Credit Fixings 8th February 2008 Credit Event Auction Guide (pdf) 5th February 2008 Credit Event Auction for Quebecor World Inc. (pdf) Creditex and Markit will be conducting the Credit Event Auction for Quebecor World Inc. on 19th February 2008. Please click on the link above to find the Protocol for the auction.
iTraxx Monthly Tranche Fixings

Monthly iTraxx Tranche Fixings for 31Jul08

iTraxx Europe Series 9 Version 1 (RED Code: 2I666VAI6)

Levels for 0-3 tranches are upfronts with a fixed 500bps spread and are quoted in terms of percentage of notional.

Levels for all other tranches are in bps with no fixed running spread.

5Y Bid Mid Ask Delta Index Ref Level Dealers
0-3 31.01% 31.48% 31.95% 6.50 90 8
3-6 351.10 355.70 360.30 3.75 90 10
6-9 215.00 220.00 225.00 2.50 90 9
9-12 136.10 140.70 145.30 1.70 90 10
12-22 66.40 69.80 73.20 0.75 90 10
7Y Bid Mid Ask Delta Index Ref Level Dealers
0-3 36.85% 37.43% 38.01% 5.00 95 9
3-6 449.45 455.05 460.65 4.00 95 9
6-9 254.90 259.80 264.70 2.75 95 9
9-12 154.65 159.65 164.65 1.80 95 10
12-22 76.90 81.00 85.10 0.90 95 10
10Y Bid Mid Ask Delta Index Ref Level Dealers
0-3 42.66% 43.25% 43.84% 4.00 99 8
3-6 549.40 556.80 564.20 4.25 99 10
6-9 311.16 316.96 322.76 3.00 99 9
9-12 185.75 190.35 194.95 2.15 99 9
12-22 92.23 96.23 100.23 1.10 99 9

Monthly iTraxx Tranche Fixings for 30May08

iTraxx Europe Series 9 Version 1 (RED Code: 2I666VAI6)

Levels for 0-3 tranches are upfronts with a fixed 500bps spread and are quoted in terms of percentage of notional.

Levels for all other tranches are in bps with no fixed running spread.

5Y Bid Mid Ask Delta Index Ref Level Dealers
0-3 33.53% 34.03% 34.53% 8.00 80 12
3-6 293.92 300.92 307.92 4.25 80 12
6-9 184.09 188.92 193.75 2.75 80 12
9-12 122.21 126.96 131.71 1.95 80 12
12-22 57.13 61.63 66.13 0.95 80 12
7Y Bid Mid Ask Delta Index Ref Level Dealers
0-3 41.17% 41.73% 42.29% 6.00 86 11
3-6 393.84 400.67 407.50 4.75 86 11
6-9 231.67 237.00 242.33 3.00 86 11
9-12 145.09 150.42 155.75 2.10 86 11
12-22 68.33 72.75 77.17 1.10 86 11
10Y Bid Mid Ask Delta Index Ref Level Dealers
0-3 46.43% 47.18% 47.93% 4.50 91 11
3-6 513.75 520.33 526.91 5.00 91 12
6-9 292.25 298.00 303.75 3.50 91 11
9-12 184.75 190.17 195.59 2.15 91 12
12-22 84.79 88.75 92.71 1.30 91 11

Monthly iTraxx Tranche Fixings for 31Mar08

iTraxx Europe Series 9 Version 1 (RED Code: 2I666VAI6)

Levels for 0-3 tranches are upfronts with a fixed 500bps spread and are quoted in terms of percentage of notional.

Levels for all other tranches are in bps with no fixed running spread.

5Y Bid Mid Ask Delta Index Ref Level Dealers
0-3 38.90% 40.28% 41.66% 5.25 123 10
3-6 467.90 483.50 499.10 3.75 123 10
6-9 296.20 310.00 323.80 2.50 123 10
9-12 206.10 216.40 226.70 1.95 123 10
12-22 100.10 109.50 118.90 1.10 123 10
7Y Bid Mid Ask Delta Index Ref Level Dealers
0-3 44.23% 45.63% 47.03% 4.00 127 10
3-6 553.40 569.00 584.60 3.75 127 10
6-9 340.90 354.30 367.70 2.75 127 10
9-12 226.90 239.20 251.50 2.05 127 10
12-22 112.60 121.80 131.00 1.15 127 10
10Y Bid Mid Ask Delta Index Ref Level Dealers
0-3 48.50% 50.05% 51.60% 3.25 128 10
3-6 662.00 681.70 701.40 3.75 128 10
6-9 382.70 397.20 411.70 3.00 128 10
9-12 248.50 261.30 274.10 2.15 128 10
12-22 125.10 134.40 143.70 1.35 128 10

Monthly iTraxx Tranche Fixings for 31Jan08

iTraxx Europe Series 8 Version 1 (RED Code: 2I666VAH8)

Levels for 0-3 tranches are upfronts with a fixed 500bps spread and are quoted in terms of percentage of notional.

