Summary: ACGB curve flatter; US Treasury curve even more negative.
The gradient of the ACGB yield curve became flatter this week. By the end of the week, the 3-year/10-year spread had tightened by 7bps to 30bps while the 3/20 year spread finished 13bps lower at 68bps.
The traditional measures of the gradient of the US Treasury curve became even more negative. The 2-year/10-year spread lost 11bps to -79ps over the week while the 2 year/30 year spread fell 15bps to -74bps. The San Francisco Fed’s favoured recession-predicting measure, the 3-month/10-year Treasury spread, finished 18bps lower at -60bps.
To find out more about the yield curve and its usefulness, click here or here.