Spreads were broadly wider in the US as all the indices deteriorated (despite a big leg tighter towards the close which leaked back wider after the close). Indices typically underperformed single-names with skews widening in general as IG underperformed but narrowed the skew, HVOL outperformed but widened the skew, ExHVOL intrinsics beat and narrowed the skew, XO's skew increased as the index outperformed, and HY's skew widened as it underperformed.

The names having the largest impact on IG are International Lease Finance Corp. (-45.39bps) pushing IG 0.3bps tighter, and CIT Group Inc (+79.54bps) adding 0.45bps to IG. HVOL is more sensitive with International Lease Finance Corp. pushing it 1.31bps tighter, and CIT Group Inc contributing 2.01bps to HVOL's change today. The less volatile ExHVOL's move today is driven by both Constellation Energy Group Inc. (-12.5bps) pushing the index 0.13bps tighter, and Fortune Brands Inc. (+10bps) adding 0.1bps to ExHVOL.

The price of investment grade credit fell 0.2% to around 98.95% of par, while the price of high yield credits fell 0.37% to around 84.13% of par. ABX market prices are lower by 0.2% of par or in absolute terms, 0.99%. Broadly speaking, CMBX market prices are lower by 0.86% of par or in absolute terms, 0.29%. Volatility (VIX) is up 0.15pts to 29.77%, with 10Y TSY selling off (yield rising) 7.3bps to 3.91% and the 2s10s curve flattened by 5.7bps, as the cost of protection on US Treasuries rose 5.4bps to 45bps. 2Y swap spreads widened 3.8bps to 52.75bps, as the TED Spread widened by 2.3bps to 0.48% and Libor-OIS deteriorated 2.1bps to 40.8bps.

The Dollar strengthened with DXY rising 0.18% to 80.816, Oil rising $0.22 to $68.66 (outperforming the dollar as the value of Oil (rebased to the value of gold) rose by 0.63% today (a 0.5% rise in the relative (dollar adjusted) value of a barrel of oil), and Gold dropping $2.9 to $952.35 as the S&P is down (939.9 -0.06%) underperforming IG credits (125bps -0.2%) while IG, which opened wider at 124bps, outperforms HY credits. IG11 and XOver11 are +4.63bps and +25.89bps respectively while ITRX11 is +6bps to 107.75bps.

The majority of credit curves flattened 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 +7bps in IG. Broad market dispersion is a little greater than historically expected given current spread levels, indicating more general discrimination among credits than on average over the past year, and dispersion increasing more than expected today indicating a less systemic and more idiosyncratic spread widening/tightening at the tails.

45% of IG credits are shifting by more than 3bps and 51% of the CDX universe are also shifting significantly (less than the 5 day average of 55%).