Financial Risk Monitor Summary (Across 3 Durations):
- Short-term (WoW): Negative / 2 of 10 improved / 5 of 10 unchanged / 3 of 10 worsened
- Intermediate-term (MoM): Positive / 5 of 10 improved / 3 of 10 unchanged / 2 of 10 worsened
- Long-term (150 DMA): Negative / 1 of 10 improved / 1 of 10 unchanged / 7 of 10 improved / 1 of 10 n/a
1. US Financials CDS Monitor – Swaps were split last week, tightening for 19 reference entities and widening for 10.
Tightened the most vs last week: COF, ACE, TRV
Widened the most vs last week: PMI, MTG, GNW
Tightened the most vs last month: ACE, ALL, TRV
Widened the most vs last month: BAC, WFC, COF
2. European Financials CDS Monitor – In Europe, swaps were similarly mixed. Swaps tightened for 23 of the 39 reference entities tightened and widened for 16, but the average level rose 13 bps, largely driven by increases in Greek bank CDS levels.
Tightened the most vs last week: Commerzbank, Banco Popolare, Svenska Handelsbanken
Widened the most vs last week: Greek banks: Alpha Bank, EFG Eurobank Ergasias, National Bank of Greece
Tightened the most vs last month: Erste Bank, National Bank of Greece, Bakinter
Widened the most vs last month: Alpha Bank, Bank of Ireland, Swedbank
3. Sovereign CDS – Sovereign CDS increased 36 bps on average last week as Greece, Ireland and Portugal continued to surge higher.
4. High Yield (YTM) Monitor – High Yield rates fell slightly last week, closing at 7.85 on Friday.
5. Leveraged Loan Index Monitor – The leveraged loan index rose 7.3 points last week, closing at a new YTD high.
6. TED Spread Monitor – Last week the TED spread rose, closing at 17.5 bps.
7. Journal of Commerce Commodity Price Index – Last week, the index fell 1.6 points, closing at 16.5.
8. Greek Bond Yields Monitor – We chart the 10-year yield on Greek bonds. Last week yields continued to climb sharply, rising 120 bps week over week, and are now rising on a month-over-month basis as well.
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 to their lowest level for at least four months before rebounding slightly to close at 189.
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 five points, closing at 268 versus 273 the prior week.
Joshua Steiner, CFA