Summary: Slope of ACGB curve flatter; US Treasury curve gradient less negative.
The gradient of the ACGB yield curve became flatter as yields rose significantly. By the end of the week, the 3-year/10-year spread had lost 5bps to 41bps while the 3/20 year spread finished 8bps lower at 67bps.
The gradient of the US Treasury curve became less negative this week. The 2-year/10-year spread added 4bps to -33bps and the 2 year/30 year spread finished 6bps higher at -22bps. The San Francisco Fed’s favoured recession-predicting measure, the 3-month/10-year Treasury spread, finished 5bps higher at -72bps.
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