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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