Iboxx

babolat · January 8th, 2005, 4:02 am

Does anyone know roughly what the attachment points are for BB, BBB, A, AA and AAAs when sized according to s and p off of the Iboxx index? what are the spreads on these tranches? ball park numbers are fine. Thanls in advance.

HTFB · January 8th, 2005, 7:24 pm

Market Convention for Index Tranches (Not HY Index):Europe: 0-3% , 3-6% , 6-9% , 9-12% , 12-22%North America: 0-3% , 3-7% , 7-10% , 10-15% , 15-30%Hope this helps

Ri · January 8th, 2005, 11:09 pm

the prices are usually very roughly sthing like 30% upfront +500bp for 0-3200bp for 3-680bp for 6-9(talking itraxx in 40bp spread environment)