Market Briefing: US Bond Yields
Market Briefing: US Bond Yields
Yardeni Research, Inc.
October 22, 2021
Dr. Edward Yardeni
516-972-7683 eyardeni@
Mali Quintana
480-664-1333 aquintana@
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Table Of Contents Table Of Contents
US Government Bond Yield
1
US Mortgage Rate & Bond Yield
2
US High-Yield Corporate Bond Yield & Spread
3
US Municipal Yield & Spread
4
Bond Yield
5-6
October 22, 2021 / Market Briefing: US Bond Yields
Yardeni Research, Inc.
US Government Bond Yield
Figure 1.
18
18
US TREASURY 10-YEAR BOND YIELD
16
(percent, monthly)
16
14
14
12
12
10
10
8
8
6
6
4
4
2
2
Sep
0
0
53 55 57 59 61 63 65 67 69 71 73 75 77 79 81 83 85 87 89 91 93 95 97 99 01 03 05 07 09 11 13 15 17 19 21 23 25
Note: Shaded areas denote recessions according to the National Bureau of Economic Research. Source: Haver Analytics.
Figure 2.
6.0
10-YEAR US TREASURY BOND YIELD
5.5
(percent, daily)
5.0
6.0 Latest (1.66)
5.5
5.0
4.5
4.5
4.0
4.0
3.5
3.5
3.0
3.0
2.5
2.5
2.0
2.0
10/22
1.5
1.5
1.0
1.0
.5
.5
.0
.0
2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022
Source: Federal Reserve Board.
Page 1 / October 22, 2021 / Market Briefing: US Bond Yields
Yardeni Research, Inc.
US Mortgage Rate & Bond Yield
Figure 3.
7.5
7.5
7.0
US INTEREST RATES (percent)
7.0
6.5
30-Year Mortgage Rate (3.21)
6.5
6.0
10-Year Treasury Yield (1.66)
6.0
5.5
5.5
5.0
5.0
4.5
4.5
4.0
4.0
3.5
3.5
10/21
3.0
3.0
2.5
2.5
2.0
2.0
10/22
1.5
1.5
1.0
1.0
.5
.5
.0
.0
2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022
Source: Board of Governors of the Federal Reserve System.
Figure 4.
400
400
30-YEAR MORTGAGE RATE MINUS 10-YEAR US TREASURY BOND YIELD
(basis points, daily)
350
350
300
300
Spread (196)
250
250
200
12/28 200
150
150
100
100
50
50
2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021
Source: The Wall Street Journal and Federal Reserve Board.
Page 2 / October 22, 2021 / Market Briefing: US Bond Yields
Yardeni Research, Inc.
US High-Yield Corporate Bond Yield & Spread
Figure 5.
30
YIELD ON US HIGH-YIELD CORPORATE BONDS (percent, daily)
30 Latest (4.26)
25
25
20
20
15
15
10
10
5
5
10/21
0
0
97 98 99 00 01 02 03 04 05 06 07 08 09 10 11 12 13 14 15 16 17 18 19 20 21 22 23
Note: Shaded areas are recessions according to the National Bureau of Economic Research. Source: Bank of America Merrill Lynch.
Figure 6.
2400
2400
YIELD SPREAD US HIGH-YIELD CORPORATE LESS 10-YEAR US TREASURY BOND
2200
(basis points, daily)
2200
2000
2000
1800
1800
1600
1600
1400
1400
1200
1200
1000
1000
800
800
600
600
400
400
10/21
200
200
97 98 99 00 01 02 03 04 05 06 07 08 09 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24
Note: Shaded areas are recessions according to the National Bureau of Economic Research. Source: Bank of America Merrill Lynch and Federal Reserve Board.
Page 3 / October 22, 2021 / Market Briefing: US Bond Yields
Yardeni Research, Inc.
US Municipal Yield & Spread
Figure 7.
6.0
6.0
US AAA MUNICIPAL YIELD
5.5
(percent)
5.5
5.0
5.0
4.5
4.5
4.0
Yield (1.19)
4.0
3.5
3.5
3.0
3.0
2.5
2.5
2.0
2.0
1.5
1.5
10/21
1.0
1.0
.5
.5
2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022
Note: Shaded areas denote recessions according to the National Bureau of Economic Research. Source: Merrill Lynch.
Figure 8.
250
250
US AAA MUNICIPAL BOND YIELD LESS 10-YEAR TREASURY YIELD SPREAD
(basis points, daily)
200
200
150
150
Spread (-49)
100
100
50
50
0
0
-50
10/21
-50
-100
-100
-150
-150
2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022 2023
Note: Shaded areas denote recessions according to the National Bureau of Economic Research. Source: Merrill Lynch and Board of Governors of the Federal Reserve System.
Page 4 / October 22, 2021 / Market Briefing: US Bond Yields
Yardeni Research, Inc.
Bond Yield
Figure 9.
2.5
10-YEAR US TREASURY BOND YIELD (percent, daily)
Lockdowns Begin in US
2.0
Pfizer Vaccine
Yellen: Biden Act Big Plan
April May June CPI CPI CPI
1.5
2.5 Latest (1.66)
2.0
10/22 1.5
1.0
1.0
.5
.5
I
II
III
IV
I
II
III
IV
2020
2021
Source: Federal Reserve Board.
Figure 10.
8.0
8.0
7.5 RATIO OF NEARBY FUTURES PRICES COPPER TO GOLD
7.5
vs 10-YEAR US & JAPANESE BOND YIELDS
7.0
(daily)
7.0
6.5
6.5
6.0
6.0
5.5
10-Year US Treasury
5.5
Bond Yield (percent) (1.66)
5.0
Copper/Gold Price (2.57)
5.0
4.5
(nearby futures)
4.5
(x 10)
4.0
10-Year Japanese Government
4.0
3.5
Bond Yield (percent) (0.09)
3.5
3.0
3.0
2.5
10/21 2.5
2.0
2.0
1.5
10/22 1.5
1.0
1.0
.5
.5
.0
10/22 .0
-.5
-.5
2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022
Source: Federal Reserve Board and Refinitiv.
Page 5 / October 22, 2021 / Market Briefing: US Bond Yields
Yardeni Research, Inc.
Bond Yield
50000 40000
Figure 11.
JAPANESE LIFE INSURANCE COMPANIES: NET PURCHASES OF FOREIGN LONG-TERM DEBT
(100 million yen, 3-month sum)
Latest (5434.0)
50000 40000
30000
30000
20000
20000
10000 0
10000 Sep
0
-10000
-10000
-20000 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022
Note: Blue shaded areas are first half of each year. Source: Japanese Ministry of Finance.
-20000
Figure 12.
500
JAPANESE LIFE INSURANCE COMPANIES:
NET PURCHASES OF FOREIGN LONG-TERM DEBT
400
(US billion dollars, 3-month sum)
500 Latest (2531.0)
400
300
300
200
200
100
100
Sep
0
0
-100
-100
-200
-200
2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022
Note: Blue shaded areas are first half of each year. Source: Japanese Ministry of Finance.
Page 6 / October 22, 2021 / Market Briefing: US Bond Yields
Yardeni Research, Inc.
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