Markit LCDX Tranches
Markit LCDX Tranches levels for February 09th, 2012

All LCDX tranches are quoted in cash bond format. The LCDX Series 12 tranches have a coupon of 500 basis points. For the LCDX Series 9 and 10, the 0-5 and 5-8 tranches are zero coupon, and the remaining tranches have a coupon of 500 basis points.

LCDX Tranche levels are unavailable today, due to Markit not receiving the appropriate number of contribtions to publish.
 


Markit LCDX.NA.15-V2 5Y Index Reference Level 99.25
 
TrancheLevelDelta
0 - 8%50.942.4
8 - 15%833
15 - 30%97.941.9
30 - 100%106.780.45


Markit LCDX.NA.14-V3 5Y Index Reference Level 99.75
 
TrancheLevelDelta
0 - 8%53.623
8 - 15%87.563.1
15 - 30%100.191.8
30 - 100%106.310.4


Markit LCDX.NA.13-V9 5Y Index Reference Level 107.5
 
TrancheLevelDelta
0 - 8%76.54.4
8 - 15%101.52.9
15 - 30%110.751.1
30 - 100%111.440.4


Markit LCDX.NA.12-V19 3Y Index Reference Level 101.5
 
TrancheLevelDelta
0 - 8%96.258.5
8 - 15%101.51.9
15 - 30%101.910.5
30 - 100%1020.15


Markit LCDX.NA.12-V19 5Y Index Reference Level 107.25
 
TrancheLevelDelta
0 - 8%814.85
8 - 15%103.423
15 - 30%109.811.1
30 - 100%110.110.35


Markit LCDX.NA.10-V29 5Y Index Reference Level 102
 
TrancheLevelDelta
0 - 5%----
5 - 8%46.624.1
8 - 12%90.628.6
12 - 15%101.624
15 - 100%106.060.5


Markit LCDX.NA.9-V30 5Y Index Reference Level 100.75
 
TrancheLevelDelta
0 - 5%----
5 - 8%52.257.7
8 - 12%989.3
12 - 15%103.253
15 - 100%104.220.4
 
Markit LCDX Tranches Presentation

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