Market Briefing: US Bond Yields - Yardeni Research

Market Briefing: US Bond Yields

Yardeni Research, Inc.

December 30, 2022

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

5-7

December 30, 2022 / Market Briefing: US Bond Yields

Yardeni Research, Inc.



US Government Bond Yield

Figure 1.

18

10-YEAR US TREASURY BOND YIELD

16

(percent, monthly)

18 Latest (3.89)

16

14

14

12

12

10

10

8

8

6

6

4

Nov

4

2

2



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 27

Note: Shaded areas are 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 (3.88)

5.5

5.0

4.5

4.5

4.0

12/30 4.0

3.5

3.5

3.0

3.0

2.5

2.5

2.0

2.0

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 2023

Source: Federal Reserve Board.

Page 1 / December 30, 2022 / Market Briefing: US Bond Yields

Yardeni Research, Inc.



US Mortgage Rate & Bond Yield

Figure 3.

7.5

7.0

US INTEREST RATES (percent, daily)

6.5

6.0

30-Year Mortgage Rate (6.80) 10-Year Treasury Yield (3.88)

7.5

7.0 12/28

6.5

6.0

5.5

5.5

5.0

5.0

4.5

4.5

4.0

12/30 4.0

3.5

3.5

3.0

3.0

2.5

2.5

2.0

2.0

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 2023

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

12/28

Spread (292)

250

250

200

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 2022 2023

Source: The Wall Street Journal and Federal Reserve Board.

Page 2 / December 30, 2022 / 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 (8.54)

25

25

20

20

15

15

10

10

12/23

5

5



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 24

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

Latest (479) 2000

1800

1800

1600

1600



1400

1400

1200

1200

1000

1000

800

800

600

600

12/23

400

400

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 / December 30, 2022 / 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 (2.82)

4.0

3.5

3.5

3.0

3.0

12/23

2.5

2.5

2.0

2.0

1.5

1.5

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 2023 2024

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 (-93)

100

100

50

50

0

0

-50

-50

-100

12/23

-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 2024 2025

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 / December 30, 2022 / Market Briefing: US Bond Yields

Yardeni Research, Inc.



Bond Yield

Figure 9.

4.5

10-YEAR US TREASURY BOND YIELD (percent, daily)

4.0

Lockdowns Begin in US

Pfizer YellenB: iden VaccineAct BigPlan

3.5

FOMC Runoff Talk

12/30

3.0

2.5

2.0

1.5

1.0

.5 2020

Source: Federal Reserve Board.

2021

Putin's War

Powell Speech

Powell @ Jackson Hole

2022

4.5 Latest (3.88)

4.0

3.5

3.0

2.5

2.0

1.5

1.0

.5 2023

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) (3.88)

5.0

Copper/Gold Price (2.10)

5.0

4.5

(nearby futures)

4.5

(x 10)

4.0

10-Year Japanese Government

12/30

4.0

3.5

Bond Yield (percent) (0.41)

3.5

3.0

3.0

2.5

2.5

2.0

12/29

2.0

1.5

1.5

1.0

1.0

.5

12/30

.5

.0

.0



-.5

-.5

2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022 2023 2024

Source: Federal Reserve Board and Refinitiv.

Page 5 / December 30, 2022 / Market Briefing: US Bond Yields

Yardeni Research, Inc.



Bond Yield

60000 40000

Figure 11.

JAPANESE LIFE INSURANCE COMPANIES: NET PURCHASES OF FOREIGN LONG-TERM DEBT

(100 million yen, 3-month sum)

60000 Latest (-44860.0)

40000

20000

20000

0

0

-20000

-20000

-40000

-40000 Nov

-60000

-60000

2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022 2023

Note: Blue shaded areas are first half of each year. Source: Japanese Ministry of Finance.

Figure 12.

600

JAPANESE LIFE INSURANCE COMPANIES: NET PURCHASES OF FOREIGN LONG-TERM DEBT

(US billion dollars, 3-month sum)

400

600 Latest (-19269.0)

400

200

200

0

0

-200

-200

Nov

-400

-400

2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022 2023

Note: Blue shaded areas are first half of each year. Source: Japanese Ministry of Finance.

Page 6 / December 30, 2022 / Market Briefing: US Bond Yields

Yardeni Research, Inc.



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