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
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
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.
3. Sovereign CDS – Sovereign CDS increased 2.5 bps on average last week as Greece and Ireland reversed their declines.
4. High Yield (YTM) Monitor – High Yield rates climbed slightly last week, closing at 7.95 on Friday.
5. Leveraged Loan Index Monitor – The leveraged loan index rose 0.4 points last week, closing at its YTD high.
6. TED Spread Monitor – Last week the TED spread rose, closing at 16.9 bps.
7. Journal of Commerce Commodity Price Index – Last week, the index fell 1.3 points, closing at 18.1.
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.
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.
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.
Joshua Steiner, CFA