Summary: Slope of ACGB curve flatter; US Treasury curve gradient moves inconsistently.
The gradient of the ACGB yield curve became a little flatter as yields fell. By the end of the week, the 3-year/10-year spread had decreased from 32bps to 29bps while the 3/20 year spread finished 2bps lower at 61bps.
* September futures
The gradient of the US Treasury curve moved in an inconsistent fashion this week. The 2-year/10-year spread was unchanged by the end of the week while the 2 year/30 year spread finished 5bps lower at -63ps. The San Francisco Fed’s favoured recession-predicting measure, the 3-month/10-year Treasury spread, finished 9bps higher at -127bps.
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