Spreads were mixed in the US today with IG worse (though with a narrow range Inside Day as HY outperformed), HVOL wider, ExHVOL better, XO wider, and HY rallying. Indices generally outperformed intrinsics with skews widening in general as IG's skew decompressed as the index beat intrinsics, HVOL outperformed but widened the skew, ExHVOL outperformed pushing the skew wider, XO's skew increased as the index outperformed, and HY outperformed but narrowed the skew.
The names having the largest impact on IG are International Lease Finance Corp. (-35.29bps) pushing IG 0.2bps tighter, and CIT Group Inc (+283.81bps) adding 1.35bps to IG. HVOL is more sensitive with International Lease Finance Corp. pushing it 0.93bps tighter, and CIT Group Inc contributing 6.25bps to HVOL's change today. The less volatile ExHVOL's move today is driven by both Boeing Capital Corp (-12.5bps) pushing the index 0.13bps tighter, and Weyerhaeuser Co (+15bps) adding 0.15bps to ExHVOL.
The price of investment grade credit fell 0.02% to around 96.68% of par, while the price of high yield credits rose 0.37% to around 76.06% of par. ABX market prices are higher (improving) by 0.3% of par or in absolute terms, 1.14%. Broadly speaking, CMBX market prices are higher (improving) by 0.94% of par. Volatility (VIX) is down -0.37pts to 37.95%, with 10Y TSY selling off (yield rising) 9.9bps to 3.01% and the 2s10s curve steepened by 6.6bps, as the cost of protection on US Treasuries rose 0bps to 45bps. 2Y swap spreads tightened 3.3bps to 56.25bps, as the TED Spread tightened by 4.7bps to 0.92% and Libor-OIS improved 1.4bps to 84.5bps.
The Dollar weakened with DXY falling 0.63% to 85.158, Oil falling $0.5 to $49.64 (underperforming the dollar as the value of Oil (rebased to the value of gold) rose by 0.45% today (a 1.63% drop in the relative (dollar adjusted) value of a barrel of oil), and Gold dropping $13.03 to $893.47 as the S&P is down (850.9 -0.69%) underperforming IG credits (177.25bps -0.02%) while IG, which opened wider at 179.5bps, underperforms HY credits. IG11 and XOver11 are +0.02bps and +9.26bps respectively while ITRX11 is +1.25bps to 152.5bps.
The majority of credit curves steepened as the vol term structure steepened with VIX/VIXV decreasing implying a more bearish/more volatile short-term outlook (normally indicative of short-term spread decompression expectations).
Dispersion rose +10.9bps in IG as differentiation continued.
