Bloomberg CDX Quotes

joshblak · July 27th, 2006, 11:40 am

Hi all,I am presenting a working paper at an honours colloquium and have a few queries about the method in which Bloomber presents quotes of CDS index tranches (specifically DJ CDX for now - will add iTraxx later).Is the quote a basis point (bp) spread, so that the following describes payments to a holder of tranche [alpha,beta]:The first line describes the payment at time t (the spread on the tranches notional less any losses on the tranche), the second line decribes the loss of tranche [alpha,beta] and the third and final line is the total present value of the tranche to a protection provider. So eta is the period of time between payments, r is the continuously compounded rate of interest, Lt is the total loss on the portfolio, and s is the spread for the tranche.Any help would be truely appreciated!

joshblak · July 30th, 2006, 2:18 am

Anyone? All I am hoping to find out is whether: - Bloomberg CDS index tranche quotes are premiums or spreads, - What measurement is the quote in (bp, yield percentage, dollars...).Thanks in advance!

renikus · July 30th, 2006, 8:31 am

See attached...Rgds,Ren.

joshblak · July 30th, 2006, 12:46 pm

Thanks Ren. I just hope my university has BNP Paribas access!

jinwang · July 31st, 2006, 3:57 pm

Hey Ren,Are you saying that I can get the market quote in spreads of tranche CDO on CDX IG and iTraxx in Bloomberg? Can I get the historical series of the quoted spreads? rgds,JIN

renikus · July 31st, 2006, 4:23 pm

As far as I am aware yes... however, apparently they are not so reliable. Search for another post i started a while back..Rgds,Ren.

joshblak · August 1st, 2006, 10:34 am

Thanks renikus. I was beginning to have my doubts all ready. My preliminary Bloomberg data had some strange jumps in in.Check your PM's.