Levels for all other tranches are in bps with no fixed running spread.

5Y Bid Mid Ask Delta Index Ref Level Dealers
0-3 30.25% 30.98% 31.71% 9.00 77 10
3-6 309.80 316.90 324.00 4.75 77 10
6-9 205.60 212.40 219.20 3.25 77 10
9-12 133.00 140.00 147.00 2.25 77 10
12-22 69.20 73.60 78.00 1.25 77 9
7Y Bid Mid Ask Delta Index Ref Level Dealers
0-3 35.95% 36.85% 37.75% 7.00 82 10
3-6 407.20 415.70 424.20 5.25 82 9
6-9 260.40 269.10 277.80 3.75 82 9
9-12 177.60 184.70 191.80 2.70 82 9
12-22 82.13 86.73 91.33 1.45 82 9
10Y Bid Mid Ask Delta Index Ref Level Dealers
0-3 41.32% 42.50% 43.68% 5.25 87 9
3-6 500.90 512.90 524.90 5.25 87 9
6-9 314.90 323.60 332.30 4.00 87 9
9-12 206.80 215.00 223.20 2.90 87 9
12-22 92.40 96.90 101.40 1.55 87 10

Monthly iTraxx Tranche Fixings for 30Nov07

iTraxx Europe Series 8 Version 1 (RED Code: 2I666VAH8)

Levels for 0-3 tranches are upfronts with a fixed 500bps spread and are quoted in terms of percentage of notional.

Levels for all other tranches are in bps with no fixed running spread.

5Y Bid Mid Ask Delta Index Ref Level Dealers
0-3 25.33% 25.75% 26.17% 12.00 54 12
3-6 158.92 161.42 163.92 4.50 54 12
6-9 82.83 85.50 88.17 2.50 54 12
9-12 59.75 62.00 64.25 1.80 54 12
12-22 34.00 36.00 38.00 1.05 54 12
7Y Bid Mid Ask Delta Index Ref Level Dealers
0-3 31.91% 32.27% 32.63% 9.50 60 12
3-6 225.92 228.92 231.92 5.00 60 12
6-9 120.66 123.54 126.42 2.75 60 12
9-12 80.92 83.67 86.42 2.00 60 12
12-22 46.09 48.17 50.25 1.25 60 12
10Y Bid Mid Ask Delta Index Ref Level Dealers
0-3 38.86% 39.36% 39.86% 7.00 68 12
3-6 394.59 400.17 405.75 6.00 68 12
6-9 168.50 171.54 174.58 3.25 68 12
9-12 103.16 106.33 109.50 2.30 68 12
12-22 58.45 61.03 63.61 1.45 68 12

Monthly iTraxx Tranche Fixings for 28Sep07

iTraxx Europe Series 8 Version 1 (RED Code: 2I666VAH8)

Levels for 0-3 tranches are upfronts with a fixed 500bps spread and are quoted in terms of percentage of notional.

Levels for all other tranches are in bps with no fixed running spread.

5Y Bid Mid Ask Delta Index Ref Level Dealers
0-3 18.79% 19.13% 19.47% 18.50 36 12
3-6 89.50 91.96 94.42 4.00 36 12
6-9 34.42 37.17 39.92 2.00 36 12
9-12 21.91 24.04 26.17 1.15 36 12
12-22 13.25 15.04 16.83 0.70 36 12
7Y Bid Mid Ask Delta Index Ref Level Dealers
0-3 29.41% 29.71% 30.01% 14.00 45 12
3-6 157.67 160.88 164.09 5.50 45 12
6-9 73.58 76.50 79.42 2.50 45 12
9-12 43.02 45.35 47.68 1.60 45 12
12-22 25.16 27.33 29.50 0.90 45 12
10Y Bid Mid Ask Delta Index Ref Level Dealers
0-3 38.97% 39.36% 39.75% 9.50 57 12
3-6 378.83 383.33 387.83 7.00 57 12
6-9 148.84 152.51 156.18 3.75 57 12
9-12 76.98 79.90 82.82 2.25 57 12
12-22 41.62 44.41 47.20 1.25 57 12

Monthly iTraxx Tranche Fixings for 31July07

iTraxx Europe Series 7 Version 1 (RED Code: 2I666VAG0)

Levels for 0-3 tranches are upfronts with a fixed 500bps spread and are quoted in terms of percentage of notional.

Levels for all other tranches are in bps with no fixed running spread.

