For the week, the Dow declined 0.9%, and the S&P500 dipped 0.3%. Yet the Transports gained 1.0% to a new record high, increasing y-t-d gains to 13.1%. The Morgan Stanley Cyclical index added 0.2% to a new high (up 8.7% y-t-d), and the Utilities traded up 1.3% to a record high (up 5.0% y-t-d). The Morgan Stanley Consumer index fell 0.8%. The broader market was stronger. The small cap Russell 2000 and S&P400 Mid-Cap indices gained 1.0% - both to all-time highs. The NASDAQ 100 rose 1%, and the Morgan Stanley High Tech index increased 0.5%. The Semiconductors jumped 3.1%. The Street.com Internet index gained 0.5%, and the NASDAQ Telecommunications index rose 0.8%. The Biotechs dipped 0.2%. The Broker/Dealers fell 1.2%, and the Banks declined 0.8%. With bullion up $13.40 to a 9-month high, the HUI Gold index gained 2.9%.
Two-year government yields declined 2 bps to 4.80%. Five-year yields fell 2 bps to 4.66%, and 10-year Treasury yields dipped one bp to 4.67%. Long-bond yields declined one bp to 4.78%. The 2yr/10yr spread ended the week inverted 13 bps. The implied yield on 3-month December ?07 Eurodollars increased 1.5 bps to 5.06%. Benchmark Fannie Mae MBS yields fell 2 bps to 5.75%, this week performing about in line with Treasuries. The spread on Fannie?s 5 1/4% 2016 note was unchanged at 33, and the spread on Freddie?s 5 1/2% 2016 note was unchanged at 32. The 10-year dollar swap spread increased one to 52.25. Corporate bonds traded with Treasuries, although junk spreads widened a couple basis points this week.
Investment grade issuers included Hewlett-Packard $2.0 billion.
February 23 - Financial Times (David Oakley): "Company default rates among junk-rated debt have fallen to their lowest level in 26 years? Default rates among speculative-grade issues are an important indicator of the health of the world economy, as these are from the weakest companies. Last year, just 1.57 per cent of all junk-rated debt defaulted, down from 1.8 per cent in 2005, Moody?s?said. This level is the lowest in any year since 1981? But in its annual global corporate default study, Moody's warned default rates would almost double to 3.07 per cent by the end of 2007. Although this is still comfortably below the historical average of 4.9 per cent?" Junk issuers included Huntsman Int. $350 million, American Axle & MFG $300 million, American Railcar $275 million, Esterline Technologies $175 million, and Key Plastics $115 million. International issuers included Vodafone $3.5 billion, Peru $3.5 billion, and Digicel Group $1.4 billion.
February 22 ? Financial Times (Joanna Chung): "A frenzy of investor activity in local bond markets helped send trading volumes of overall emerging market debt to a record high of $6,500bn in 2006? Participants in the survey by EMTA, the principal trade group for the emerging markets trading and investment community, reported that trading volumes rose 19 per cent?Trading in local market instruments hit an all-time high of $3,687bn in 2006, accounting for 57 per cent of overall volume compared with a 47 per cent share in 2005 and 45 per cent in 2004. The figures highlight the increasing shift of yield-hungry investors from dollar and euro-denominated debt to local currency-denominated debt. The surge in overall activity also reflects the growing pool of investors in emerging markets, which now includes central banks, pension funds, life assurance groups and retail investors."
Japanese 10-year "JGB" yields declined 3 bps this week to 1.67%. The Nikkei 225 gained 1.8% (up 5.6% y-t-d). German 10-year bund yields were unchanged at 4.04%. Emerging markets were mixed to higher. Brazil?s benchmark dollar bond yields declined 2 bps this week (to a record low 5.83%). Brazil?s Bovespa equities index rose 0.4% to a new record high (up 3.5% y-t-d). The Mexican Bolsa added 0.1% to a new record, increasing y-t-d gains to 7.8%. Mexico?s 10-year $ yields declined 2 bps to 5.60%. Russia?s 10-year Eurodollar yields were unchanged at 6.71%. India?s Sensex equities index dropped 5.0% (down 1.1% y-t-d). China?s stock exchanges were closed for the New Year (2007 gain of 12.0%).
