Summary: ACGB gradient modestly flatter; US Treasury curve gradient moves inconsistently.
The gradient of the ACGB yield curve flattened modestly as yields at the front end fell more than those at the long end. By the end of the week, the 3-year/10-year spread had widened by 1bp to 72bps and the 3-year/20-year spread had gained 5bps to 128bps.
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The gradient of the US Treasury curve moved in a less-consistent fashion. The 2-year/10-year spread returned to its starting point at 106bps while the 2 year/30 year spread gained 5bps to 149bps. The San Francisco Fed’s favoured recession-predicting measure, the 3-month/10-year Treasury spread, finished 10bps tighter at 141bps.
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*December futures