 

5Y Bid Mid Ask Delta Index Ref Level Dealers
0-3 29.75% 30.23% 30.71% 14.5 54 11
3-6 217.66 227.08 236.5 6.5 54 12
6-9 84.5 90.5 96.5 3 54 10
9-12 43.4 49.6 55.8 1.7 54 10
12-22 22.2 26.7 31.2 0.85 54 10
7Y Bid Mid Ask Delta Index Ref Level Dealers
0-3 39.76% 40.32% 40.88% 10 66 11
3-6 317.42 326.67 335.92 7 66 12
6-9 148.7 157 165.3 3.5 66 10
9-12 80.8 87.4 94 2.15 66 10
12-22 45.67 51.17 56.67 1.2 66 11
10Y Bid Mid Ask Delta Index Ref Level Dealers
0-3 49.23% 49.96% 50.69% 6 79 11
3-6 530.66 540.83 551 7.5 79 11
6-9 281.17 286.75 292.33 4.75 79 11
9-12 147.1 151.7 156.3 3.05 79 10
12-22 64.4 70.9 77.4 1.55 79 10

Monthly iTraxx Tranche Fixings for 29Jun07

iTraxx Europe Series 7 Version 1 (RED Code: 2I666VAG0)

Levels for 0-3 tranches are upfronts with a fixed 500bps spread and are quoted in terms of percentage of notional.

Levels for all other tranches are in bps with no fixed running spread.

5Y Bid Mid Ask Delta Index Ref Level Dealers
0-3 11.63% 11.75% 11.87% 25.5 25 10
3-6 61.42 62.05 62.68 5 25 10
6-9 15.71 16.29 16.87 1.5 25 10
9-12 6.99 7.48 7.97 0.75 25 10
12-22 2.61 3.1 3.59 0.25 25 10
7Y Bid Mid Ask Delta Index Ref Level Dealers
0-3 26.26% 26.38% 26.50% 19.5 34 10
3-6 136.45 137.13 137.81 7.5 34 10
6-9 36.81 37.39 37.97 2.5 34 10
9-12 16.42 17 17.58 1.2 34 10
12-22 7 7.5 8 0.5 34 10
10Y Bid Mid Ask Delta Index Ref Level Dealers
0-3 40.38% 40.53% 40.68% 11.75 46 10
3-6 367 368.6 370.2 10.5 46 10
6-9 107.85 108.55 109.25 4.75 46 10
9-12 49.58 50.33 51.08 2.5 46 10
12-22 15.52 15.95 16.38 0.75 46 10

Monthly iTraxx Tranche Fixings for 31May07

iTraxx Europe Series 7 Version 1 (RED Code: 2I666VAG0)

Levels for 0-3 tranches are upfronts with a fixed 500bps spread and are quoted in terms of percentage of notional.

Levels for all other tranches are in bps with no fixed running spread.

5Y Bid Mid Ask Delta Index Ref Level Dealers
0-3 6.24% 6.33% 6.42% 27 20 11
3-6 39.34 39.9 40.46 4.5 20 12
6-9 9.83 10.33 10.83 1.25 20 11
9-12 3.98 4.39 4.8 0.6 20 11
12-22 1.54 1.93 2.32 0.25 20 11
7Y Bid Mid Ask Delta Index Ref Level Dealers
0-3 20.48% 20.61% 20.74% 21 29 11
3-6 104.37 105.08 105.79 7 29 12
6-9 26.33 27.04 27.75 2.25 29 12
9-12 12.5 13.05 13.6 1 29 11
12-22 4.73 5.2 5.67 0.45 29 11
10Y Bid Mid Ask Delta Index Ref Level Dealers
0-3 34.87% 35.00% 35.13% 13 40 11
3-6 293 294.21 295.42 10 40 11
6-9 84.38 85.17 85.96 4.25 40 12
9-12 38.4 38.98 39.56 2.2 40 11
12-22 11.82 12.2 12.58 0.75 40 11

Monthly iTraxx Tranche Fixings for 30Apr07

iTraxx Europe Series 7 Version 1 (RED Code: 2I666VAG0)

Levels for 0-3 tranches are upfronts with a fixed 500bps spread and are quoted in terms of percentage of notional.

Levels for all other tranches are in bps with no fixed running spread.

