Spreads were broadly wider in the US as all the indices deteriorated. Indices typically underperformed single-names (as we note some pre-roll activity is holding single-names in while macro players drive indices wider) with skews widening in general as IG underperformed but narrowed the skew, HVOL underperformed but narrowed the skew, ExHVOL outperformed pushing the skew wider, XO's skew increased as the index outperformed, and HY's skew widened as it underperformed (with rumors of another HY list today trying to take advantage of the large skew).
Only 9.6% of names in IG moved more than their historical vol would imply as higher vol names outperformed lower vol names by 0.82% to 1.31%. IG's vol is around 4.38% per 1 day period, which leaves 98 names higher vol and 27 lower vol than the index.
The names having the largest impact on IG are International Lease Finance Corp. (-38.72bps) pushing IG 0.26bps tighter, and CIT Group Inc (+91.55bps) adding 0.49bps to IG. HVOL is more sensitive with International Lease Finance Corp. pushing it 1.16bps tighter, and CIT Group Inc contributing 2.19bps to HVOL's change today. The less volatile ExHVOL's move today is driven by both Cisco Systems Inc. (-10bps) pushing the index 0.11bps tighter, and MDC Holdings Inc (+8bps) adding 0.08bps to ExHVOL.
The price of investment grade credit fell 0.1% to around 98.23% of par, while the price of high yield credits fell 1.63% to around 81.25% of par. ABX market prices are higher (improving) by 0.12% of par or in absolute terms, 0.03%. Broadly speaking, CMBX market prices are higher (improving) by 0.6% of par or in absolute terms, 0.19%. Volatility (VIX) is down -1.51pts to 30.03%, with 10Y TSY selling off (yield rising) 13bps to 3.82% and the 2s10s curve steepened by 3.9bps, as the cost of protection on US Treasuries fell 0.75bps to 44.5bps. 2Y swap spreads widened 5.7bps to 49.19bps, as the TED Spread tightened by 1.1bps to 0.44% and Libor-OIS improved 0.7bps to 37.5bps.
The Dollar strengthened with DXY rising 0.6% to 80.653, Oil rising $0.19 to $71.22 (outperforming the dollar as the value of Oil (rebased to the value of gold) rose by 0.92% today (a 0.87% rise in the relative (dollar adjusted) value of a barrel of oil), and Gold dropping $6.09 to $932.78 as the S&P rallies (917.7 0.88%) outperforming IG credits (142.25bps -0.1%) while IG, which opened wider at 144.5bps, outperforms HY credits. IG11 and XOver11 are +1.42bps and -2.5bps respectively while ITRX11 is -0.25bps to 122.25bps.
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 +3.9bps in IG.
