Summary: Slope of ACGB curve steeper; US Treasury curve gradient moves inconsistently.
The gradient of the ACGB yield curve became steeper as yields fell. By the end of the week, the 3-year/10-year spread had increased from 3bps to 10bps while the 3/20 year spread finished 17bps higher at 39bps.
* September futures
The gradient of the US Treasury curve became less inverted or more inverted depending on the measure used. The 2-year/10-year spread declined by 3bps to -91bps over the week while the 2 year/30 year spread finished 10bps higher at -81ps. The San Francisco Fed’s favoured recession-predicting measure, the 3-month/10-year Treasury spread, finished 28bps lower at -156bps.
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