Summary: Slope of ACGB curve steeper; US Treasury curve gradient less inverted.
The gradient of the ACGB yield curve again became steeper as yields at the front of the curve remained almost stable while yields elsewhere rose. By the end of the week, the 3-year/10-year spread had increased from 19bps to 32bps while the 3/20 year spread finished 15bps higher at 63bps.
* September futures
The gradient of the US Treasury curve became less inverted for a second consecutive week. The 2-year/10-year spread rose by 18bps to -74bps over the week and the 2 year/30 year spread finished 28bps higher at -58ps. The San Francisco Fed’s favoured recession-predicting measure, the 3-month/10-year Treasury spread, finished 11bps higher at -136bps..
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