WEEKLY FINANCIALS RISK MONITOR: STILL NEGATIVE ACROSS ALL THREE DURATIONS

Financial Risk Monitor Summary (Across 3 Durations):

  • Short-term (WoW): Negative / 0 of 10 improved / 5 of 10 worsened / 5 of 10 unchanged
  • Intermediate-term (MoM): Positive / 1 of 10 improved / 7 of 10 worsened / 1 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: STILL NEGATIVE ACROSS ALL THREE DURATIONS - summary

 

1. US Financials CDS Monitor – Swaps increased across domestic financials last week.  Only PMI saw swaps come in; spreads increased for the other 28 reference entities.  

Tightened the most vs last week/widened the least: PMI, MTG, JPM

Widened the most vs last week: GS, COF, MBI

Tightened the most vs last month: SLM, MTG, RDN

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

 

WEEKLY FINANCIALS RISK MONITOR: STILL NEGATIVE ACROSS ALL THREE DURATIONS - us cds

 

2. European Financials CDS Monitor – In Europe, banks swaps blew out ahead of the Irish bailout.  Swaps increased for all 39 reference entities.  

 

WEEKLY FINANCIALS RISK MONITOR: STILL NEGATIVE ACROSS ALL THREE DURATIONS - europe cds

 

3. Sovereign CDS – Sovereign CDS rose 47 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: STILL NEGATIVE ACROSS ALL THREE DURATIONS - sov cds

 

4. High Yield (YTM) Monitor – High Yield rates rose last week, closing at 8.44 on Friday.  

 

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

 

5. Leveraged Loan Index Monitor – The leveraged loan index put in its third consecutive down week, falling 2 points versus the previous Friday.   

 

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

 

6. TED Spread Monitor – Last week the TED spread fell slightly, closing at 14.2 bps.

 

WEEKLY FINANCIALS RISK MONITOR: STILL NEGATIVE ACROSS ALL THREE DURATIONS - ted spread

 

7. Journal of Commerce Commodity Price Index – Last week, the index fell 4.5 points, closing at 14.4 on Wednesday, the last day for which pricing was available.

 

WEEKLY FINANCIALS RISK MONITOR: STILL NEGATIVE ACROSS ALL THREE DURATIONS - joc

 

8. Greek Bond Yields Monitor – We chart the 10-year yield on Greek bonds.  Last week yields continued to rise, ending the week 21 bps above last week’s close.

 

WEEKLY FINANCIALS RISK MONITOR: STILL 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 181 bps.     

 

WEEKLY FINANCIALS RISK MONITOR: STILL NEGATIVE ACROSS ALL THREE 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 rose slightly, closing at 217 versus 215 the prior week.  

 

WEEKLY FINANCIALS RISK MONITOR: STILL NEGATIVE ACROSS ALL THREE DURATIONS - Baltic dry

 

11. XLF Macro Quantitative Setup – Our Macro team sees the setup in the XLF as follows: 1.9% upside to TRADE resistance, 0.7% downside to TRADE support. 

 

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

 

 

Joshua Steiner, CFA

 

Allison Kaptur


Who's Right? The Stock Market or the Bond Market?

"As I see it, bonds look like they have further to fall, while stocks look tenuous at these levels," writes Peter Atwater, founder of Financial Insyghts.

read more

Poll of the Day: If You Could Have Lunch with One Fed Chair...

What do you think? Cast your vote. Let us know.

read more

Are Millennials Actually Lazy, Narcissists? An Interview with Neil Howe (Part 2)

An interview with Neil Howe on why Boomers and Xers get it all wrong.

read more

6 Charts: The French Election, Nasdaq All-Time Highs & An Earnings Scorecard

We've been telling investors for some time that global growth is picking up, get long stocks.

read more

Another French Revolution?

"Don't be complacent," writes Hedgeye Managing Director Neil Howe. "Tectonic shifts are underway in France. Is there the prospect of the new Sixth Republic? C'est vraiment possible."

read more

Cartoon of the Day: The Trend is Your Friend

"All of the key trending macro data suggests the U.S. economy is accelerating," Hedgeye CEO Keith McCullough says.

read more

A Sneak Peek At Hedgeye's 2017 GDP Estimates

Here's an inside look at our GDP estimates versus Wall Street consensus.

read more

Cartoon of the Day: Green Thumb

So far, 64 of 498 companies in the S&P 500 have reported aggregate sales and earnings growth of 6.1% and 16.8% respectively.

read more

Europe's Battles Against Apple, Google, Innovation & Jobs

"“I am very concerned the E.U. maintains a battle against the American giants while doing everything possible to sustain so-called national champions," writes economist Daniel Lacalle. "Attacking innovation doesn’t create jobs.”

read more

An Open Letter to Pandora Management...

"Please stop leaking information to the press," writes Hedgeye Internet & Media analyst Hesham Shaaban. "You are getting in your own way, and blowing up your shareholders in the process."

read more

A 'Toxic Cocktail' Brewing for A Best Idea Short

The first quarter earnings pre-announcement today is not the end of the story for Mednax (MD). Rising labor costs and slowing volume is a toxic cocktail...

read more

Energy Stocks: Time to Buy? Here's What You Need to Know

If you're heavily-invested in Energy stocks it's been a heck of a year. Energy is the worst-performing sector in the S&P 500 year-to-date and value investors are now hunting for bargains in the oil patch. Before you buy, here's what you need to know.

read more