STIR: Net Short Setting & Long Cover Seen Across Most Of SOFR Strip On Thursday

• Low yielding safe havens remain among the key beneficiaries in G10, with JPY and CHF rising around 0.8% and 0.9% respectively on the session. USDJPY fell to within two pips of the most recent cycle lows at 144.56 overnight, keeping bearish momentum firmly in place.
• For USDCHF, the pair broke below 0.8400 for the first time since September. Trend indicators continue to point south, and price action today has seen the selloff from the February highs extend to 8.65%.
• Spot is testing a cluster of lows from Q3 last year, and while the September 06 low at 0.8375 remains intact for now, bounces for the pair remain shallow. A breach of this level would place the market’s focus firmly on 0.8333 (2023 low), of which a break would place USDCHF at its lowest level since the removal of the peg in 2015.
• Commerzbank think the SNB "probably cannot stand by and watch the franc appreciate forever", pointing towards potential intervention. As a reminder, the SNB remain "willing to be active in FX markets as necessary," and it is worth noting that SNB’s Tschudin speaks tomorrow at a Money Market Event in Zurich.

• Fed Funds implied rates are holding a net dovish shift since yesterday’s imposition of 104% tariffs on China after the deadline at 1200ET (and broader “reciprocal” tariffs coming in 0001ET today), although are firmly off overnight dovish extremes along with some stabilization in equity futures.
• Cumulative cuts from an assumed 4.33% effective: 16.5bp May, 40bp Jun, 63.5bp Jul and 106.5bp Dec (vs 91bp pre 1200ET China tariff deadline yday and at one point ~120bp in Asia trade).
• Notably, markets continue to not rule out an intermeeting cut, with FFJ5 showing 3.7bp of cuts despite Powell after payrolls on Friday saying the FOMC is "well positioned to wait for greater clarity before considering any adjustments to our policy stance".
• Today sees Richmond Fed’s Barkin (non-voter) speak at the Economic Club of Washington DC (event begins 1100ET, Bloomberg suggests interview itself begins 1130ET). He spoke shortly ahead of “Liberation Day” tariffs, saying on Apr 1 that tariffs will present challenges to inflation and employment and that employers aren’t reporting tightness in the labor market. That followed Mar 31 comments that to cut rates he wants to have confidence on inflation.
• The FOMC minutes from the Mar 18-19 meeting at 1400ET should be stale from a near-term STIR perspective, with QT discussions of greater note. 

OI data points to net long cover dominating in most contracts during Tuesday’s sell off, with the most prominent rounds of positioning adjustments coming in FV & TY futures.

• Modest net short setting in TU & UXY futures provided exceptions to the wider trend.
• A reminder that the only real positioning adjustment of note seen on Monday came via net long cover in WN futures.