WEEKLY FINANCIALS RISK MONITOR: REMAINS NEGATIVE ACROSS ALL THREE DURATIONS

Financial Risk Monitor Summary (Across 3 Durations):

  • Short-term (WoW): Negative / 0 of 10 improved / 6 of 10 worsened / 4 of 10 unchanged
  • Intermediate-term (MoM): Positive / 2 of 10 improved / 5 of 10 worsened / 3 of 10 unchanged
  • Long-term (150 DMA): Negative / 0 of 10 improved / 6 of 10 worsened / 3 of 10 unchanged / 1 of 10 n/a

WEEKLY FINANCIALS RISK MONITOR: REMAINS NEGATIVE ACROSS ALL THREE DURATIONS - Summary

 

1. US Financials CDS Monitor – Swaps were mixed to negative in the US last week, widening for 23 of the 29 reference entities and tightening for 6. 

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

Widened the most vs last week: CB, TRV, MBI

Tightened the most vs last month: AXP, COF, SLM

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

 

WEEKLY FINANCIALS RISK MONITOR: REMAINS NEGATIVE ACROSS ALL THREE DURATIONS - US cds

 

2. European Financials CDS Monitor – In Europe, the pattern was more positive for bank swaps.  Swaps widened for 13 of the 39 reference entities and tightened for 26.    

 

WEEKLY FINANCIALS RISK MONITOR: REMAINS NEGATIVE ACROSS ALL THREE DURATIONS - Euro cds

 

3. Sovereign CDS – Sovereign CDS rose 7 bps on average last week.  Ireland and Portugal improved substantially, while Greece continued to worsen, pushing back above its August highs.   

 

WEEKLY FINANCIALS RISK MONITOR: REMAINS NEGATIVE ACROSS ALL THREE DURATIONS - Sov cds

 

4. High Yield (YTM) Monitor – High Yield rates rose sharply early last week, closing at 8.18 on Friday.  

 

WEEKLY FINANCIALS RISK MONITOR: REMAINS NEGATIVE ACROSS ALL THREE DURATIONS - high yield

 

5. Leveraged Loan Index Monitor – The leveraged loan index put in its second consecutive down week, falling 5 points versus the previous Friday.   

 

WEEKLY FINANCIALS RISK MONITOR: REMAINS NEGATIVE ACROSS ALL THREE DURATIONS - lev loan

 

6. TED Spread Monitor – Last week the TED spread fell slightly, closing at 15.5 bps.

 

WEEKLY FINANCIALS RISK MONITOR: REMAINS NEGATIVE ACROSS ALL THREE DURATIONS - ted spr

 

7. Journal of Commerce Commodity Price Index – Last week, the index fell 8 points, closing at 18.9.

 

WEEKLY FINANCIALS RISK MONITOR: REMAINS NEGATIVE ACROSS ALL THREE DURATIONS - JOC

 

8. Greek Bond Yields Monitor – We chart the 10-year yield on Greek bonds.  Last week yields held close to flat, ending the week 17 bps above last week’s close.

 

WEEKLY FINANCIALS RISK MONITOR: REMAINS NEGATIVE ACROSS ALL THREE 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.  Spreads closed the week at 182 bps.     

 

WEEKLY FINANCIALS RISK MONITOR: REMAINS NEGATIVE ACROSS ALL THREE DURATIONS - markit mcdx

 

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 16 points, closing at 215 versus 231 the prior week.  

 

WEEKLY FINANCIALS RISK MONITOR: REMAINS NEGATIVE ACROSS ALL THREE DURATIONS - Baltic Dry

 

11. XLF Macro Quantitative Setup – Our Macro team sees the setup in the XLF as follows: 0.8% upside to TRADE resistance, 0.3% downside to TRADE support, 2.25% downside to TREND support. 

 

WEEKLY FINANCIALS RISK MONITOR: REMAINS NEGATIVE ACROSS ALL THREE DURATIONS - XLF

 

 

Joshua Steiner, CFA

 

Allison Kaptur


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