WEEKLY FINANCIALS RISK MONITOR - SHORT TERM OUTLOOK NOW NEGATIVE

Financial Risk Monitor Summary (Across 3 Durations):

  • Short-term (WoW): Negative / 1 of 10 improved / 6 of 10 unchanged / 3 of 10 worsened
  • Intermediate-term (MoM): Positive / 7 of 10 improved / 2 of 10 unchanged / 1 of 10 worsened
  • Long-term (150 DMA): Negative / 2 of 10 improved / 0 of 10 unchanged / 7 of 10 worsened / 1 of 10 n/a

WEEKLY FINANCIALS RISK MONITOR - SHORT TERM OUTLOOK NOW NEGATIVE - table

 

1. US Financials CDS Monitor – Swaps tightened last week, after sharp blowouts the week prior.  COF was the only exception, widening more than 20% week over week. 

 

Tightened the most vs last week: C, WFC, ALL

Widened the most vs last week: COF, PGR, SLM

Tightened the most vs last month: MTG, RDN, AGO

Widened the most vs last month: BAC, COF, PGR

 

WEEKLY FINANCIALS RISK MONITOR - SHORT TERM OUTLOOK NOW NEGATIVE - US CDS

 

2. European Financials CDS Monitor – In Europe, swaps indicated lessening risk. Swaps tightened for 29 of the 39 reference entities tightened and widened for 9.  

 

Tightened the most vs last week: Alpha Bank AG, National Bank of Greece, Bankinter S.A.

Widened the most vs last week: DnB NOR, Sberbank, Danske Bank

Tightened the most vs last month: Danske Bank, DnB NOR, Banco Pastor

Widened the most vs last month: Alpha Bank AG, National Bank of Greece, Bankinter S.A.

 

WEEKLY FINANCIALS RISK MONITOR - SHORT TERM OUTLOOK NOW NEGATIVE - euro cds

 

3. Sovereign CDS – Sovereign CDS increased 2.5 bps on average last week as Greece and Ireland reversed their declines.   

 

WEEKLY FINANCIALS RISK MONITOR - SHORT TERM OUTLOOK NOW NEGATIVE - sov cds

 

4. High Yield (YTM) Monitor – High Yield rates climbed slightly last week, closing at 7.95 on Friday.  

 

WEEKLY FINANCIALS RISK MONITOR - SHORT TERM OUTLOOK NOW NEGATIVE - high yield

 

5. Leveraged Loan Index Monitor – The leveraged loan index rose 0.4 points last week, closing at its YTD high. 

 

WEEKLY FINANCIALS RISK MONITOR - SHORT TERM OUTLOOK NOW NEGATIVE - leveraged loan

 

6. TED Spread Monitor – Last week the TED spread rose, closing at 16.9 bps.

 

WEEKLY FINANCIALS RISK MONITOR - SHORT TERM OUTLOOK NOW NEGATIVE - ted spread

 

7. Journal of Commerce Commodity Price Index – Last week, the index fell 1.3 points, closing at 18.1.

 

WEEKLY FINANCIALS RISK MONITOR - SHORT TERM OUTLOOK NOW NEGATIVE - joc

 

8. Greek Bond Yields Monitor – We chart the 10-year yield on Greek bonds.  Last week yields reversed their declines and rose 47 bps week over week.

 

WEEKLY FINANCIALS RISK MONITOR - SHORT TERM OUTLOOK NOW NEGATIVE - greek bonds

 

9. Markit MCDX Index Monitor – The Markit MCDX is a measure of municipal credit default swaps.  We believe this index is a useful indicator of pressure in state and local governments.  Markit publishes index values daily on four 5-year tenor baskets including 50 reference entities each. Each basket includes a diversified pool of revenue and GO bonds from a broad array of states. Our index is the average of their four indices.  Spreads fell very slightly last week, closing at 201.   

 

WEEKLY FINANCIALS RISK MONITOR - SHORT TERM OUTLOOK NOW NEGATIVE - markit

 

10. Baltic Dry Index – The Baltic Dry Index measures international shipping rates of dry bulk cargo, mostly commodities used for industrial production.  Higher demand for such goods, as manifested in higher shipping rates, indicates economic expansion.  Last week the index fell slightly, closing at 273 versus 276 the prior week.  

 

WEEKLY FINANCIALS RISK MONITOR - SHORT TERM OUTLOOK NOW NEGATIVE - baltic dry

 

Joshua Steiner, CFA

 

Allison Kaptur


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