This is the work-in-progress Yield Report, generated Friday December 3, 2021 1:34PM (PST) and regenerated daily at the close of US trading  (and delivered free to subscribers)

Yields · Inflation · Money · Lending · Fed · Debt


Yields

Series Latest Date
10yr UST Yield 1.34 2021-12-03
Reported 2021-12-03
10yr Real Yield (TIPS) -1.03 2021-12-02
Reported 2021-12-03
A steeper yield curve implies strong economic growth in the future. A flatter or inverted yield curve suggests an economic downturn.
Series Latest Date
10yr / 2yr UST Spread 0.81 2021-12-02
Reported 2021-12-02
The 10/2 spread gives an indication of yield curve steepness over time and often goes negative right before a recession.
Series Latest Date
10yr UST Yield 1.34 2021-12-03
Reported 2021-12-03
30yr Mortgage 3.11 2021-12-02
Reported 2021-12-02
US High Yield Corporate Debt 4.74 2021-12-02
Reported 2021-12-03
Series Latest Date
3mo UST Yield 0.05 2021-12-02
Reported 2021-12-03
5yr UST Yield 1.12 2021-12-03
Reported 2021-12-03
10yr UST Yield 1.34 2021-12-03
Reported 2021-12-03
30yr UST Yield 1.68 2021-12-03
Reported 2021-12-03
Interest rates have been on a downward trajectory since the Volcker era.
Series Latest Date
US 10yr Yield 1.58 2021-10-01
Reported 2021-11-12
UK 10yr Yield 1.08 2021-10-01
Reported 2021-11-12
Japan 10yr Yield 0.10 2021-10-01
Reported 2021-11-12
Germany 10yr Yield -0.20 2021-10-01
Reported 2021-11-12
Italy 10yr Yield 0.96 2021-10-01
Reported 2021-11-12
Australia 10yr Yield 1.72 2021-10-01
Reported 2021-11-12

Inflation

Series Latest Date
5yr Breakeven 2.73 2021-12-02
Reported 2021-12-02
5yr 5yr fwd Breakeven 2.21 2021-12-02
Reported 2021-12-02
10yr Breakeven 2.47 2021-12-02
Reported 2021-12-02
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.
Series Latest Date
CPI YoY 6.24 2021-10-01
Reported 2021-11-10
CPI Core YoY 4.58 2021-10-01
Reported 2021-11-10
PCE Core YoY 4.12 2021-10-01
Reported 2021-11-24
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.
Series Latest Date
CPI MoM 0.94 2021-10-01
Reported 2021-11-10
CPI Core MoM 0.60 2021-10-01
Reported 2021-11-10
PCE Core MoM 0.43 2021-10-01
Reported 2021-11-24
Series Latest Date
PPI Yoy 8.63 2021-10-01
Reported 2021-11-09
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.
Series Latest Date
PPI Chg 0.62 2021-10-01
Reported 2021-11-09
Series Latest Date
UMich Inflation Expectations 4.80 2021-10-01
Reported 2021-11-24
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.

Money

Series Latest Date
Broad Money (M3) YoY 13 2021-09-01
Reported 2021-11-12
Broad Money (M3) MoM 0.78 2021-09-01
Reported 2021-11-12
The Fed reviews money supply metrics but no longer sees it as the key determinant of GDP, inflation, or monetary policy.
Series Latest Date
M2 Velocity 1.11 2021-07-01
Reported 2021-11-24
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

Series Latest Date
Commercial and Industrial Loans 2.44T 2021-11-17
Reported 2021-11-26
Consumer Loans 1.63T 2021-11-17
Reported 2021-11-26
Real Estate Loans 4.76T 2021-11-17
Reported 2021-11-26
Other Loans 1.75T 2021-11-17
Reported 2021-11-26
Note that commercial bank lending only represents 1/3 of total credit to the non-financial sector.
Series Latest Date
Margin Debt 595B 2021-04-01
Reported 2021-09-23

Fed

Series Latest Date
Fed Funds Rate 0.08 2021-12-02
Reported 2021-12-03
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.
Series Latest Date
Reverse Repo 1.48T 2021-12-03
Reported 2021-12-03
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.

Debt

Series Latest Date
Federal Debt 29T 2021-12-02
Reported 2021-12-03
Debt Ceiling 29T 2021-12-02
Reported 2021-12-03
USTs Owned By Fed 5.59T 2021-12-01
Reported 2021-12-02
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.
Series Latest Date
TGA Balance 125B 2021-12-02
Reported 2021-12-03
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.

About the Yield Report

Goal: Convey fixed income yields and drivers. These rates are a major input into equity valuations via the discount rate.

Coming Soon: Credit spreads and fiscal spending. If you see a chart or metric you think would be useful here, send it to Justin.

This report is generated daily and sent to subscribers either daily or weekly. Data comes from FRED, IEX, and Yahoo Finance.

© Tangled Lines 2020