The strong jobs report led to a repricing of Fed expectations, almost one rate cut has been taken off the table. Swaps now price in 25bps rate cut meetings for November and December, and the 135bps of rate cuts seen by May 2025 has been pared to just 100bps
Positions on trade steepners suffer as the developments have translated into an aggressive flattening of the curve, the move of 8.2bps is the largest since January. Looking at a 1y history, today's 2s10s flattening records a 2 sigma move
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