After the U.S. Department of Labor released March employment data that was stronger than economists' expectations (including a higher-than-expected increase in Non-Farm Employment and a decline in the unemployment rate), United States Treasuries closed lower in a shortened trading session. Short-dated maturities led the decline (yields moved higher), closing up about 4 basis points as short-term interest rate contracts shifted to price in a lower probability of Fed Rate Cuts this year or next.
Overnight index swap (OIS) contracts linked to the Fed’s future interest rate decisions almost entirely erased bets on interest rate cuts this year, whereas the market had priced in about 4 basis points of easing prior to the data; for 2027, the market still prices in about 22 basis points of easing, a reduction of about 6 basis points from Thursday’s close.