Summary: ACGB curve steeper; US Treasury curve moves in disorderly fashion.
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 13bps to 45bps while the 3-year/20-year spread widened by 17bps to 66bps.
The various measures of the gradient of the US Treasury curve moved in a disorderly fashion. The 2-year/10-year spread returned to its starting point at 6bps while the 2 year/30 year spread gained 9bps to 28bps over the week. However, the San Francisco Fed’s favoured recession-predicting measure, the 3-month/10-year Treasury spread, finished 25bps narrower at 122bps.
