Summary: ACGB gradient stable/tighter; US Treasury curve gradient steeper.
The gradient of the ACGB yield curve either remained stable or tightened a little as yields increased, depending on the measure. By the end of the week, the 3-year/10-year had returned to its starting point at 102bps while the 3-year/20-year spread had tightened by 2bps to 163bps respectively.
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However, the gradient of the US Treasury curve steepened unambiguously. The 2-year/10-year and the 2 year/30 year spreads both added 10bps to 130bps and 186bps respectively. The San Francisco Fed’s favoured recession-predicting measure, the 3-month/10-year Treasury spread, finished 14bps wider at 157bps.
To find out more about the yield curve and its usefulness, click here or here.
*December futures