Bond Market Update

Post-NFP Losses Narrowed

• U.S. Treasuries have risen off lows that were reached after the release of the December jobs report with longer tenors recovering the biggest chunk of their post-data losses while the 2-yr note remains a bit closer to its early low. The recently-released report put a significant dent in rate cut expectations, leaving the fed funds futures market with just a 38.6% implied likelihood of a cut in May, down from 55.3% that was seen yesterday. The diminishing rate cut expectations have resulted in a weak start for equities with the S&P 500 down 1.5% while the Nasdaq (-2.0%) lags.
• Yield Check:
  • 2-yr: +7 bps to 4.34%
  • 3-yr: +7 bps to 4.41%
  • 5-yr: + 6 bps to 4.52%
  • 10-yr: +3 bps to 4.72%
  • 30-yr: UNCH at 4.93%