WEEKLY RISK MONITOR FOR FINANCIALS - MORE POSITIVE THAN NEGATIVE

Last week, 4 of the 8 risk measures registered positive readings on a week-over-week basis, with one negative and three netural/mixed.  A summary table is provided below.

 

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

 

WEEKLY RISK MONITOR FOR FINANCIALS - MORE POSITIVE THAN NEGATIVE - summary

 

1. Financials CDS Monitor – Swaps were mixed last week.  Swaps tightened for 19 of the 29 reference entities and widened for 10.    Conclusion: Mixed.

 

Tightened the most vs last week: SLM, MBI, AIG

Widened the most vs last week: LNC, MET, HIG

Tightened the most vs last month: JPM, UNM, XL

Widened the most vs last month: WFC, AGO, MMC

 

WEEKLY RISK MONITOR FOR FINANCIALS - MORE POSITIVE THAN NEGATIVE - us cds

 

2. European CDS Monitor – In Europe, CDS was mostly positive.  Swaps tightened for 36 of the 39 reference entities tightened and widened for only 3.   Conclusion: Positive.

 

Widened the most/tightened the least vs last week:  Bank of Ireland, Banco Santander, Banco Pastor

Tightened the most vs last week: Soc. Gen., Commerzbank, National Bank of Greece

Widened the most vs last month: Bank of Ireland, Assicurazioni, DnB NOR

Tightened the most vs last month: Deutsche Bank, Alpha Bank, HSBC

 

WEEKLY RISK MONITOR FOR FINANCIALS - MORE POSITIVE THAN NEGATIVE - euro cds

 

3. High Yield (YTM) Monitor  High Yield rates fell 4 bps last week, ending at 8.46 on Wednesday, the lastest day for which pricing was available. Conclusion: Positive.

 

WEEKLY RISK MONITOR FOR FINANCIALS - MORE POSITIVE THAN NEGATIVE - high yield

 

4. Leveraged Loan Index Monitor – The leveraged loan index rose 6 points last week.  Conclusion: Positive.

 

WEEKLY RISK MONITOR FOR FINANCIALS - MORE POSITIVE THAN NEGATIVE - lev loan

 

5. TED Spread Monitor – Last week the TED spread fell slightly, coming down by two basis points. Conclusion: Positive.

 

WEEKLY RISK MONITOR FOR FINANCIALS - MORE POSITIVE THAN NEGATIVE - ted spread

 

6. Journal of Commerce Commodity Price Index – Last week, the index fell just under 1 point, closing at 13.07 on Wednesday, the latest day for which pricing was available. Conclusion: Neutral.

 

WEEKLY RISK MONITOR FOR FINANCIALS - MORE POSITIVE THAN NEGATIVE - joc

 

7. Greek Bond Yields Monitor – We chart the 10-year yield on Greek bonds.  Last week yields fell 17 bps, ending the week at 1156 bps versus 1173 bps the prior week.  Conclusion: Neutral.

 

WEEKLY RISK MONITOR FOR FINANCIALS - MORE POSITIVE THAN NEGATIVE - greek bond

 

8. Markit MCDX Index Monitor – Spreads were up slightly last week, closing at 227 versus 218 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 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. Conclusion: Negative.

 

WEEKLY RISK MONITOR FOR FINANCIALS - MORE POSITIVE THAN NEGATIVE - markit

 

Joshua Steiner, CFA

 

Allison Kaptur


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