Markit LCDX Tranches
Markit LCDX Tranches levels for 19th November, 2008
Markit LCDX.NA.10-V1 3Y Index Reference Level 84.5
| Tranche |
Level |
Delta |
|---|
| 0 - 5% |
92.31% |
0.50 |
| 5 - 8% |
83.19% |
1.25 |
| 8 - 12% |
28.08% |
2.70 |
| 12 - 15% |
17.72% |
1.95 |
| 15 - 100% |
5.45% |
1.00 |
Markit LCDX.NA.10-V1 5Y Index Reference Level 81.75
| Tranche |
Level |
Delta |
|---|
| 0 - 5% |
93.19% |
0.30 |
| 5 - 8% |
87.94% |
0.65 |
| 8 - 12% |
28.60% |
2.30 |
| 12 - 15% |
20.13% |
2.00 |
| 15 - 100% |
5.95% |
1.10 |
Markit LCDX.NA.9-V1 Index Reference Level 81.25
| Tranche |
Level |
Delta |
|---|
| 0 - 5% |
91.81% |
0.35 |
| 5 - 8% |
83.50% |
0.75 |
| 8 - 12% |
27.85% |
2.20 |
| 12 - 15% |
18.90% |
1.80 |
| 15 - 100% |
5.48% |
1.10 |
Historical Markit LCDX Tranche Pricing is available on the Markit LCDX Analytics page.
Markit LCDX Tranches Presentation
Markit LCDX Tranches Presentation (pdf)
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