Tranche Fixings

minded · April 13th, 2007, 7:34 pm

Dear Wilmott people!I think I'll need your help again...This time I would like to know how these fixings come... I'm talking about tranche indices.I would like also to ask if you know which are the threats when trading with futures...?It's hard to interpret the whole futures-on-tanche-indices thing.Help help help....Thanks

bigbird · April 13th, 2007, 8:40 pm

Minded,The website Credit Fixings www.creditfixings.com has the details which describe the weekly iTraxx index fixings and monthly index tranche fixings.The Eurex futures contract is based on the "index" not the "index tranche"."I would like also to ask if you know which are the threats when trading with futures...?" not sure exactly what you mean here? The threat of index based product to OTC business of dealers or the threat of index futures to the settlement of credit events through the ISDA recovery rate auction?The above site should help.BIGBIRD

minded · April 13th, 2007, 9:11 pm

Dear BigBird,thanks for your help. Actually, I'm aware for the creditfixings site. I also tried to work a little bit on their methodology for deriving the 'fixings'.The point that confuses me is whether these fixings are 'correct' and 'reliable' enough to avoid arbitrage or sth like that which will harm brokers.After all... is an arbitrage possible?

minded · April 15th, 2007, 5:42 pm

Something more !!In the table with the tranche quotes in basis points it is written for e.g. iTraxx the 3y Ref 20, 5Y Ref 34 etcHardly do I understand what these Ref 20, 34, 44, 54 mean...Does anyone know?

StructCred · April 15th, 2007, 8:00 pm

Ref is the index level for which the tranches are quoted.