October 03, 2024 10:49 GMT
STIR: Long Cover Dominated In Front End Of SOFR Strip Post-ADP
STIR
OI data points to long cover dominating in the very front end of the SOFR strip during Wednesday’s sell off, with a mix of short setting and long cover seen further out.
- A sell off in European rates and firmer-than-expected ADP labour market data pressured SOFR futures on Wednesday, with a little Fed rate cut premium unwound.
- Fed funds futures now price 34.5bp of cuts for November, 70bp of cuts through December, and 160bp of easing through June.
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