prev

Video | How to Play Inflation

 

Hedgeye CEO Keith McCullough gives Fox Business' Maria Bartiromo, host of Opening Bell, his forecast for inflation.

Connect to Hedgeye.



Video | Food Prices on the Rise

 

Hedgeye CEO Keith McCullough weighs in on Chinese PMI and U.S. inflation on Fox Business' Opening Bell, hosted by Maria Bartiromo.

Connect to Hedgeye.


GET THE HEDGEYE MARKET BRIEF FREE

Enter your email address to receive our newsletter of 5 trending market topics. VIEW SAMPLE

By joining our email marketing list you agree to receive marketing emails from Hedgeye. You may unsubscribe at any time by clicking the unsubscribe link in one of the emails.

MONDAY MORNING RISK MONITOR: RUSSIA MOVING TO THE BACK OF THE STOVE

Takeaway: Investors seem to be taking the Russia/Ukraine dynamic in stride now as several risk measures are showing signs of stabilizing.

Russia Stabilizing

Russian fears continue moving toward the back burner as Europe and US bank default risk measures wane. Additional good news is coming from commodity prices, where for the second week in a row they're showing signs of cooling off. The only area of material deterioration week over week was in China's interbank systemic risk, where the Shifon index widened by 113 bps to 3.01%.

 

Financial Risk Monitor Summary

 • Short-term(WoW): Positive / 6 of 13 improved / 2 out of 13 worsened / 5 of 13 unchanged

 • Intermediate-term(WoW): Negative / 5 of 13 improved / 5 out of 13 worsened / 3 of 13 unchanged

 • Long-term(WoW): Positive / 5 of 13 improved / 3 out of 13 worsened / 5 of 13 unchanged

 

MONDAY MORNING RISK MONITOR: RUSSIA MOVING TO THE BACK OF THE STOVE - 15

 

1. U.S. Financial CDS -  Swaps tightened for 24 out of 27 domestic financial institutions. The global banks showed significant week-over-week improvement with the most change coming from BAC, C and MS - all better by 7 bps. The results of DFAST and expectations around CCAR were clearly quite low considering the modest response to a near across-the-boards disappointing result.

 

Tightened the most WoW: MBI, MET, BAC

Widened the most WoW: MTG, RDN, MMC

Tightened the most WoW: MBI, AGO, UNM

Widened the most/ tightened the least MoM: GS, AXP, ACE

 

MONDAY MORNING RISK MONITOR: RUSSIA MOVING TO THE BACK OF THE STOVE - 1

 

2. European Financial CDS - Swaps mostly tightened in Europe last week, as the banks took their cues from the sovereigns. Clearly the concerns over energy supply disruptions from Russia/Ukraine are shifting toward the back burner. Even Russia's Sberbank cooled off, rising just 1 bp week-over-week.

 

MONDAY MORNING RISK MONITOR: RUSSIA MOVING TO THE BACK OF THE STOVE - 2

 

3. Asian Financial CDS - Most of Asia widened last week as concerns around a general slowdown continue. All but two of the Asian banks we track were wider.

 

MONDAY MORNING RISK MONITOR: RUSSIA MOVING TO THE BACK OF THE STOVE - 17

 

4. Sovereign CDS – Sovereign swaps were generally tighter last week. Portugal, Italy and Spain were the big winners, tightening 21, 14 and 9 bps, respectively. Countries going the wrong way included Japan and France, both 1 bp higher. 

 

MONDAY MORNING RISK MONITOR: RUSSIA MOVING TO THE BACK OF THE STOVE - 18

 

MONDAY MORNING RISK MONITOR: RUSSIA MOVING TO THE BACK OF THE STOVE - 3

 

MONDAY MORNING RISK MONITOR: RUSSIA MOVING TO THE BACK OF THE STOVE - 4

 

5. High Yield (YTM) Monitor – High Yield rates fell 6.2 bps last week, ending the week at 5.74% versus 5.80% the prior week.

 

MONDAY MORNING RISK MONITOR: RUSSIA MOVING TO THE BACK OF THE STOVE - 5

 

6. Leveraged Loan Index Monitor – The Leveraged Loan Index rose 1.0 points last week, ending at 1,854.

 

MONDAY MORNING RISK MONITOR: RUSSIA MOVING TO THE BACK OF THE STOVE - 6

 

7. TED Spread Monitor – The TED spread fell 0.2 basis points last week, ending the week at 18.5 bps this week versus last week’s print of 18.69 bps.

