Summary: Slope of ACGB curve slightly flatter; US Treasury curve gradient more inverted.
The gradient of the ACGB yield curve became slightly flatter as yields mostly increased. By the end of the week, the 3-year/10-year spread had decreased from 10bps to 7bps while the 3/20 year spread finished 7bps lower at 32bps.
* September futures
The gradient of the US Treasury curve became more inverted. The 2-year/10-year spread fell by 10bps to -101bps over the week while the 2 year/30 year spread finished 14bps lower at -95ps. The San Francisco Fed’s favoured recession-predicting measure, the 3-month/10-year Treasury spread, finished 1bp lower at -157bps.
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