Summary: ACGB curve flatter; US Treasury curve 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 8bps to 37bps while the 3/20 year spread finished 9bps lower at 81bps.
The traditional measures of the gradient of the US Treasury curve became more negative. The 2-year/10-year spread lost 18bps to -68ps over the week while the 2 year/30 year spread shed 33bps to -59bps. The San Francisco Fed’s favoured recession-predicting measure, the 3-month/10-year Treasury spread, , finished 8bps lower at -42bps.
To find out more about the yield curve and its usefulness, click here or here.