This is the work-in-progress Yield Report, generated Friday December 20, 2024 3:05PM (PST) 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	4.52	2024-12-20 Reported 2024-12-20
10yr Real Yield (TIPS)	2.28	2024-12-19 Reported 2024-12-20

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	0.22	2024-12-20 Reported 2024-12-20

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	4.52	2024-12-20 Reported 2024-12-20
30yr Mortgage	6.72	2024-12-19 Reported 2024-12-19
US High Yield Corporate Debt	7.30	2024-12-19 Reported 2024-12-20

Historical USTs

Series	Latest	Date
3mo UST Yield	4.35	2024-12-19 Reported 2024-12-20
5yr UST Yield	4.38	2024-12-20 Reported 2024-12-20
10yr UST Yield	4.52	2024-12-20 Reported 2024-12-20
30yr UST Yield	4.72	2024-12-20 Reported 2024-12-20

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

International 10yr Bond Yields

Series	Latest	Date
US 10yr Yield	4.36	2024-11-01 Reported 2024-12-16
UK 10yr Yield	4.42	2024-11-01 Reported 2024-12-16
Japan 10yr Yield	1.05	2024-11-01 Reported 2024-12-16
Germany 10yr Yield	2.31	2024-11-01 Reported 2024-12-16
Italy 10yr Yield	3.57	2024-11-01 Reported 2024-12-16
Australia 10yr Yield	4.54	2024-11-01 Reported 2024-12-16

Inflation

Inflation Breakevens

Series	Latest	Date
5yr Breakeven	2.34	2024-12-20 Reported 2024-12-20
5yr 5yr fwd Breakeven	2.24	2024-12-20 Reported 2024-12-20
10yr Breakeven	2.29	2024-12-20 Reported 2024-12-20

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	2.73	2024-11-01 Reported 2024-12-11
CPI Core YoY	3.30	2024-11-01 Reported 2024-12-11
PCE Core YoY	2.82	2024-11-01 Reported 2024-12-20

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	0.31	2024-11-01 Reported 2024-12-11
CPI Core MoM	0.31	2024-11-01 Reported 2024-12-11
PCE Core MoM	0.11	2024-11-01 Reported 2024-12-20

PPI YoY

Series	Latest	Date
PPI Yoy	2.97	2024-11-01 Reported 2024-12-12

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	0.38	2024-11-01 Reported 2024-12-12

Inflation Expectations

Series	Latest	Date
UMich Inflation Expectations	2.60	2024-11-01 Reported 2024-12-20

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	3.02	2024-12-16 Reported 2024-12-16

Employment

Payrolls

Series	Latest	Date
Payrolls (Establishment)	159M	2024-11-01 Reported 2024-12-06
Payrolls (Household)	161M	2024-11-01 Reported 2024-12-06

Initial Claims

Series	Latest	Date
Initial Claims	220K	2024-12-14 Reported 2024-12-19

Money

Money Supply

Series	Latest	Date
Broad Money (M3) YoY	-2.95	2023-11-01 Reported 2024-01-12
Broad Money (M3) MoM	0.20	2023-11-01 Reported 2024-01-12

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	1.39	2024-07-01 Reported 2024-12-19

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	2.80T	2024-12-11 Reported 2024-12-20
Consumer Loans	1.93T	2024-12-11 Reported 2024-12-20
Real Estate Loans	5.62T	2024-12-11 Reported 2024-12-20
Other Loans	2.25T	2024-12-11 Reported 2024-12-20

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

Margin Debt

Series	Latest	Date
Margin Debt	452B	2024-07-01 Reported 2024-12-12

Federal

Effective Fed Funds Rate

Series	Latest	Date
Fed Funds Rate	4.33	2024-12-19 Reported 2024-12-20

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	98B	2024-12-20 Reported 2024-12-20

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	36T	2024-12-19 Reported 2024-12-20
Debt Ceiling	0	2024-12-19 Reported 2024-12-20
USTs Owned By Fed	4.31T	2024-12-18 Reported 2024-12-19

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	768B	2024-12-18 Reported 2024-12-19

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	4.29T	2024-07-01 Reported 2024-12-12

Dollars in checkable deposits and currency. Calculated quarterly.

Personal Savings

Series	Latest	Date
Personal Savings	968B	2024-11-01 Reported 2024-12-20

Personal savings, seasonally adjusted annual rate.

Retail Sales

Series	Latest	Date
Advance Retail Sales	725B	2024-11-01 Reported 2024-12-17

Advance monthly retail sales for retail trade and food services.

Tonnage

Series	Latest	Date
Truck Tonnage YoY	-0.35	2024-10-01 Reported 2024-12-11
Rail Freight Intermodal Tonnage YoY	7.14	2024-10-01 Reported 2024-12-11

US Truck & Intermodal Tonnage Index y/y change.

U.S. Stock Indices

Series	Latest	Date
S&P 500	5.87K	2024-12-19 Reported 2024-12-20
NASDAQ	19K	2024-12-19 Reported 2024-12-20

Does not include dividend reinvestment.