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STIR: Mix Of Long Cover & Short Setting Seen In SOFR Futures Following NFPs

STIR

Friday’s hawkish reaction to the NFP release saw long cover dominate in 11/12 of the front SOFR futures, while the blues all saw short setting dominate.

  • The data triggered an aggressive unwind of Fed rate cut pricing, with Fed funds futures now showing 23bp of easing for November, 50bp through December, 70bp through January and 116bp of cumulative cuts through June.

 

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Friday’s hawkish reaction to the NFP release saw long cover dominate in 11/12 of the front SOFR futures, while the blues all saw short setting dominate.

  • The data triggered an aggressive unwind of Fed rate cut pricing, with Fed funds futures now showing 23bp of easing for November, 50bp through December, 70bp through January and 116bp of cumulative cuts through June.

 

Keep reading...Show less