Wall Street was set for a sharply lower open on Thursday after the latest data about the labor market further confirmed investor's fears of a slowdown in the economy.

New U.S. claims for unemployment benefits rose more than expected last week, suggesting little improvement in the labor market this month after employment stumbled in May.

The data followed a more pessimistic outlook on the economy from the Federal Reserve Chairman Ben Bernanke on Wednesday.

S&P 500 futures fell 15.20 points and were below fair value, a formula that evaluates pricing by taking into account interest rates, dividends and time to expiration of the contract. Dow Jones industrial average futures lost 124 points, and Nasdaq 100 futures shed 23.50 points.

(Reporting by Angela Moon, Editing by)

Ben Bernanke