Spreads were tighter again in the US today as post-roll activity picked up in IG leaving HY to charge tighter still (though not managing to make it back below 600bps) as roll re-positioning and tranche technicals seem to be dominating index activity. The ongoing compression in the widest and riskiest credits saw high beta names dramatically outperform low beta today, single-names outperform indices across the board and HVOL, XO, and HY all outperform IG.

Most indices are underperforming intrinsics as tail names compressed once again and off-the-run indices outperformed on-the-runs (as evidence mounts to support the rumors of mass tranche unwinds - with series 9 compression, high beta smashing tighter as ultra-low spread names widen, and gaps in single-names). IG trades 16bps tight (rich) to its 50d moving average, which is a Z-Score of -2s.d.. At 99.25bps, IG12 has closed tighter on only 1 day so far this year (189 trading days). The last five days have seen IG12 flat to its 50d moving average.

The names having the largest impact on IG12 are CIT Group Inc (-377.56bps) pushing IG 1.89bps tighter, and Aetna Inc (+4.5bps) adding 0.04bps to IG. HVOL is more sensitive with CIT Group Inc pushing it 8.17bps tighter, and MDC Holdings Inc contributing 0.07bps to HVOL's change today. The less volatile ExHVOL's move today is driven by both Alcoa Inc. (-20bps) pushing the index 0.22bps tighter, and Aetna Inc (+4.5bps) adding 0.05bps to ExHVOL.

The price of investment grade credit rose 0.02% to around 100.03% of par, while the price of high yield credits rose 1.03% to around 95.25% of par. ABX market prices are higher (improving) by 0.43% of par or in absolute terms, 8.47%. Broadly speaking, CMBX market prices are higher (improving) by 0% of par or in absolute terms, 0%. Volatility (VIX) is down -0.98pts to 23.08%, with 10Y TSY rallying (yield falling) 3.6bps to 3.45% and the 2s10s curve flattened by 0.3bps, as the cost of protection on US Treasuries rose 0bps to 21.5bps. 2Y swap spreads widened 0.6bps to 37.13bps, as the TED Spread tightened by 1.6bps to 0.19% and Libor-OIS improved 1bps to 10.6bps.

The Dollar weakened with DXY falling 0.93% to 76.063, Oil rising $1.84 to $71.55 (outperforming the dollar as the value of Oil (rebased to the value of gold) rose by 1.5% today (a 1.71% rise in the relative (dollar adjusted) value of a barrel of oil), and Gold increasing $11.3 to $1015 as the S&P rallies (1066.6 0.58%) outperforming IG credits (99.25bps 0.02%) while IG, which opened tighter at 97bps, underperforms HY credits. IG11 and XOver11 are -4.4bps and -31bps respectively while ITRX11 is -3.5bps to 81bps.