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Credit Suisse on Curve Positioning FOMC

FED
CS also sees a hawkish tone from the Fed as well telegraphed (see 0827ET FI bullet: Set-Up for Final FOMC for 2021) includes accelerated taper and higher shift in dot plot.
  • CS reiterates "that the significant increase in the ED put/call ratio and elevated implied vol around the policy path suggest the market is largely prepared for this tilt, even as the dot plot shows a terminal rate near 1% higher than implied by the market."
  • On Tsy curve, CS maintains a "3s10s flattening bias for the time being, with the path of least resistance remaining in its favor amid forward curve inversion and term premium compression."
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