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
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
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.
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.
4. High Yield (YTM) Monitor – High Yield rates rose sharply last week, closing at 8.06 on Friday.
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.
6. TED Spread Monitor – Last week the TED spread fell slightly, closing at 16.0 bps.
7. Journal of Commerce Commodity Price Index – Last week, the index rose 5.1 points, closing at 26.8.
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.
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.
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.
Joshua Steiner, CFA
Allison Kaptur