. The contact sub-assembly has a pair of signal contacts each received in corresponding contact channels and held in the contact channels by an interference fit. The contact channels receive corresponding signal wires of the cable and position the signal wires in position adjacent to the corresponding signal contacts. The signal contacts are laser welded to the signal wires of the cable at terminating ends of the signal contacts after being positioned in the contact channels.