Summary: ACGB gradient steeper; US Treasury curve gradient a touch flatter.
The gradient of the ACGB yield curve became steeper as yields fell at the short end while those at the long end increased modestly. By the end of the week, the 3-year/10-year spread had widened by 9bps to 69bps and the 3-year/20-year spread had gained 12bps to 122bps.
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In contrast, the gradient of the US Treasury curve became a touch flatter. The 2-year/10-year spread lost 2bps to 107bps while the 2 year/30 year spread slipped 1bp to 140bps. The San Francisco Fed’s favoured recession-predicting measure, the 3-month/10-year Treasury spread, finished 1bp lower at 150bps.
To find out more about the yield curve and its usefulness, click here or here.
*December futures