Summary: Slope of ACGB curve flatter overall; US Treasury curve gradient less negative.
The gradient of the ACGB yield curve became steeper overall as yields increased. By the end of the week, the 3-year/10-year spread had returned to its starting point at 3bps while the 3/20 year spread finished 9bps higher at 22bps.
* September futures
The gradient of the US Treasury curve became less negative. The 2-year/10-year spread gained 17bps to -88bps over the week while the 2 year/30 year spread finished 12bps higher at -91ps. The San Francisco Fed’s favoured recession-predicting measure, the 3-month/10-year Treasury spread, finished 19bps higher at -128bps.
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