August 2016

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The yield curve generally flattened over August, but steepened at the ultra-long end. The 3y/10y spread fell 2bps to 46bps and the 3y/20y spread rose 7bps to 101bps. There was not much sense to it; 3 year and 10 year yields fell 3bps and 5bps respectively but 20 year yields rose 2bps to 2.39%.

Aug 16 3y 10y spread Aug 16 yield curve v2