Freddie Mac posted 30-year fixed mortgage rates dropped 8 bps last week to a six-week low 6.22% (down 4 bps y-o-y). Fifteen-year fixed mortgage rates fell 6 bps to 5.97% (up 8 bps y-o-y). And one-year adjustable rates declined 3 bps to 5.49% (up 17 bps y-o-y). Perhaps impacted by inclement weather, the Mortgage Bankers Association Purchase Applications Index fell 4.8% this week. Purchase Applications were down 7.2% from one year ago, with dollar volume up 0.3%. Refi applications declined 5.4%. The average new Purchase mortgage rose to $240,700 (up 8.0% y-o-y), and the average ARM increased to $384,100 (up 13.0% y-o-y). Bank Credit expanded $18.0 billion (week of 2/14) to a record $8.372 TN. Bank Credit has expanded at a 6.8% annualized rate y-t-d (7 wks), with a one-year gain of $741 billion, or 9.7%. For the week, Securities Credit added $0.6 billion. Loans & Leases jumped $17.4 billion to a record $6.147 TN. Commercial & Industrial (C&I) Loans expanded 11.3% over the past year. For the week, C&I loans added $0.7 billion, and Real Estate loans increased $8.1 billion. Year-to-date, C&I loans have expanded at a 6.1% rate and Real Estate loans at a 9.3% pace. Bank Real Estate loans expanded 14.5% over the past year. For the week, Consumer loans gained $1.9 billion, and Securities loans rose $12.6 billion. Other loans declined $3.6 billion.
On the liability side, (previous M3) Large Time Deposits rose $12.4 billion. M2 (narrow) "money" increased $4.8 billion to a record $7.097 TN (week of 2/12). Narrow "money" expanded $374 billion, or 5.6%, over the past year. M2 has expanded at a 7.3% pace during the past 20 weeks. For the week, Currency added $0.2 billion, while Demand & Checkable Deposits dropped $29.1 billion. Savings Deposits jumped $28.3 billion, and Small Denominated Deposits increased $2.2 billion. Retail Money Fund assets rose $3.1 billion. Total Money Market Fund Assets (reported by the Invest. Co. Inst.) jumped $27.3 billion last week to a record $2.420 Trillion. Money Fund Assets have risen $174 billion over the past 20 weeks (20.2% annualized) and $354 billion over 52 weeks, or 17.1%. Total Commercial Paper declined $17 billion last week to $2.016 Trillion, with a y-t-d gain of $41.2 billion (13.6% annualized). CP has increased $107.5 billion (15% annualized) over 20 weeks, and $332 billion, or 19.7%, over the past 52 weeks.
Asset-backed Securities (ABS) issuance was little changed this week at $19 billion. Year-to-date total ABS issuance of $95 billion (tallied by JPMorgan) is running behind the $104 billion from comparable 2006. Year-to-date Home Equity ABS issuance of $53 billion is slower than last year?s comparable $71 billion. Year-to-date US CDO issuance of $35 billion is ahead of comparable 2007?s $33 billion. Fed Foreign Holdings of Treasury, Agency Debt surged $15.5 billion last week (ended 2/21) to a record $1.827 Trillion, with a y-t-d gain of $74.5 billion (28% annualized). "Custody" holdings were up $254 billion y-o-y, or 16.2%. Federal Reserve Credit last week jumped $4.5 billion to $851.7 billion. Fed Credit was up $35.9 billion y-o-y, or 4.4%. International reserve assets (excluding gold) - as accumulated by Bloomberg?s Alex Tanzi ? were up $829 billion y-o-y (19.9%) to a record $4.997 Trillion. February 22 ? Bloomberg (Maria Levitov): "Russia?s foreign currency and gold reserves rose for a fifth week to a record, as the world?s largest energy exporter reaped revenue from oil sales. The reserves, the world?s third biggest, rose to $311.2 billion, gaining $1.7 billion in the week?"
Thread abonnieren
