CDS index tranches

manmeet · December 10th, 2004, 6:14 pm

Can anyone tell a good place (website/vendor) to get current market spreads for CDS index tranches like- CDX 3/10 0-3% series 2- CDX INV 3-7% 5Yetc.In addition, I am also looking for initial spread on these tranches.Any help would be greatly appreciated.Thanks.

DDoom · January 4th, 2005, 10:47 am

Bloomberg or websites of I-Banks.Rgds

manmeet · January 4th, 2005, 3:13 pm

Thanks. If you have them handy, can you point me to publicly available websites of I-banks that have tranche spreads etc.

HTFB · January 8th, 2005, 7:36 pm

The index tranches are traded in the broker market. Maybe you can get some info from a broker. For North America (CDX) index tranches, Tullet is good. For Europe iTraxx Mar-10, 0-3% tranche is now at about 24% upfront with 500bp running, with delta at 37bp.