The reports are focused on the coverage of loan assets to facilitate the identification of investment opportunities from the LCDX
North America index of loan credit default swaps (LCDSs), and to expedite decision making based on fundamental parameters.
The launch of the LCDX Tranches marks the next step forward in offering standardized loan credit derivatives which will promote liquidity and operational efficiency in the marketplace," said Kevin Gould, executive vice president and head of data products and analytics at Markit.
The initial series of the LCDX Tranches will reference the underlying names of the LCDX index and will comprise the same 100 reference entities in the current LCDX Series 9.
Attachment points for the LCDX Tranches will be 0-5%, 5-8%, 8-12%, 12-15% and 15-100%.
The following table outlines the companies that will be added to and removed from the LCDX.
To view the underlying constituents of each index, daily prices and spreads, constituent information and documentation for LCDX.
The following table outlines the companies that will be removed from the LCDX NA Index.
1 The underlying names that were removed from LCDX NA Series 9 remain present in LCDX NA Series 8.
Coincident with the launch of the new LCDX index, Derivative Fitch is publishing an investor presentation entitled 'Loan-Only CDS (LCDS) - Basics, Settlement, and The New LCDX Index.
The presentation, 'Loan-Only CDS (LCDS) - Basics, Settlement, and The New LCDX Index', is available on both the FitchCDX (www.
LCDX will start trading on May 22, 2007, and will trade based on the North American Loan Credit Default Swap (LCDS) contract.
LCDX comprises a basket of 100 credit default swaps referencing first-lien loans.