(Bloomberg) — The release of key US jobs data on Good Friday risks making the Treasuries market reaction one-and-a-half times more volatile than it usually would be, according to JPMorgan Chase & Co.
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Previous instances of employment data coming on the holiday showed yields were 20% to 50% more volatile than normal in the two hours following the release, strategists including Jay Barry wrote Thursday. That’s even as the absolute value of changes tended to be similar over the course of a full session, they said.
Traders are bracing for the March jobs report Friday which is expected to show a slowdown in the pace of hiring, but could still come at a pace too fast to pause Federal Reserve rate hikes. The Treasury market is open in the US morning to accommodate the report, despite the holiday.
“These results suggest that Treasury yields could exhibit greater volatility in response to a surprise in the employment report with tomorrow’s unusual early close, particularly given that liquidity conditions remain severely depressed,” the JPMorgan strategists wrote.
The March data will be the last jobs report before the Fed’s next policy decision on May 3. Overnight-indexed swaps suggest the chance of a rate hike next month is almost a coin toss.
Two-year Treasury yields rose for the first time in five sessions on Thursday, adding 5 basis points to 3.83%.
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Source: https://finance.yahoo.com/news/treasuries-set-super-sized-jobs-022059188.html