Summary: Slope of ACGB curve steeper; US Treasury curve gradient less inverted.
The gradient of the ACGB yield curve became steeper as yields at the front of the curve fell while yields elsewhere rose. By the end of the week, the 3-year/10-year spread had increased from 7bps to 19bps while the 3/20 year spread finished 16bps higher at 48bps.
* September futures
The gradient of the US Treasury curve became less inverted. The 2-year/10-year spread rose by 9bps to -92bps over the week and the 2 year/30 year spread also finished 9bps higher at -86ps. The San Francisco Fed’s favoured recession-predicting measure, the 3-month/10-year Treasury spread, finished 10bps higher at -147bps.
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