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Richer Overnight As Recession Worries Continue To Swirl

US TSYS

TYU2 +0-06+ at 118-23+ ahead of London hours. We have pared back from the bullish extremes witnessed overnight, with TYU2 last operating 0-06 off its session peak, on volume of ~140K (not hindered by a holiday in Hong Kong). Cash Tsys sit 3.0-6.5bp richer across the curve, with the belly leading the bid. Recessionary worry embedded itself further as we worked through overnight dealing, after a brief early uptick in e-minis (alongside cryptocurrencies) was seen during a fairly muted start to Asia-Pac dealing. Regional stories aided wider risk-negative price action, with reports re: chip giant TSMC experiencing downward adjustments in orders from major clients and fears surrounding China Great Wall Asset M’ment missing another deadline to publish its ’21 annual report. E-minis now sit 1.0% lower on the day, This comes after softer than expected real consumer spending data fuelled its own brand of recessionary worry on Thursday (with the Atlanta Fed GDP Nowcast pointing to a technical recession).

  • Asia-Pac flow was highlighted by bullish expressions in the form of a block buy of FV futures (+2K) and a block buy of the TYQ2 118.75/120.25 call spread (+5K).
  • Note that the space showed nothing in the way of meaningful reaction to the release of Chinese Caixin m’fing PMI data. The print came in comfortably ahead of expectations (after the official Chinese PMI reading moved back into expansionary territory when it hit yesterday), although the text of the print pointed to continued questions re: the footing that the Chinese economy is operating on at present.
  • M’fing PMI data out of Europe will be eyed ahead of NY hours (although the Eurozone and UK releases represent final readings), while Friday’s domestic docket will be headlined by the ISM m’fing survey.
  • A quick reminder that the Independence Day Holiday (which will be observed on Monday) means that SIFMA recommend an early cash Tsy close on Friday (14:00 NY/19:00 London), although Tsy futures will be open for usual trading hours ahead of the weekend.
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TYU2 +0-06+ at 118-23+ ahead of London hours. We have pared back from the bullish extremes witnessed overnight, with TYU2 last operating 0-06 off its session peak, on volume of ~140K (not hindered by a holiday in Hong Kong). Cash Tsys sit 3.0-6.5bp richer across the curve, with the belly leading the bid. Recessionary worry embedded itself further as we worked through overnight dealing, after a brief early uptick in e-minis (alongside cryptocurrencies) was seen during a fairly muted start to Asia-Pac dealing. Regional stories aided wider risk-negative price action, with reports re: chip giant TSMC experiencing downward adjustments in orders from major clients and fears surrounding China Great Wall Asset M’ment missing another deadline to publish its ’21 annual report. E-minis now sit 1.0% lower on the day, This comes after softer than expected real consumer spending data fuelled its own brand of recessionary worry on Thursday (with the Atlanta Fed GDP Nowcast pointing to a technical recession).

  • Asia-Pac flow was highlighted by bullish expressions in the form of a block buy of FV futures (+2K) and a block buy of the TYQ2 118.75/120.25 call spread (+5K).
  • Note that the space showed nothing in the way of meaningful reaction to the release of Chinese Caixin m’fing PMI data. The print came in comfortably ahead of expectations (after the official Chinese PMI reading moved back into expansionary territory when it hit yesterday), although the text of the print pointed to continued questions re: the footing that the Chinese economy is operating on at present.
  • M’fing PMI data out of Europe will be eyed ahead of NY hours (although the Eurozone and UK releases represent final readings), while Friday’s domestic docket will be headlined by the ISM m’fing survey.
  • A quick reminder that the Independence Day Holiday (which will be observed on Monday) means that SIFMA recommend an early cash Tsy close on Friday (14:00 NY/19:00 London), although Tsy futures will be open for usual trading hours ahead of the weekend.