Spreads were broadly wider in the US as all the indices deteriorated (with HY12 underperforming IG and closing above 800bps for the first time in over two weeks). Indices generally outperformed intrinsics with skews widening in general (as we continue to see single-names leading the market wider and index hedges seemingly dominant) as IG's skew decompressed as the index beat intrinsics, HVOL outperformed but widened the skew, ExHVOL outperformed but 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 ( ) Group Inc (-73.24bps) pushing IG 0.28bps tighter, and Hartford Financial Services Group (+15bps) adding 0.12bps to IG. HVOL is more sensitive with CIT Group Inc pushing it 1.25bps tighter, and Hartford Financial Services Group contributing 0.52bps to HVOL's change today. The less volatile ExHVOL's move today is driven by both Valero Energy Corp. (-11.5bps) pushing the index 0.11bps tighter, and Southwest Airlines Co. (+14.25bps) adding 0.14bps to ExHVOL.

The price of investment grade credit fell 0.04% to around 99.38% of par, while the price of high yield credits fell 0.53% to around 88.94% of par. ABX market prices are lower by 0.41% of par or in absolute terms, 0.96%. Broadly speaking, CMBX market prices are lower by 1.73% of par or in absolute terms, 0.52%. Volatility (VIX) is down -0.74pts to 24.71%, with 10Y TSY rallying (yield falling) 11.7bps to 3.6% and the 2s10s curve flattened by 4.5bps, as the cost of protection on US Treasuries fell 0.5bps to 26bps. 2Y swap spreads tightened 1bps to 38.38bps, as the TED Spread tightened by 0.2bps to 0.28% and Libor-OIS improved 0.7bps to 25.5bps.

The Dollar weakened with DXY falling 0.49% to 78.405, Oil rising $0.8 to $70.96 (outperforming the dollar as the value of Oil (rebased to the value of gold) rose by 0.32% today (a 0.65% rise in the relative (dollar adjusted) value of a barrel of oil), and Gold increasing $7.7 to $954.8 as the S&P rallies (1013 1.08%) outperforming IG credits (115bps -0.04%) while IG, which opened tighter at 113.75bps, outperforms HY credits. IG11 and XOver11 are -4.5bps and -9.5bps respectively while ITRX11 is +1bps to 92.5bps (The HY-IG differential over the XOver-Main differential is now greater than 190bps, more than 50bps wider than when we recommended it as HY-XOver moves above 200bps for the first time in three weeks).