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Update Post-Employment Data React, Pricing Tighter Policy

US TSYS
  • Treasury futures continue to see decent two-way trade after extending initial lows, TYZ3 down to 106-12 (-30), currently trades 106-14.5, yield tapped 4.8451% high.
  • Curves mixed with short end steeper: 3M10Y +11.311 at -67.864, 2Y10Y +2.559 at -28.047 (highest since since March).
  • Strong jobs data sees rate hike projections into early 2024 firmer: November at 30.5% (22.2% pre-data) w/ implied rate change of +7.6bp to 5.405%, December cumulative of 12.4bp (9.7bp prior) at 5.452%, January 2024 11.9bp (8.4bp prior) at 5.448%. Fed terminal climbs to at 5.455% in Jan'24-Feb'24.

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