Stocks Sharply Lower into Afternoon on Escalating Global Bank Contagion Fears, US Policy-Induced Stagflation Worries, Rising European/Emerging Markets/US High-Yield Debt Angst, Commodity/Financial Sector Weakness

Broad Equity Market Tone:

• Advance/Decline Line: Substantially Lower
  

• Sector Performance: Almost Every Sector Declining
  

• Volume:  Heavy

• Market Leading Stocks: Underperforming
  

Equity Investor Angst:

• Volatility(VIX) 28.2 +19.0%
• DJIA Intraday % Swing 1.07%
  
• Bloomberg Global Risk On/Risk Off Index 42.1 -7.8%

• Euro/Yen Carry Return Index 146.3 -2.5%

• Emerging Markets Currency Volatility(VXY) 11.8 +.1%

• CBOE S&P 500 Implied Correlation Index 44.6 +11.0% 

• ISE Sentiment Index 67.0 -15.0 points
  

• Total Put/Call .97 -10.2%

• NYSE Arms 1.21 +37.2%

Credit Investor Angst:

• North American Investment Grade CDS Index 86.6 +7.0%
  

• US Energy High-Yield OAS 450.77 +12.6%
• Bloomberg TRACE # Distressed Bonds Traded 366.0 -4
  

• European Financial Sector CDS Index 127.93 +19.6% 
• Credit Suisse Subordinated 5Y Credit Default Swap 683.97 +32.1%
  

• Italian/German 10Y Yld Spread 198.0 basis basis points +13.0 basis points
  

• Asia Ex-Japan Investment Grade CDS Index 139.5 +1.5%
  

• Emerging Market CDS Index 267.25 +4.7%
  

• China Corp. High-Yield Bond USD ETF(KHYB) 27.0 +.20%

• 2-Year Swap Spread 27.5 basis points +3.25 basis points
  

• TED Spread 19.75 basis points +7.0 basis points
  

• 3-Month EUR/USD Cross-Currency Basis Swap -36.5 -12.25 basis points
  
• MBS  5/10 Treasury Spread  158.0 -5.0 basis points
  
• Bloomberg CMBS Investment Grade Bbb Average OAS 623.0 +10.0 basis points
  
• Avg. Auto ABS OAS 63.0 +3.0 basis points
  

Economic Gauges:

• Bloomberg Emerging Markets Currency Index 47.1 -.93%
• 3-Month T-Bill Yield 4.66% -9.0 basis points
  

• China Iron Ore Spot 130.0 USD/Metric Tonne -1.7%
• Dutch TTF Nat Gas(European benchmark) 42.9 euros/megawatt-hour -2.9%

• Citi US Economic Surprise Index 48.9 -1.4 points

• Citi Eurozone Economic Surprise Index 49.8 -1.8 points
  

• Citi Emerging Markets Economic Surprise Index 21.9 +3.5 points
  
• S&P 500 Blended Forward 12 Months Mean EPS Estimate 225.45 +.08:  Growth Rate +1.2% +.1 percentage point, P/E 17.4 unch.
  
• S&P 500 Current Year Estimated Profit Margin 12.38% unch.
  
• Bloomberg US Financial Conditions Index -.94 -40.0 basis points
  
• Yield Curve -42.25 basis points (2s/10s) +17.75 basis points
• US Atlanta Fed 1Q GDPNow Forecast +3.15% +52.0 basis points
  

• Cleveland Fed Inflation Nowcast Core PCE YoY +4.73% unch.: CPI YoY +5.22% unch.
  
• 10-Year TIPS Spread 2.28 -3.0 basis points
  
• Highest target rate probability for May 3rd FOMC meeting: 50.5%(+4.1 percentage points) chance of 4.75%-5.0%. Highest target rate probability for June 14th meeting: 38.1%(+11.7 percentage points) chance of 4.5%-4.75%.
  

US Covid-19:

• 84 new infections/100K people(last 7 days total). 4.8%(-0.0 percentage point) of 1/14/22 peak(1,740) -0/100K people from prior report.
  
• New Covid-19 patient hospital admissions per 100K population -83.3%(+.1 percentage point) from peak 7-day avg. of 1/9/22 - 1/15/22
  

Overseas Futures:

• Nikkei 225 Futures: Indicating -849 open in Japan 
• China A50 Futures: Indicating -131 open in China

• DAX Futures: Indicating +19 open in Germany

Portfolio:

• Slightly Higher:  On gains in my index hedges and emerging market shorts
  

• Disclosed Trades:  Took profits in my commodity longs, added utility longs and added to my (IWM)/(QQQ) hedges
  

• Market Exposure: Moved to Market Neutral