This is the work-in-progress Yield Report, generated Thursday September 28, 2023 3:24PM (PDT) and regenerated daily at the close of US trading  (and delivered free to subscribers)
Nothing in this report constitues financial advice.
No guarantees are made for the reliability or correctness of data presented.

Yields · Inflation · Employment · Money · Lending · Federal · Macro

Yields

10yr UST Yield

Series	Latest	Date
10yr UST Yield	4.60	2023-09-28 Reported 2023-09-28
10yr Real Yield (TIPS)	2.27	2023-09-27 Reported 2023-09-28

A steeper yield curve implies strong economic growth in the future. A flatter or inverted yield curve suggests an economic downturn.

10yr / 2yr UST Spread

Series	Latest	Date
10yr / 2yr UST Spread	-0.45	2023-09-28 Reported 2023-09-28

The 10/2 spread gives an indication of yield curve steepness over time and often goes negative right before a recession.

Historical Spreads

Series	Latest	Date
10yr UST Yield	4.60	2023-09-28 Reported 2023-09-28
30yr Mortgage	7.31	2023-09-28 Reported 2023-09-28
US High Yield Corporate Debt	8.85	2023-09-27 Reported 2023-09-28

Historical USTs

Series	Latest	Date
3mo UST Yield	5.58	2023-09-27 Reported 2023-09-28
5yr UST Yield	4.64	2023-09-28 Reported 2023-09-28
10yr UST Yield	4.60	2023-09-28 Reported 2023-09-28
30yr UST Yield	4.73	2023-09-28 Reported 2023-09-28

Interest rates have been on a downward trajectory since the Volcker era.

International 10yr Bond Yields

Series	Latest	Date
US 10yr Yield	4.17	2023-08-01 Reported 2023-09-12
UK 10yr Yield	4.53	2023-08-01 Reported 2023-09-12
Japan 10yr Yield	0.64	2023-08-01 Reported 2023-09-12
Germany 10yr Yield	2.55	2023-08-01 Reported 2023-09-12
Italy 10yr Yield	4.16	2023-07-01 Reported 2023-09-12
Australia 10yr Yield	4.13	2023-08-01 Reported 2023-09-13

Inflation

Inflation Breakevens

Series	Latest	Date
5yr Breakeven	2.27	2023-09-28 Reported 2023-09-28
5yr 5yr fwd Breakeven	2.51	2023-09-28 Reported 2023-09-28
10yr Breakeven	2.39	2023-09-28 Reported 2023-09-28

These rates are the difference between nominal USTs and TIPS and express the market's view of inflation over given timeframes (plus a risk premia related to uncertainty and low TIPS liquidity). The 5Y5Y forward breakeven is closely watched by the Fed.

CPI YoY

Series	Latest	Date
CPI YoY	3.71	2023-08-01 Reported 2023-09-13
CPI Core YoY	4.39	2023-08-01 Reported 2023-09-13
PCE Core YoY	4.24	2023-07-01 Reported 2023-08-31

The FOMC targets "average 2%" PCE. CPI only covers out-of-pocket expenditures; PCE includes other expenditures (like insured medical care), and takes into account substitution effects (making it lower than CPI). CPI feeds into TIPS and cost-of-living adjustments.

CPI MoM

Series	Latest	Date
CPI MoM	0.63	2023-08-01 Reported 2023-09-13
CPI Core MoM	0.28	2023-08-01 Reported 2023-09-13
PCE Core MoM	0.22	2023-07-01 Reported 2023-08-31

PPI YoY

Series	Latest	Date
PPI Yoy	1.60	2023-08-01 Reported 2023-09-14

The headline PPI ("Final Demand") shows changes in prices recieved by domestic producers for goods, services, and construction sold for personal consumption, capital investment, government, and export. Like CPI/PCE, PPI incorporates hedonic adjustments.

