Treas Yld
2yr
5yr
10yr
30yr
MBS
Yield
FN 3.0%
2.92%
GN 3.0%
2.69%
Agency
FNMA 1 7/8 09/24/26
*Yield and price change based on last close and prior day 's closeFHLMC 6 1/4 07/15/32
June 20, 2017
19-Jun
1.36%
1.79%
2.19%
2.79%
16-Jun
1.32%
1.74%
2.15%
2.78%
Muni
0.90%
1.24%
1.85%
2.72%
M/T
66%
69%
85%
98%
Price Price Δ*
100-16
-05
101-30
+02
Yield
Yield Δ*
2.39%
N/A
2.68%
+0 bps
-Treasury yields shifted higher just before the open and rose throughout
the day, with all parts of the curve closing higher and the curve flatter
 Fed’s Dudley, usually dovish, had a hawkish slant to his comments
about economic expansion, though inflation is still below target level Source: Bloomberg, unless noted otherw ise
112.0
Yield Curve
Municipals (MUB)
 Formal Brexit negotiations began yesterday
4%
 Both 3- and 6-month T-bill auctions had soft responses vs prior auction 3%
111.0
 West Texas crude slid to the lowest close in over a year
2%
-Government-related, MBS, and IG corporate total returns dipped
Close
110.0
iShares National Muni
1%
negative yesterday on volatile treasuries
19-May
Bond ETF
0%
109.0
-The US corporate primary market returned yesterday, though $8.8B in
0y
10y
20y
30y
19-May
02-Jun
16-Jun
new issue was on the lighter side
Source: Bloomberg
Source: NYSE Arca
 Largest issuer of the day was utility FirstEnergy (Baa3/BBB-/BBB-), 116
370 39.2
814
US Corporate OAS (bps)
Preferreds
with $3.0B issue to repay near-term debt
812
114
39.0
365
-IG credit spreads tightened 1bp and HY 5bps during the day, as
810
112
38.8
treasuries sold off and equities rallied
808
360
38.6
 Amazon-related trading was out of the top spot in secondary activity 110
IG
iShares US Preferreds
806
HY (R-axis)
S&P US Preferreds (R-axis)
-Investment bank Jefferies (Baa3/BBB-/BBB-) reported 2Q earnings, 108
355 38.4
804
including weak fixed income trading revenues on low volatility
19-May
02-Jun
16-Jun
19-May
02-Jun
16-Jun
Source: NYSE Arca, S&P
-Barclays (Baa2/BBB/A) is still facing 2008 legacy issues, now being Source: Bloomberg/Barclays
Bloomberg/Barclays
Index
1D
Rtn
YTD
Rtn
YoY Rtn
OAS
YTD OAS Δ
charged with conspiracy to commit fraud related to Qatar capital raising
US
Aggregate
(0.11%
)
2.58%
0.73%
43
bps
0 bps
-CenturyLink (Ba2/BB/BB+) bonds traded down yesterday after a former
US Treasury
(0.13% ) 2.23%
(1.20% )
0 bps
0 bps
employee sued the firm last week and a class-action law suit was filed
US Gov't-Related
(0.11% ) 2.98%
1.06%
61 bps
-13 bps
0.05%
4.10%
0.49%
N/A
N/A
-Despite soft Treasury markets, tax free yields were unchanged Monday US Municipal
US IG Corporate
(0.09% ) 4.01%
3.56%
111 bps -12 bps
 10-year benchmark held at 1.85% as the 10-year Treasury rose 4bp
US HY Corporate
0.06%
5.08%
13.66%
360 bps -49 bps
to 2.19%
US MBS
(0.08% ) 1.67%
0.63%
32 bps
17 bps
 Volume was light at $7.7B ahead of busy new issue slate
Euro Aggregate
0.06%
0.42%
0.11%
61 bps
-9 bps
0.07%
0.41%
(0.79% )
3 bps
0 bps
 New issue pricings begin with $850MM NYC TFA (Aa1/AAA/AAA) Asian Pacific Aggregate
Global Infl-Linked
0.02%
3.04%
0.97%
N/A
N/A
retail order period
What to Watch:
-Puerto Rico trading activity brisk – busiest after CA, NY, TX, IL
 Fedspeak abound this week! Vice Chair Fischer (voting), Rosengren,
 PR 8% of 2035 trade at 61 ½, highest price in a month
and Kaplan (voting) all presenting today
 PR GDB restructuring proposal gains support from bondholder
 Markets will be digesting dovish comments from the BOE’s Carney
majority – PROMESA board approval is next step
 Restructuring agreement for PREPA, nearly three year in the making,  1Q Current account balance at 8:30am
hits resistance from PROMESA board related to rates charged to  1-year T-Bill auction for $20B, 4-week T-Bill auction for $35B
island electricity users.
 BoJ minutes from April meeting hit the tapes this evening
-Philadelphia GO ratings (A2/A+/A-) affirmed by Moody’s and Fitch ahead
of $350MM issue expected in July
A Look Ahead:
 Recently improving revenue trends and long term planning  Wednesday: May existing home sales, BoJ’s Kuroda speaks
requirement (under 1991 PICA fiscal crisis rescue) are credit strengths
 Thursday: 30-year TIPS auction ($5B via reopening), Kansas City
 Narrow reserves and elevated debt and pension liabilities are credit
Fed manufacturing, Fed’s Powell (voting) speaks, Fed releases
challenges
Dodd-Frank Stress Test results
 Strong nonprofit sector (Eds and Meds) fuels economic engine, but  Friday: Markit’s June US manufacturing PMI, May new home sales,
does not contribute to tax base, with 27% of city tax base exempt from
Fed’s Powell (voting), Bullard, and Mester speak
property tax
 Monday: May durable goods orders, Fed’s Williams speaks
JANNEY MONTGOMERY SCOTT
www.janney.com
©2017 Janney Montgomery Scott LLC
Member: NYSE, FINRA, SIPC
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