IG11 and XOver11 are -4.3bps and -26bps respectively while ITRX11 is -3.19bps to 89.25bps.
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 fell -0.3bps in IG. Broad market dispersion is less than historically expected given current spread levels, pointing to a more sanguine view of credits as investors discriminate less between names, with dispersion increasing more than expected today indicating a less systemic and more idiosyncratic spread widening/tightening at the tails.
30% of IG credits are shifting by more than 3bps and 50% of the CDX universe are also shifting significantly (less than the 5 day average of 57%). The number of names wider than the index stayed at 41 as the day's range rose to 6bps (one-week average 7.71bps), between low bid at 107.5 and high offer at 113.5 and higher beta credits (-1.84%) underperformed lower beta credits (-2.62%).
In IG, tighteners outpaced wideners by around 4-to-1, with only 22 credits notably wider. By sector, CONS saw 14% names wider, ENRGs 31% names wider, FINLs 48% names wider, INDUs 4% names wider, and TMTs 4% names wider. Focusing on non-financials, Europe (ITRX Main exFINLS) underperformed US (IG12 exFINLs) with the former trading at 96.41bps and the latter at 83.64bps.
Cross Market, we are seeing the HY-XOver spread decompressing to 152.91bps from 147.58bps, but remains below the short-term average of 174.2bps, with the HY/XOver ratio rising to 1.32x, below its 5-day mean of 1.36x. The IG-Main spread compressed to 18.63bps from 19.88bps, but remains below the short-term average of 23.04bps, with the IG/Main ratio falling to 1.2x, below its 5-day mean of 1.26x.
In the US, non-financials outperformed financials as IG ExFINLs are tighter by 2.3bps to 83.6bps, with 80 of the 104 names tighter. while among US Financials, the CDR Counterparty Risk Index fell 1.87bps to 99.03bps, with Banks (worst) wider by 1.07bps to 132.69bps, Finance names (best) tighter by 12.91bps to 640.83bps, and Brokers tighter by 0.83bps to 129.67bps. Monolines are trading tighter on average by -25.53bps (0.74%) to 4853.24bps.
In IG, FINLs underperformed non-FINLs (0.44% tighter to 2.66% tighter respectively), with the former (IG FINLs) tighter by 1bps to 234.1bps, with 8 of the 21 names tighter.
