Summary: ACGB gradient flatter again; US Treasury curve gradient also flatter, although not for all measures.
The gradient of the ACGB yield curve again became flatter as yields at the short end rose while those at the long end fell. By the end of the week, the 3-year/10-year spread had tightened by 12bps to 60bps and the 3-year/20-year spread had shed 18bps to 110bps.
The gradient of the US Treasury curve also became flatter, although not for all measures of it. The 2-year/10-year spread slipped 1bp to 105bps while the 2 year/30 year spread lost 8bps to 141bps. The San Francisco Fed’s favoured recession-predicting measure, the 3-month/10-year Treasury spread, finished 10bps higher at 151bps.
To find out more about the yield curve and its usefulness, click here or here.
*December futures