Summary: Slope of ACGB curve steeper; US Treasury curve gradient less inverted.
The gradient of the ACGB yield curve became steeper as yields rose. By the end of the week, the 3-year/10-year spread had increased from 29bps to 34bps while the 3/20 year spread finished 6bps higher at 67bps.
* September futures
The gradient of the US Treasury curve became less inverted this week. The 2-year/10-year spread had gained 5bps to -69bps while the 2 year/30 year spread finished 7bps higher at -56ps. The San Francisco Fed’s favoured recession-predicting measure, the 3-month/10-year Treasury spread, finished 7bps higher at -120bps.
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