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Writer's pictureEdward Ballsdon

Friday's NFP yield increase in context

Friday’s Non-Farm Payrolls clearly took the market by surprise given the 20bp increase in 2yr USTs after the number’s release. What to make of that large move – opportunity? or new trend direction? This research analyses bond yield volatility at different stages of the Jun03-Dec 08 interest rate cycle, and compares the large intraday moves with those of this cycle.


It shows that this latest rate hike cycle saw

  • a much larger number of countermoves as rates increased compared to 2003/06

  • far more large intraday moves as rates traded in a range at the top of the interest rate cycle


The report highlights that this move down in rates is very different to 2007/08 as the drivers are very different and the economic backdrop (i.e. leverage) is dissimilar. The report concludes that investors need to therefore position tactically in a very different way to le last cycle.

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