Summary: ACGB curve flatter; US Treasury curve steeper.
The gradient of the ACGB yield curve became flatter as ultra-long yields fell by greater amounts than yields elsewhere. By the end of the week, the 3-year/10-year spread had returned to its starting point at 43bps while the 3-year/20-year spread had lost 5bps to 76bps.
In contrast, the gradient of the US Treasury curve finished the week steeper, although not for all measures. The 2-year/10-year spread widened by 6bps to 28bps while the 2 year/30 year spread gained 8bps to 50bps over the week. The San Francisco Fed’s favoured recession-predicting measure, the 3-month/10-year Treasury spread, finished 7bps tighter at 169bps.
