US Rates: Yield curve bull flattens ahead of September FOMC

In this episode of At Any Rate, Phoebe White and Ipek Ozil discuss the recent flattening of the rates market, attributing it to fundamental factors like the August employment report and softer PPI, technical elements such as position unwinds and momentum thresholds, and mean reversion from steep curve valuations. Looking ahead to the FOMC meeting, they anticipate a 25 basis point cut and focus on the dot plot and forward guidance, with risks skewed towards higher yields. They also address concerns around corporate tax day and its potential impact on funding markets and swap spreads, concluding with a discussion on options markets and implied volatility.