Market CDX7 and ITRX6 tranche Deltas

longiurgi01 · February 19th, 2007, 5:24 pm

Hidoes anyone know whether it is possible to find historical tranche deltas for CDX7 and ITRX6 (basically since 20-Sep-06). Is there a data provider which can provide, even at a cost? What about Bloomberg?Thanks for your helpLuca

StructCred · February 19th, 2007, 6:05 pm

I may be wrong on this, but I think CreditFlux might have been collecting these. Not sure if the published the DB to subscriber or not though. May be worth asking them.

petersonmj · February 20th, 2007, 7:47 am

Sorry. This is not something Creditflux can supply. We have published tranche prices and deltas from a number of sources since 2004, but we cannot provide a historical series since it is not our data. I understand GFI have historical data.

slym · February 20th, 2007, 7:59 am

Dataquery (morganmarkets).They provide historical tranche deltas for all series since index trading began, I'm positive about it ...try with your local JPMorgan salesman ...cheers,slym

bridgethu · February 20th, 2007, 6:12 pm

www.markit.com has composite tranche prices and deltas. but you have to pay for the data.