Markit LCDX Tranches
Markit LCDX Tranches levels for 19th August, 2008
Markit LCDX.NA.10-V1 3Y Index Reference Level 98
| Tranche |
Level |
Delta |
|---|
| 0 - 5% |
70.81% |
2.70 |
| 5 - 8% |
38.50% |
3.60 |
| 8 - 12% |
6.85% |
2.60 |
| 12 - 15% |
4.22% |
1.70 |
| 15 - 100% |
1.15% |
0.55 |
Markit LCDX.NA.10-V1 5Y Index Reference Level 96.75
| Tranche |
Level |
Delta |
|---|
| 0 - 5% |
84.43% |
1.20 |
| 5 - 8% |
62.81% |
2.40 |
| 8 - 12% |
10.67% |
3.10 |
| 12 - 15% |
6.93% |
2.30 |
| 15 - 100% |
1.77% |
0.65 |
Markit LCDX.NA.9-V1 Index Reference Level 94.50
| Tranche |
Level |
Delta |
|---|
| 0 - 5% |
81.16% |
1.50 |
| 5 - 8% |
57.91% |
2.60 |
| 8 - 12% |
9.75% |
3.20 |
| 12 - 15% |
6.08% |
2.15 |
| 15 - 100% |
1.57% |
0.65 |
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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