Fed Cuts Unwound Post NFP

The firmer-than-expected labour market data pulls out some of the cuts priced into FOMC-dated OIS during ’24. Below is a quick summary of the pre- & post-data levels across some of the key markers:

• Mar ’24 FOMC: ~4.5bp of easing now priced vs. 8.5bp of cuts being priced pre-data. A reminder that Fed Chair Powell will speak on CBS’ 60 minutes over the weekend. He could use that event as another opportunity to push back on the idea of a March cut, particularly post-labour market data (was recorded Thursday).
• May ’24: A full 25bp cut is no longer priced (~22.5bp of cuts show vs. ~31.5bp pre-data), the first 25bp cut is more than fully discounted through the June FOMC (~44.5bp of cuts seen over that horizon vs. ~57bp pre-data).
• Total ’24 cuts: ~128bp of cuts are now priced for ’24 on the whole, vs. 147bp pre-data.