In this week's report, we discuss the drivers behind the flattening in the slope of the FRA and swap curves to levels more in line with our fair value estimates. The decline in SAGB yields and flattening in the SAGB curve has seen the 10yr generic yield moving 10bps away from our fair value estimate of 10.3%. Whereas the external environment, in particular developments in the US, has bolstered risk sentiment, volatility risk remains elevated because of the US implied forward rates implying a more dovish Fed and a start in the rate cutting cycle in 2H 23. In South Africa, we focus on the fiscal situation by analysing the current financing of the budget deficit and revenue receipts in the context of the important announcements expected in the October 2022 MTPBS. The restructuring of Eskom’s debt holds possible consequences for government’s maturity profile and, by implication, the management of cash balances. Government’s new floating rate note (FRN) issue created some interesting movements in the asset swap spreads, which were a contributory factor to the banks accumulating R26bn R1868s late in July.