The weekly facts, thanks to prudent bear. Note the long bond's yield, the increase in asset backed stuff and commercial paper figures:
prudentbear.com
For the week, the S&P500 slipped 0.4% (down 4.1% y-t-d), and the Dow declined 0.7% (down 8.0%). Other sectors were much stronger. The Morgan Stanley Cyclicals surged 7.0% (up 8.4%), and the S&P Homebuilding index gained 4.6% (up 31.9%). The Morgan Stanley Retail index jumped 3.9%, increasing 2009 gains to 31.2%. The Transports rose 1.4% (down 11.3%). The Morgan Stanley Consumer index fell 1.6% (down 4.8%), and the Utilities declined 2.1% (down 14.2%). The S&P 400 Mid-Cap (up 2.2%) and small cap Russell 2000 (down 4.1%) indexes were both about unchanged. The Nasdaq100 gained 1.4% (up 13.3%), and the Morgan Stanley High Tech index jumped 3.4% (up 23.7%). The Semiconductors declined 0.5% (up 19.6%), while the
InteractiveWeek Internet index rose another 2.3% (up 30.7%). The Biotechs sank 3.3% (down 4.6%). The Broker/Dealers dipped 0.4% (up 19.6%), and the Banks were hit for 7.1% (down 22.0%). While Bullion was little changed, the volatile HUI Gold index rallied 12.9% (up 2.8%).
One-month Treasury bill rates ended the week at 8 bps, and three-month bills closed at 12 bps. Two-year government yields declined 2 bps to 0.94%. Five year T-note yields rose 5 bps to 1.93%. Ten-year yields gained 5 bps to 2.96%. The long-bond saw yields jump 8 bps to a 5-month high 3.88%. The implied yield on 3-month December ’09 Eurodollars fell 5.5 bps to 1.325%. Benchmark Fannie MBS yields dropped 8 bps to 3.97%. The spread between benchmark MBS and 10-year T-notes narrowed 13 to 98 bps. Agency 10-yr debt spreads tightened 8 to 48 bps. The 2-year dollar swap spread increased 1.25 to 61.5 bps; the 10-year dollar swap spread declined 2 to 15 bps; and the 30-year swap spread declined 4.25 to negative 36.5 bps. Corporate bond spreads ground tighter. An index of investment grade bond spreads was one tighter to 236 bps, and an index of junk spreads tightened 23 to 1,084 bps.
Corporate issuance slowed this week. Investment grade issuers included Stanford $1.0bn, and Toledo Edison $300 million.
Junk issuers included Georgia-Pacific $750 million, Lennar $400 million, and Digitalglobe $355 million.
I saw no convert issuance this week.
International dollar debt issuers included Swedbank $1.4bn and Export Development Bank Canada $1.0bn.
U.K. 10-year gilt yields jumped 13 bps to 3.48%, and German bund yields rose 8 bps to 3.19%. The German DAX equities index was little changed (down 2.8%). Japanese 10-year "JGB" yields were down 2 bps to 1.42%. The Nikkei 225 gave back 2.2% (down 1.7%). The emerging markets were mixed. Brazil’s benchmark dollar bond yields rose 5 bps to 6.37%. Brazil’s Bovespa equities index gained 1.6% (up 24.6% y-t-d). The Mexican Bolsa rallied 1.6% (up 0.9% y-t-d). Mexico’s 10-year $ yields jumped 25 bps to 6.13%. Russia’s RTS equities index dipped 0.5% (up 31.5%). India’s Sensex equities index gained 2.8% (up 17.4%). China’s Shanghai Exchange slipped 2.2% (up 34.5%).
Freddie Mac 30-year fixed mortgage rates declined 2 bps to 4.80% (down 123bps y-o-y). Fifteen-year fixed rates were unchanged at 4.48% (down 114bps y-o-y). One-year ARMs declined 3 bps to 4.82% (down 47bps y-o-y). Bankrate's survey of jumbo mortgage borrowing costs had 30-yr fixed jumbo rates down another 5 bps to 6.28% (down 89 bps y-o-y).
Federal Reserve Credit surged $70.3bn last week to $2.169 TN (high since the first week of January). Fed Credit has dropped $77bn y-t-d, although it expanded $1.300 TN over the past 52 weeks (150%). Elsewhere, Fed Foreign Holdings of Treasury, Agency Debt last week (ended 4/22) rose $6.5bn to a record $2.648 TN. "Custody holdings" have been expanding at a 16.9% rate y-t-d, and were up $395bn over the past year, or 17.5%.
Bank Credit gained $6.0bn to $9.711 TN (week of 4/15). Bank Credit was up $299bn year-over-year, or 3.2%. Bank Credit expanded $300bn over the past 32 weeks, while it was down $202bn y-t-d (7.1% annualized). For the week, Securities Credit rose $3.7bn. Loans & Leases increased $2.3bn to $7.037 TN (52-wk gain of $157bn, or 2.3%). C&I loans fell $5.8bn, with one-year growth of 1.9%. Real Estate loans dropped $12.9bn (up 4.5% y-o-y). Consumer loans slipped $0.5bn, while Securities loans jumped $18.1bn. Other loans gained $3.5bn.
M2 (narrow) "money" supply added $1.6bn to $8.249 TN (week of 4/13). Narrow "money" has expanded at a 2.2% rate y-t-d and 8.3% over the past year. For the week, Currency added $1.4bn, while Demand & Checkable Deposits dropped $69.5bn. Savings Deposits jumped $82.9bn, while Small Denominated Deposits fell $5.5bn. Retail Money Funds declined $7.7bn.
Total Money Market Fund assets (from Invest Co Inst) declined $11.4bn to $3.806 TN (low since December). Money fund assets have declined $24bn y-t-d, or 2.0% annualized. The 52-wk expansion was reduced to $323bn, or 9.3%.
Total Commercial Paper outstanding slipped $1.7bn this past week to $1.472 TN. CP has declined $209bn y-t-d (41% annualized) and $314bn over the past year (17.6%). Asset-backed CP dropped $9.9bn to $671bn (low since 12/04), with a 52-wk drop of $1180bn (15%).
More signs of liquidity returning to the ABS market. Year-to-date total US ABS issuance of $25.7bn (tallied by JPMorgan's Christopher Flanagan) is approaching half of the $62.7bn from comparable 2008. U.S. CDO issuance of $20.9bn compares to last year's y-t-d $13.0bn.
International reserve assets (excluding gold) - as accumulated by Bloomberg’s Alex Tanzi – were little changed y-o-y to $6.663 TN. Reserves have declined $284bn over the past 27 weeks. |
