Summary: ACGB gradient steeper; US Treasury curve gradient noticeably flatter.
The gradient of the ACGB yield curve became steeper as yields at the short end fell more than those elsewhere along the curve. By the end of the week, the 3-year/10-year spread had widened by 5bps to 58bps and the 3-year/20-year spread had gained 11bps to 106bps.
In contrast, the gradient of the US Treasury curve became noticeably flatter. The 2-year/10-year spread tightened by 15bps to 25bps over the week while the 2 year/30 year spread lost 2bps to 68bps. The San Francisco Fed’s favoured recession-predicting measure, the 3-month/10-year Treasury spread, finished 24bps tighter at 141bps.
