Summary: Slope of ACGB curve a little flatter; US Treasury curve gradient less inverted.
The gradient of the ACGB yield curve became a little flatter as yields fell again. By the end of the week, the 3-year/10-year spread had declined from 31bps to 28bps while the 3/20 year spread finished 1bp lower at 63bps.
* September futures
The gradient of the US Treasury curve became less inverted this week. The 2-year/10-year spread gained 16bps to -69bps while the 2 year/30 year spread finished 22bps higher at -67ps. The San Francisco Fed’s favoured recession-predicting measure, the 3-month/10-year Treasury spread, finished 1bp higher at -126bps.
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