 

MONDAY MORNING RISK MONITOR: RUSSIA MOVING TO THE BACK OF THE STOVE - 7

 

8. CRB Commodity Price Index – The CRB index fell -1.2%, ending the week at 299 versus 303 the prior week. As compared with the prior month, commodity prices have decreased -0.6% We generally regard changes in commodity prices on the margin as having meaningful consumption implications.

 

MONDAY MORNING RISK MONITOR: RUSSIA MOVING TO THE BACK OF THE STOVE - 8

 

9. Euribor-OIS Spread – The Euribor-OIS spread (the difference between the euro interbank lending rate and overnight indexed swaps) measures bank counterparty risk in the Eurozone. The OIS is analogous to the effective Fed Funds rate in the United States.  Banks lending at the OIS do not swap principal, so counterparty risk in the OIS is minimal.  By contrast, the Euribor rate is the rate offered for unsecured interbank lending.  Thus, the spread between the two isolates counterparty risk. The Euribor-OIS spread tightened by 1 bps to 13 bps.

 

MONDAY MORNING RISK MONITOR: RUSSIA MOVING TO THE BACK OF THE STOVE - 9

 

10. Chinese Interbank Rate (Shifon Index) –  The Shifon Index rose 113 basis points last week, ending the week at 3.01% versus last week’s print of 1.88%. The Shifon Index measures banks’ overnight lending rates to one another, a gauge of systemic stress in the Chinese banking system.

 

MONDAY MORNING RISK MONITOR: RUSSIA MOVING TO THE BACK OF THE STOVE - 10

 

11. Markit MCDX Index Monitor – Last week spreads tightened -8 bps, ending the week at 67 bps versus 75 bps the prior week. 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 six 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. We track the 16-V1.

 

MONDAY MORNING RISK MONITOR: RUSSIA MOVING TO THE BACK OF THE STOVE - 11

 

12. Chinese Steel – Steel prices in China rose 0.3% last week, or 11 yuan/ton, to 3,265 yuan/ton. We use Chinese steel rebar prices to gauge Chinese construction activity, and, by extension, the health of the Chinese economy.

 

MONDAY MORNING RISK MONITOR: RUSSIA MOVING TO THE BACK OF THE STOVE - 12

 

13. 2-10 Spread – Last week the 2-10 spread was unchanged at 232 bps. We track the 2-10 spread as an indicator of bank margin pressure.

 

MONDAY MORNING RISK MONITOR: RUSSIA MOVING TO THE BACK OF THE STOVE - 13

 

14. XLF Macro Quantitative Setup – Our Macro team’s quantitative setup in the XLF shows 1.1% upside to TRADE resistance and 1.4% downside to TRADE support.

 

MONDAY MORNING RISK MONITOR: RUSSIA MOVING TO THE BACK OF THE STOVE - 14

 

Joshua Steiner, CFA

 

Jonathan Casteleyn, CFA, CMT

 


Poll of the Day: Lackluster Performance

Some are claiming the weather is to blame for the lackluster performance of many companies.  Others are saying it's a convenient excuse.

 


MACAU ON TRACK FOR 10% GROWTH

Daily table revenues averaged HK$996 million this past week in Macau, up 13% over the comparable period last week.  That brings month to date ADTR down to HK$1,045 million, up 8% over last year's.  Our full month GGR growth projection remains at +9-12%.  It seems as if hold is fairly normal thus far in March.  We would caution investors that YoY growth in April will likely fall in the low double digit range as well, assuming normal hold.

 

Market shares were fairly in line with recent trend except for Galaxy well above, and MPEL below.

 

MACAU ON TRACK FOR 10% GROWTH - m1

 

MACAU ON TRACK FOR 10% GROWTH - m2


real-time alerts

real edge in real-time

This indispensable trading tool is based on a risk management signaling process Hedgeye CEO Keith McCullough developed during his years as a hedge fund manager and continues to refine. Nearly every trading day, you’ll receive Keith’s latest signals - buy, sell, short or cover.

next