Hi,The index tranche for CDX HY is quoted as a cash price. What exactly does that mean? In other words, say I have a calibration procedure for synthetic CDOs and I have the PV of the premium leg for 1bps and the PV of the default leg, how do I calculate the cash price? I haven't seen any documentation for the exact formula for the cash price as there is for the running spread. In addition, I know the quoting convention includes a coupon and I'm not sure how that figures into the calculation as well.My thoughts are that runningSpread = coupon-Libor, and then we can calculate the upfront price, and then cash price = 1-upfront. Is this right? Many thanks,StringBean

Anyone?

Have a look at this thread.

Coupon on the 5Y HY is 500bps [at par] 100When its trading at 90.273 [last quote I see] its (100-90.273)*100 = 972.7bps (972.7/DV01) + 500bps = spread DV01= 3.25 so spread is 799 as reported by markit.

Thanks tsquared. You have a PM.