First, a sensational story from CNBC
AND a couple of tweets with visuals of the severity of the moves today,
US fixed income markets remain on the move. On the day, the 5-10Y part of the curve is moving the most (9-10bp). But over the last month (21 trading days), the 2-year move is very dramatic, up >30bp, and the biggest move since the Global Financial Crisis (2009).
4:17 PM · Jan 18, 2022
The 5Y move over the last month has also been big…and in a similarly high percentile of the historical distribution of monthly changes. But we have seen moves of this size more recently (in 2016 and in 2013)
The 10Y move has also been big, and again in a similar percentile of the historical distribution (96th percentile). But we had another such spike in early 2020, and another back in 2016. So it is not quite as historical as the 2-year move we are seeing.
AND the best for last
For the very long end (30-year) the move is still big, but not in quite as high a percentile (94th percentile), and we can see that we have had moves of this size quite a few times over the last five years.
AND it’s NOT different this time … er, um, it IS different this time … oh whatever,
The bottom line: This cycle is different, and the bond market is telling you exactly that. In particular, the short-end moves are of a magnitude we have not seen in a very long time (as illustrated earlier this week too...)
Not a big fan of when folks reply to themselves on twitter but in conclusion, Jens
Inflation matters. 2022 will be very macro. We are just getting started. Do not think the coming months will be like the environment you are used to from recent years. END.