Deutsche Bank analysts point out that the July FOMC meeting is now priced in for 21bps of cuts, with 88bps of cuts priced in for the next 12 months.

“The market is still priced for a very dovish shift in policy. Friday’s jobs report is looking ever-more pivotal for the Fed and for markets. Despite the firming market expectations for rate cuts, the 2s10s curve actually bull steepened to 27.7bps (over 30bps intra-day and 28.8bps this morning) and to the steepest since November last year with 10y yields down a more modest -0.9bps (down a further -2.5bps this morning though). In three days the curve has actually steepened more than +8bps and it continues to defy inversion unlike most of the other common yield curve measures in the US.”