The weekly facts courtesy of prudent bear.
Worthy of note: decline in commercial paper; decline in money market funds; Treasury yields fell slightly throughout the curve; bank credit rose a tiny smidgen; mortgage rates down.
What does it mean? Credit unfreezing continues, but slowly. Probably a bit of a stock market rally this week, nothing spectacular. Sideways, probably. A trader's market.
Here you go:
Yet another wild one. For the week, the Dow gained 0.8% (down 17.1% y-t-d), and the S&P500 rallied 1.6% (down 14.9%). The Morgan Stanley Cyclicals surged 6.7% (down 25.3%) and the Transports 4.0% (down 28.8%). The Utilities jumped 8.1% (down 13.3%), and the Morgan Stanley Consumer index increased 3.0% (down 12.4%). The S&P400 Mid-Caps rallied 1.7% (down 13.7%), and the Russell 2000 small caps gained 1.8% (down 19.9%). Tech continues to outperform. The Nasdaq100 increased 1.6% (down 2.0%), and the Morgan Stanley High Tech index jumped 3.8% (up 4.2%). The InteractiveWeek Internet Index gained 3.4% (up 6.6%), while the Semiconductors slipped 0.6% (up 3.1%). The Biotechs rose 3.5% (down 3.6%). The Broker/Dealers added 0.6% (down 7.2%), and the Banks rallied 1.8% (down 41.2%). With Bullion surging $23, the HUI Gold index surged 13.6% (up 8%).
One-month Treasury bill rates ended the week at 8 bps, and three-month bills were at 21 bps. Two-year government yields declined 9 bps to 0.84%. Five year T-note yields sank 23 bps to 1.60%. Ten-year yields dropped 24 bps to 2.65%. The long-bond was not as thrilled with the Fed, with yields slipping only 3 bps to 3.71%. The implied yield on 3-month December ’09 Eurodollars fell 19 bps to 1.395%. Benchmark Fannie MBS yields fell 22 bps to 3.94%. The spread between benchmark MBS and 10-year T-notes widened 2 to 129 bps. Agency 10-yr debt spreads widened 2 to 80 bps. The 2-year dollar swap spread declined 6 to 63.75 bps; the 10-year dollar swap spread increased 8.5 to 31.75 bps, and the 30-year swap spread declined 5.5 to negative 28 bps. Corporate bond spreads narrowed further. An index of investment grade bond spreads narrowed 8 to 261 bps, and an index of junk spreads narrowed 16 to 1,252 bps. GE Capital Credit default swap prices fell below 700 bps.
It was a another large week for corporate debt sales. Investment grade issuance included Pfizer $13.5bn, State Street Bank & Trust $2.45 TN, UPS $2.0bn, Smith International $1.0bn, Duke Energy $900 million, Progress Energy $750 million, Southern Cal Edison $750 million, Marsh & McLennan $400 million, John Hopkins $400 million, and Peco Energy $250 million.
Junk issuers included Barrick Gold $750 million.
International debt issues this week included Societe Financement (SFEF) $4.0bn, BHP $3.25bn, Shell $2.5bn, Panama $1.47bn, Swedish Housing Finance $1.1 TN, and Posco $700 million.
U.K. 10-year gilt yields rose 8 bps to 3.03%, while German bund yields dropped 9 bps to 2.97%. The German DAX equities index increased 2.9% (down 15.4%). Japanese 10-year "JGB" yields fell 5 bps to 1.26%. The Nikkei 225 surged 10.4% (down 10.3%). Emerging markets rallied. Brazil’s benchmark dollar bond yields sank 43 bps to 6.56%. Brazil’s Bovespa equities index gained 2.7% (up 6.7% y-t-d). The Mexican Bolsa rallied 2.6% (down 13.5% y-t-d). Mexico’s 10-year $ yields dropped 31 bps to 6.19%. Russia’s RTS equities index jumped 6.8% (up 10.3%). India’s Sensex equities index gained 2.4% (down 7.1%). China’s Shanghai Exchange surged 7.2% (up 25.3%).
Freddie Mac 30-year fixed mortgage rates declined 5 bps to 4.98% (down 89bps y-o-y). Fifteen-year fixed rates dipped 3 bps to 4.61% (down 66bps y-o-y). One-year ARMs jumped 11 bps to 4.91% (down 24bps y-o-y). Bankrate's survey of jumbo mortgage borrowing costs had 30-yr fixed jumbo rates down a notable 45 bps this week to 6.47% (down 65bps y-o-y).
Federal Reserve Credit inflated $164bn last week to an 8-wk high $2.041 TN. Fed Credit has dropped $205bn y-t-d, although it expanded $1.163 TN over the past 52 weeks. Elsewhere, Fed Foreign Holdings of Treasury, Agency Debt last week (ended 3/18) dipped $1.2bn to $2.590 TN. "Custody holdings" have been expanding at a 13.9% rate y-t-d, and were up $422bn over the past year, or 19.4%.
Bank Credit added $1.7bn to $9.810 TN (week of 3/11). Bank Credit rose $318bn year-over-year, or 3.3%. Bank Credit increased $418bn over the past 27 weeks. For the week, Securities Credit increased $3.5bn. Loans & Leases slipped $1.8bn to $7.139 TN (52-wk gain of $221bn, or 3.2%). C&I loans increased $1.6bn, with one-year growth of 5.0%. Real Estate loans jumped $16.1bn (up 5.7% y-o-y). Consumer loans added $2.9bn, while Securities loans dropped $24.2bn. Other loans increased $1.8bn.
M2 (narrow) "money" supply surged $39.8bn to a record $8.343 TN (week of 3/9). Narrow "money" has now inflated at an 18% rate over the past 25 weeks and $766bn over the past year, or 10.1%. For the week, Currency increased $2.5bn, and Demand & Checkable Deposits rose $13.3bn. Savings Deposits jumped $23bn, while Small Denominated Deposits slipped $2.2bn. Retail Money Funds increased $3.3bn.
Total Money Market Fund assets (from Invest Co Inst) dropped $42.9bn to an 11-wk low $3.863 TN. The 52-wk expansion was reduced to $396bn, or 11.4% annualized. Money Funds have expanded at a 4.1% rate y-t-d.
Asset-Backed Securities (ABS) issuance jumped to almost $10bn. Year-to-date total US ABS issuance of $16.5bn (tallied by JPMorgan's Christopher Flanagan) is a fraction of the $42.8bn for comparable 2008. There has been no home equity ABS issuance in months.
Total Commercial Paper outstanding declined $7.5bn this past week to $1.477 TN. CP has declined $205bn y-t-d (58% annualized) and $354bn over the past year (19.3%). Asset-backed CP sank $17.4bn last week to $700bn, with a 52-wk drop of $105bn (13%).
International reserve assets (excluding gold) - as accumulated by Bloomberg’s Alex Tanzi – were up $190bn y-o-y, or 2.9%, to $6.634 TN. Reserves have declined $313bn over the past 22 weeks. |
