FOMC Easing Pricing Further Pared Back On NFPs & AHE

Initial reaction to the NFP release is hawkish, with AHE and headline NFP dynamics biasing markets in that direction.

• Late ’23 favoured receiver-side positions come under further pressure in the wider STIR space.
• FOMC-dated OIS now shows ~128bp of cuts through ’24 (vs. 137bp pre-release), while ~14bp of cuts are priced through the end of the Mar ’24 FOMC (vs. ~17bp pre-data).
• Nuances in the data (for instance a downward revision in last month’s headline print) are unable to promote anything like a meaningful reversal at this stage, with U.S rates markets only a little off initial hawkish extremes at typing.