CDO, standard tranche on CDX.NA.HY

sceptic · March 28th, 2005, 5:00 pm

Where could I get a spread for lets say a 7-10 tranche referencing the CDX high-yield portfolio...

HTFB · March 28th, 2005, 5:56 pm

Deutsche, JP, MS, GS, Merrill, CSFB, Lehmans etc etc

Greenspoon · March 28th, 2005, 6:26 pm

And that would be a dealer quote.. isn't it? Is there any other common source (besides mark-it). Can we get it on bloomberg? Thanks.N

HTFB · March 28th, 2005, 7:50 pm

You can get dealers' quotes for tranches on Bloomberg (I know that at least Deutsche and ABN have Bloomberg pages with tranche quotes) ... however you need to be permissioned by the dealer to see their quotes.

Greenspoon · March 31st, 2005, 7:26 pm

Thanks buddy. How recent are the available dealer quotes? Are these the general bid-offer quotes for the buy-side.N

HTFB · April 1st, 2005, 5:57 am

The prices are usually updated daily Yes, they show bid / ask quotes that would be quoted to the buy-side.

Greenspoon · April 13th, 2005, 6:31 pm

Any idea of the spread quotes for Mezzanine tranche on CDX.NA.HY ? Will it a flat bp spread or a running Spread + Upfront Payment (as % of tranche notional). Thanks.N

sceptic · April 21st, 2005, 3:20 pm

I see0-10% points upfront10-15% points upfront15-25% BPS annum25-35% BPS annum

ski · April 29th, 2005, 1:02 pm

There's also a 35-100 tranche. Most will have a ref index quote for deltas.For example, mid quotes for index ref of 96.250-10 85%10-15 59.5%15-25 89525-35 19535-100 44