Summary: Slope of ACGB curve again flatter; US Treasury curve gradient more negative.
The gradient of the ACGB yield curve became flatter again as yields declined. By the end of the week, the 3-year/10-year spread had lost 4bps to 2bps while the 3/20 year spread finished 8bps lower at 26bps.
* September futures
The gradient of the US Treasury curve became more negative. The 2-year/10-year spread lost 6bps to -101bps over the week while the 2 year/30 year spread finished 8bps lower at -94bps. The San Francisco Fed’s favoured recession-predicting measure, the 3-month/10-year Treasury spread, finished 11bps lower at -156bps.
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