Markit LCDX Tranches
Markit LCDX Tranches levels for 15th May, 2008
Markit LCDX.NA.10-V1 3Y Index Reference Level 100
| Tranche |
Level |
Delta |
|---|
| 0 - 5% |
66.04% |
2.65 |
| 5 - 8% |
32.64% |
3.50 |
| 8 - 12% |
4.45% |
2.60 |
| 12 - 15% |
2.39% |
1.85 |
| 15 - 100% |
0.80% |
0.50 |
Markit LCDX.NA.10-V1 5Y Index Reference Level 99
| Tranche |
Level |
Delta |
|---|
| 0 - 5% |
84.25% |
1.35 |
| 5 - 8% |
58.78% |
2.40 |
| 8 - 12% |
9.02% |
3.30 |
| 12 - 15% |
5.27% |
2.50 |
| 15 - 100% |
1.31% |
0.60 |
Markit LCDX.NA.9-V1 Index Reference Level 97
| Tranche |
Level |
Delta |
|---|
| 0 - 5% |
81.31% |
1.40 |
| 5 - 8% |
53.94% |
2.60 |
| 8 - 12% |
7.74% |
3.25 |
| 12 - 15% |
4.12% |
2.40 |
| 15 - 100% |
1.06% |
0.60 |
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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