Daily Credit Market Summary: May 19

By: Tyler Durden Wednesday, May 20, 2009 12:47 AM

Symbols: ABX, CDR, CDS, CEG, CG, CIT, FINL, HIG, OIS

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The Main exFINLS to IG ExHVOL differential compressed to 47.5bps from 53.17bps, but remains above the short-term average of 44.72bps.

Commentary compliments of www.creditsights.com

Index/Intrinsics Changes

CDR LQD 50 NAIG091 -8.25bps to 185.1 (2 wider - 47 tighter <> 45 steeper - 4 flatter).

CDX12 IG -4.5bps to 143.5 ($0.19 to $98.12) (FV -7.91bps to 162.66) (6 wider - 114 tighter <> 97 steeper - 23 flatter) - Trend Tighter.

CDX12 HVOL -9bps to 341 (FV -17.81bps to 411.77) (3 wider - 27 tighter <> 24 steeper - 6 flatter) - Trend Tighter.

CDX12 ExHVOL -3.08bps to 81.13 (FV -5.08bps to 92.71) (3 wider - 92 tighter <> 22 steeper - 73 flatter).

CDX11 XO 0bps to 347.4 (FV -13.74bps to 428.6) (3 wider - 31 tighter <> 26 steeper - 8 flatter) - Trend Wider.

CDX12 HY (30% recovery) Px $+1.09 to $80.22 / -41.4bps to 1104.4 (FV -15.76bps to 1015.3) (14 wider - 72 tighter <> 49 steeper - 37 flatter) - Trend Tighter.

LCDX12 (65% recovery) Px $+1.07 to $80.75 / -68.76bps to 996.54 - Trend Tighter.

MCDX12 -15bps to 170bps. - Trend Wider.

CDR Counterparty Risk Index fell 12.4bps (-7.32%) to 157.14bps (0 wider - 15 tighter).

CDR Government Risk Index fell 3.76bps (-6.3%) to 55.93bps.

DXY weakened 0.71% to 82.08.

Oil rose $0.62 to $59.65.

Gold rose $7.1 to $925.35.

VIX fell 1.44pts to 28.8%.

10Y US Treasury yields rose 0.9bps to 3.24%.

S&P500 Futures lost 0.06% to 906.6.

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