Summary: ACGB curve steeper; US Treasury curve moves inconsistently.
The gradient of the ACGB yield curve became steeper as yields fell. By the end of the week, the 3-year/10-year spread had gained 3bps to 42bps while the 3/20 year spread finished 5bps higher at 75bps.
The traditional measures of the gradient of the US Treasury curve moved inconsistently. The 2-year/10-year spread lost 3bps to -39bps over the week while the 2 year/30 year spread added 8bps to -26bps. The San Francisco Fed’s favoured recession-predicting measure, the 3-month/10-year Treasury spread, finished 32bps narrower at -6bps.
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