WEEKLY RISK MONITOR FOR FINANCIALS - ANOTHER POSITIVE WEEK

Last week, 7 of the 8 risk measures registered positive readings on a week-over-week basis and one was negative. This brings to three the string of overall positive sequential weeks.

 

Our risk monitor looks at the following metrics weekly:

1. CDS for all available US Financials (29 companies)

2. CDS for large European Financials (39 companies)

3. High Yield

4. Leveraged Loans

5. TED Spread

6. Journal of Commerce Commodity Price Index

7. Greek Bond Spreads

8. Markit MCDX

 

1. US Financials CDS Monitor – Swaps were mostly positive last week.  Swaps for 24 of the 29 CDS reference entities tightened, while 5 widened, with an average change of -4.3%.   

Conclusion: Positive.

 

Tightened the most vs last week: LNC, MET, PRU

Widened the most vs last week: AXP, PMI, RDN

Tightened the most vs last month: MBI, MET, AGO

Widened the most vs last month: TRV, ALL, AON

 

WEEKLY RISK MONITOR FOR FINANCIALS - ANOTHER POSITIVE WEEK - cds us

 

2. European CDS Monitor – In Europe, swaps for 29 of the 39 reference entities tightened and 10 widened, with an average tightening of 2.2%.    

Conclusion: Positive.

 

Tightened the most vs last week: Erste Group, Natixis, Svenska Handelsbanken

Widened the most vs last week:  Hannover Rueckversichrungs, Intesa Saopaolo, Aviva

Tightened the most vs last month: Banco Espirito Santo, Alpha Bank, EFG Eurobank Ergasias

Widened the most/tightened the least vs last month: Intesa Saopaolo, Hannover Rueckversichrungs, Caja de Ahorros del Mediterraneo

 

WEEKLY RISK MONITOR FOR FINANCIALS - ANOTHER POSITIVE WEEK - cds europe

 

3. High Yield (YTM) Monitor – High Yield rates fell 14 bps last week. Rates closed the week at 8.30% down from 8.44% the week prior.

 Conclusion: Positive.

 

WEEKLY RISK MONITOR FOR FINANCIALS - ANOTHER POSITIVE WEEK - high yield

 

4. Leveraged Loan Index Monitor – The leveraged loan index rose 4 points last week, closing at 1493 versus 1489 the week prior. This improvement was a deceleration from the steady rise in July.  

Conclusion: Positive.

 

WEEKLY RISK MONITOR FOR FINANCIALS - ANOTHER POSITIVE WEEK - leveraged loan

 

5. TED Spread Monitor – Last week the TED spread fell 4 bps, closing at 27 bps versus 31 bps the prior week. Conclusion: Positive.

 

WEEKLY RISK MONITOR FOR FINANCIALS - ANOTHER POSITIVE WEEK - ted spread

 

6. Journal of Commerce Commodity Price Index – Last week the index rose 5.49 points, closing at 18.11 versus the prior week’s close at 12.62.   

Conclusion: Positive.

 

WEEKLY RISK MONITOR FOR FINANCIALS - ANOTHER POSITIVE WEEK - joc cpi

 

7. Greek Bond Yields Monitor – We chart the 10-year yield on Greek bonds.  Last week yields fell 15 bps, ending the week at 1015 bps versus 1030 bps the prior week.

Conclusion: Positive.

 

WEEKLY RISK MONITOR FOR FINANCIALS - ANOTHER POSITIVE WEEK - greek bonds

 

8. 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 rose very slightly last week, closing at 206 versus 204 the prior week.   

Conclusion: Negative.

 

WEEKLY RISK MONITOR FOR FINANCIALS - ANOTHER POSITIVE WEEK - markit

 

Joshua Steiner, CFA

 

Allison Kaptur


Cartoon of the Day: 'Biggest Tax Cut Ever'

President Donald Trump's economic team unveiled what he called last week, "the biggest tax cut we’ve ever had.” Before you get too excited about that hang on a sec. "Trump Tax Reform ain’t gettin’ done anytime soon," Hedgeye CEO Keith McCullough wrote in today's Early Look.

read more

Neurofinance: The Psychology Behind When To Sell A Bull Market

"Most momentum investors stay invested too long, under-reacting and holding tight after truly bad news finally arrives to break the trend," writes MarketPsych's Richard Peterson.

read more

Energy Stocks: Time to Buy the Dip? | $XLE

What the heck is happening in the Energy sector (XLE)? Energy stocks have trailed the S&P 500 by a whopping 15% in 2017. Before you buy the dip, here's what you need to know.

read more

Cartoon of the Day: Hard-Headed Bears

How's this for "hard data"? So far, 107 of 497 S&P 500 companies have reported aggregate sales and earnings growth of 4.4% and 13.2% respectively.

read more

Premium insight

McCullough [Uncensored]: When People Say ‘Everyone is Bullish, That’s Bulls@#t’

“You wonder why the performance of the hedge fund indices is so horrendous,” says Hedgeye CEO Keith McCullough, “they’re all doing the same thing, after the market moves. You shouldn’t be paid for that.”

read more

SECTOR SPOTLIGHT Replay | Healthcare Analyst Tom Tobin Today at 2:30PM ET

Tune in to this edition of Sector Spotlight with Healthcare analyst Tom Tobin and Healthcare Policy analyst Emily Evans.

read more

Ouchy!! Wall Street Consensus Hit By Epic Short Squeeze

In the latest example of what not to do with your portfolio, we have Wall Street consensus positioning...

read more

Cartoon of the Day: Bulls Leading the People

Investors rejoiced as centrist Emmanuel Macron edged out far-right Marine Le Pen in France's election day voting. European equities were up as much as 4.7% on the news.

read more

McCullough: ‘This Crazy Stat Drives Stock Market Bears Nuts’

If you’re short the stock market today, and your boss asks why is the Nasdaq at an all-time high, here’s the only honest answer: So far, Nasdaq company earnings are up 46% year-over-year.

read more

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