The most important determinant of an announcement’s impact on bond markets is its relationship to fundamentals, closely followed by its timing. Information which is imprecise but early can affect markets more than news which is precise but late. Governments and private agencies make public announcements on how the economy as a whole is performing at various points over the year. Sometimes the substance of these announcements comes as a surprise, and can have quite an impact on asset prices. The value of the one-year US Treasury bond is closely linked to US announcements, but it does not respond equally strongly to all announcements. For example, surprising non-farm payroll figures explain more than 25% of the daily change in yield on the respective announcement days, whereas other announcements have barely any effect. This bulletin examines the impact of US announcement surprises on the yield of one-year Treasury bonds and explains why some macroeconomic releases have a consistently larger impact on asset prices than others.