OI Indicates Long Setting Continues To Dominate On SOFR Strip

The combination of the light uptick in prices across most of the SOFR strip and preliminary OI data point to the following net positioning swings on Thursday:

• Whites: Long setting appeared dominate on a net pack basis, although SFRM4 was seemingly subjected to short cover.
• Reds: Long setting once again seemed to dominate on a net pack basis, although pockets of short cover were also seemingly apparent.
• Greens: Little net movement in pack OI with apparent rounds of long setting and short cover effectively offsetting.
• Blues: A marginal bias towards long setting in net pack terms.
• When it came to price action, pre-NY Thursday price action was shaped by feedthrough from hawkish speculation surrounding the BoJ, before a recovery, aided by softer-than-expected German industrial data.
• Net long setting has been the dominant theme on the SOFR strip over the last couple of weeks, given the dovish repricing that we have seen for most of the major global central banks, including the Fed. This has been further aided by the general tone of the U.S. data.
• Today’s NFP print presents the key macro risk ahead of the weekend.