Summary: Slope of ACGB curve a touch steeper; US Treasury curve gradient more negative.
The gradient of the ACGB yield curve became a touch steeper as yields increased. By the end of the week, the 3-year/10-year spread had added 1bp to 3bps while the 3/20 year spread finished 5bps higher at 31bps.
* September futures
The gradient of the US Treasury curve became more negative, again. The 2-year/10-year spread lost 4bps to -105bps over the week while the 2 year/30 year spread finished 9bps lower at -103ps. However, the San Francisco Fed’s favoured recession-predicting measure, the 3-month/10-year Treasury spread, finished 9bps higher at -147bps.
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