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    MARKET EDGES

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Financial Risk Monitor Summary (Across 3 Durations):

  • Short-term (WoW): Negative / 1 of 10 improved / 5 of 10 worsened / 4 of 10 unchanged
  • Intermediate-term (MoM): Positive / 3 of 10 improved / 4 of 10 worsened / 3 of 10 unchanged
  • Long-term (150 DMA): Negative / 0 of 10 improved / 7 of 10 worsened / 2 of 10 unchanged / 1 of 10 n/a

WEEKLY FINANCIALS RISK MONITOR: NEGATIVE BREADTH WORSENS ACROSS SHORT AND LONG TERM DURATIONS - summary

1. US Financials CDS Monitor – Swaps were negative in the US last week, widening for 27 of the 29 reference entities. 

Tightened the most/widened the least vs last week: SLM, PMI, RDN

Widened the most vs last week: C, ACE, TRV

Tightened the most vs last month: AXP, MET, CB

Widened the most vs last month: COF, PMI, MBI

WEEKLY FINANCIALS RISK MONITOR: NEGATIVE BREADTH WORSENS ACROSS SHORT AND LONG TERM DURATIONS - us cds

2. European Financials CDS Monitor – In Europe, the pattern was the same for bank swaps.  Swaps widened for 36 of the 39 reference entities and tightened for only 3.    

WEEKLY FINANCIALS RISK MONITOR: NEGATIVE BREADTH WORSENS ACROSS SHORT AND LONG TERM DURATIONS - euro cds

3. Sovereign CDS – Sovereign CDS decreased 7 bps on average last week as swaps eased off their highs on the news that Ireland is in talks with the EU.   

 

WEEKLY FINANCIALS RISK MONITOR: NEGATIVE BREADTH WORSENS ACROSS SHORT AND LONG TERM DURATIONS - sov cds

4. High Yield (YTM) Monitor – High Yield rates rose sharply last week, closing at 8.06 on Friday.  

WEEKLY FINANCIALS RISK MONITOR: NEGATIVE BREADTH WORSENS ACROSS SHORT AND LONG TERM DURATIONS - high yield

5. Leveraged Loan Index Monitor – After weeks of putting in new YTD highs, the leveraged loan index failed to rise last week.  The series closed the week down a point from its level last Friday. 

WEEKLY FINANCIALS RISK MONITOR: NEGATIVE BREADTH WORSENS ACROSS SHORT AND LONG TERM DURATIONS - lev loan

6. TED Spread Monitor – Last week the TED spread fell slightly, closing at 16.0 bps.

WEEKLY FINANCIALS RISK MONITOR: NEGATIVE BREADTH WORSENS ACROSS SHORT AND LONG TERM DURATIONS - ted spread

7. Journal of Commerce Commodity Price Index – Last week, the index rose 5.1 points, closing at 26.8.

WEEKLY FINANCIALS RISK MONITOR: NEGATIVE BREADTH WORSENS ACROSS SHORT AND LONG TERM DURATIONS - JOC

8. Greek Bond Yields Monitor – We chart the 10-year yield on Greek bonds.  Last week yields arrested their climb, ending the week 7 bps below last week’s close.

WEEKLY FINANCIALS RISK MONITOR: NEGATIVE BREADTH WORSENS ACROSS SHORT AND LONG TERM DURATIONS - 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.  Pricing data was not available for Friday.  As of Wednesday, spreads rose sharply to close at 166 bps.     

WEEKLY FINANCIALS RISK MONITOR: NEGATIVE BREADTH WORSENS ACROSS SHORT AND LONG TERM DURATIONS - 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 18 points, closing at 231 versus 250 the prior week.  

WEEKLY FINANCIALS RISK MONITOR: NEGATIVE BREADTH WORSENS ACROSS SHORT AND LONG TERM DURATIONS - baltic dry

Joshua Steiner, CFA

Allison Kaptur