PPI MoM

Series	Latest	Date
PPI Chg	0.74	2023-08-01 Reported 2023-09-14

Inflation Expectations

Series	Latest	Date
UMich Inflation Expectations	3.40	2023-07-01 Reported 2023-08-25

Expected prices changes 12mo in advance, based on survey of >500 telephone interviews (random digit dialing). Tends to lead by CPI by one quarter and has a 90% correlation with next-quarter CPI.

Gasoline

Series	Latest	Date
US Gasoline Price	3.84	2023-09-25 Reported 2023-09-25

Employment

Payrolls

Series	Latest	Date
Payrolls (Establishment)	156M	2023-08-01 Reported 2023-09-01
Payrolls (Household)	161M	2023-08-01 Reported 2023-09-01

Initial Claims

Series	Latest	Date
Initial Claims	204K	2023-09-23 Reported 2023-09-28

Money

Money Supply

Series	Latest	Date
Broad Money (M3) YoY	-3.69	2023-07-01 Reported 2023-09-12
Broad Money (M3) MoM	0.06	2023-07-01 Reported 2023-09-12

The Fed reviews money supply metrics but no longer sees it as the key determinant of GDP, inflation, or monetary policy.

Money Velocity

Series	Latest	Date
M2 Velocity	1.30	2023-04-01 Reported 2023-09-28

Nominal GDP / M2, or the number of times money is used to purchase goods and services in a time period. Increased velocity can lead to inflation.

Lending

Commercial Bank Lending

Series	Latest	Date
Commercial and Industrial Loans	2.75T	2023-09-13 Reported 2023-09-22
Consumer Loans	1.90T	2023-09-13 Reported 2023-09-22
Real Estate Loans	5.49T	2023-09-13 Reported 2023-09-22
Other Loans	2.04T	2023-09-13 Reported 2023-09-22

Note that commercial bank lending only represents 1/3 of total credit to the non-financial sector.

Margin Debt

Series	Latest	Date
Margin Debt	381B	2023-04-01 Reported 2023-09-08

Federal

Effective Fed Funds Rate

Series	Latest	Date
Fed Funds Rate	5.33	2023-09-27 Reported 2023-09-28

The effective rate commercial banks charge to each other on excess reserves overnight. This is set 8 time per year by the FOMC and managed by open market operations, changing the discount rate the Fed charges, or changing reserve requirements.

Reverse Repo

Series	Latest	Date
Reverse Repo	1.45T	2023-09-28 Reported 2023-09-28

The Fed sells securities overnight to mop up excess liquidity and put a floor on the federal funds rate. A standing repo facility with a fixed rate was established July 2021.

US Debt

Series	Latest	Date
Federal Debt	33T	2023-09-27 Reported 2023-09-28
Debt Ceiling	0	2023-09-27 Reported 2023-09-28
USTs Owned By Fed	4.96T	2023-09-27 Reported 2023-09-28

Since June 11th, 2020, the Fed has been buying $80b USTs per month (and $40b agency MBS). The Fed is expected to start tapering these purchases soon.

Treasury General Account

Series	Latest	Date
TGA Balance	681B	2023-09-27 Reported 2023-09-28

The Treasury's "checking account" held at the Federal Reserve (since 2008, previously at commercial banks). It spiked in 2020 due to emergency COVID-related debt issuance.

Macro

Household Checkable Deposits and Currency

Series	Latest	Date
Household Checkable Deposits and Currency	4.07T	2023-04-01 Reported 2023-09-08

Dollars in checkable deposits and currency. Calculated quarterly.

Personal Savings

Series	Latest	Date
Personal Savings	706B	2023-07-01 Reported 2023-08-31

Personal savings, seasonally adjusted annual rate.

Retail Sales

Series	Latest	Date
Advance Retail Sales	698B	2023-08-01 Reported 2023-09-14

Advance monthly retail sales for retail trade and food services.

U.S. Stock Indices

Series	Latest	Date
S&P 500	4.27K	2023-09-27 Reported 2023-09-28
Wilshire 5000	43K	2023-09-27 Reported 2023-09-28

Does not include dividend reinvestment.