Index | Index Roll Date | Tranche Roll Date Offset | Tranche Roll Date |
---|---|---|---|
CDX.NA.IG.35 | 21-Sep-2020 | +4 Bus. Days | 25-Sep-2020 |
CDX.NA.HY.35 | 28-Sep-2020 | +4 Bus. Days | 02-Oct-2020 |
iTraxx Europe S34 | 21-Sep-2020 | +4 Bus. Days | 25-Sep-2020 |
iTraxx Crossover S34 | 21-Sep-2020 | +4 Bus. Days | 25-Sep-2020 |
Index / Tranche | CDX.NA.IG | CDX.NA.HY | iTraxx Europe | iTraxx Crossover | ||||
---|---|---|---|---|---|---|---|---|
Tranche (%) | Coupon (bps) | Tranche (%) | Coupon (bps) | Tranche (%) | Coupon (bps) | Tranche (%) | Coupon (bps) | |
Equity | 0 - 3 | 100 | 0 - 15 | 500 | 0 - 3 | 100 | 0 - 10 | 500 |
Mezzanine | 3 - 7 | 100 | 15 - 25 | 500 | 3 - 6 | 100 | 10 - 20 | 500 |
Senior | 7 - 15 | 100 | 25 - 35 | 500 | 6 - 12 | 100 | 20 - 35 | 500 |
Super Senior | 15 - 100 | 100 | 35 - 100 | 500 | 12 - 100 | 100 | 35-100 | 500 |