Fed Pricing Eases On NFP, AHE Move Tempers Losses

{US} STIR: Fed Pricing Eases On NFP, AHE Move Tempers Losses

FOMC-dated OIS generally eases in the wake of the NFP release, with the headline reading (accompanied by negative revisions) providing a miss vs. expectations for the first time in more than a year, although the average hourly earnings metrics were a touch firmer than expected.

• Note that some of the early ’24 contracts more than reversed yesterday’s data-driven hawkish repricing, which was largely driven by the much firmer than expected ADP employment release.
• That was before the AHE helped temper/counter the move lower.
• Pricing surrounding this month’s FOMC is a touch firmer, with ~23-24bp of hikes priced, while terminal rate pricing eases a touch, leaving ~37bp of cumulative hikes priced into the FOMC-dated strip come the end of November (vs. ~38bp pre-NFP).
• Beyond there, ~48bp of cuts are priced by June ’24 vs. ~47bp pre-data, and vs. the more than 50bp that was briefly priced in the wake of the NFP print.
• Stayed tuned for more analysis of the data.