Spreads were broadly wider in the US as all the indices deteriorated (as HY underperformed IG and both closed at one-week wides). Indices typically underperformed single-names with skews widening in general (extending the trend of single-name weakness from the middle of last Friday) as IG underperformed but narrowed the skew, HVOL outperformed but widened the skew, ExHVOL's skew widened as it underperformed, 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. (-21.93bps) pushing IG 0.14bps tighter, and American International Group, Inc. (+58.65bps) adding 0.35bps to IG. HVOL is more sensitive with International Lease Finance Corp. pushing it 0.64bps tighter, and American International Group, Inc. contributing 1.53bps to HVOL's change today. The less volatile ExHVOL's move today is driven by both Chubb Corp. (-2bps) pushing the index 0.02bps tighter, and Constellation Energy Group Inc. (+30bps) adding 0.3bps to ExHVOL.

The price of investment grade credit fell 0.3% to around 99.44% of par, while the price of high yield credits fell 1.25% to around 89.88% of par. ABX market prices are lower by 0.6% of par or in absolute terms, 0.57%. Broadly speaking, CMBX market prices are lower by 0.54% of par or in absolute terms, 0.13%. Volatility (VIX) is up 1pts to 25.99%, with 10Y TSY rallying (yield falling) 10.6bps to 3.67% and the 2s10s curve flattened by 4.1bps, as the cost of protection on US Treasuries rose 0.93bps to 26bps. 2Y swap spreads tightened 4.4bps to 40.69bps, as the TED Spread tightened by 2.3bps to 0.28% and Libor-OIS improved 0.3bps to 26.2bps.

The Dollar weakened with DXY falling 0.15% to 79.139, Oil falling $1.23 to $69.37 (underperforming the dollar as the value of Oil (rebased to the value of gold) fell by 1.71% today (a 1.89% drop in the relative (dollar adjusted) value of a barrel of oil), and Gold dropping $0.3 to $946 as the S&P is down (992.9 -1.45%) underperforming IG credits (113.5bps -0.3%) while IG, which opened wider at 107.75bps, outperforms HY credits. IG11 and XOver11 are +4.5bps and +21.5bps respectively while ITRX11 is +5bps to 90.5bps.

Dispersion rose +6.3bps 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 decreasing more than expected today indicating a less systemic and more idiosyncratic narrowing of the distribution of spreads.

70% of IG credits are shifting by more than 3bps and 68% of the CDX universe are also shifting significantly (more than the 5 day average of 46%).