5Y Bid Mid Ask Delta Index Ref Level Dealers
0-3 9.76% 9.94% 10.12% 26 23 13
3-6 49.03 49.82 50.61 4.5 23 13
6-9 11.95 12.45 12.95 1.25 23 13
9-12 5.02 5.53 6.04 0.65 23 13
12-22 2.07 2.54 3.01 0.3 23 13
7Y Bid Mid Ask Delta Index Ref Level Dealers
0-3 24.66% 24.84% 25.02% 20 32 13
3-6 119.9 121.2 122.5 7.5 32 13
6-9 31.15 31.99 32.83 2.25 32 13
9-12 15.07 15.75 16.43 1.2 32 13
12-22 5.13 5.67 6.21 0.45 32 13
10Y Bid Mid Ask Delta Index Ref Level Dealers
0-3 38.75% 38.95% 39.15% 12.5 43 13
3-6 320.02 322.2 324.38 10 43 13
6-9 92.42 93.48 94.54 4.25 43 13
9-12 42.66 43.59 44.52 2.2 43 13
12-22 14 14.5 15 0.75 43 13

Monthly iTraxx Tranche Fixings for 30Mar07

iTraxx Europe Series 7 Version 1 (RED Code: 2I666VAG0)

Levels for 0-3 tranches are upfronts with a fixed 500bps spread and are quoted in terms of percentage of notional.

Levels for all other tranches are in bps with no fixed running spread.

5Y Bid Mid Ask Delta Index Ref Level Dealers
0-3 11.04% 11.23% 11.42% 25 24 13
3-6 57.18 57.75 58.32 5 24 13
6-9 13.64 14.28 14.92 1.5 24 13
9-12 5.46 6.24 7.02 0.75 24 13
12-22 2.16 2.58 3 0.25 24 12
7Y Bid Mid Ask Delta Index Ref Level Dealers
0-3 25.56% 25.77% 25.98% 19 33 13
3-6 132.58 133.79 135 7.5 33 14
6-9 36.14 37.25 38.36 2.5 33 13
9-12 16.54 17.33 18.12 1.25 33 13
12-22 5.27 5.85 6.43 0.5 33 12
10Y Bid Mid Ask Delta Index Ref Level Dealers
0-3 40.27% 40.51% 40.75% 12 44 13
3-6 336.46 338.96 341.46 10.5 44 13
6-9 97.3 98.59 99.88 4.5 44 13
9-12 45.96 46.91 47.86 2.25 44 13
12-22 13.63 14.38 15.13 0.75 44 12

Monthly iTraxx Tranche Fixings for 01Mar07

iTraxx Europe Series 6 Version 1 (RED Code: 2I666VAF2)

Levels for 0-3 tranches are upfronts with a fixed 500bps spread and are quoted in terms of percentage of notional.

Levels for all other tranches are in bps with no fixed running spread.

5Y Bid Mid Ask Delta Index Ref Level Dealers
0-3 9.80% 9.98% 10.16% 27.5 23 15
3-6 45.26 46.17 47.08 4 23 16
6-9 12.07 12.88 13.69 1.25 23 15
9-12 5.09 5.77 6.45 0.6 23 15
12-22 1.74 2.16 2.58 0.2 23 15
7Y Bid Mid Ask Delta Index Ref Level Dealers
0-3 24.76% 24.96% 25.16% 21.5 32 16
3-6 117.22 118.36 119.5 7 32 16
6-9 34.85 35.9 36.95 2.5 32 15
9-12 15.97 16.91 17.85 1.2 32 15
12-22 4.72 5.27 5.82 0.4 32 15
10Y Bid Mid Ask Delta Index Ref Level Dealers
0-3 40.58% 40.83% 41.08% 13 43 15
3-6 330.5 333.59 336.68 11 43 15
6-9 87.22 88.36 89.5 4.25 43 15
9-12 37.25 38.67 40.09 2.1 43 15
12-22 12.22 12.97 13.72 0.8 43 15

Monthly iTraxx Tranche Fixings for 31Jan07

iTraxx Europe Series 6 Version 1 (RED Code: 2I666VAF2)

Levels for 0-3 tranches are upfronts with a fixed 500bps spread and are quoted in terms of percentage of notional.

Levels for all other tranches are in bps with no fixed running spread.

5Y Bid Mid Ask Delta Index Ref Level Dealers
0-3 10.22% 10.34% 10.46% 27 23 16
3-6 41.18 41.59 42 4 23 16
6-9 11.5 11.95 12.4 1.25 23 16
9-12 5.18 5.6 6.02 0.6 23 15
12-22 1.61 2 2.39 0.25 23 14
7Y Bid Mid Ask Delta Index Ref Level Dealers
0-3 25.59% 25.76% 25.93% 20.5 32 16
3-6 110.41 111.75 113.09 7 32 15
6-9 32.43 33.09 33.75 2.25 32 14
9-12 14.75 15.43 16.11 1.15 32 14
12-22 4.72 5.27 5.82 0.4 32 14
10Y Bid Mid Ask Delta Index Ref Level Dealers
0-3 40.51% 40.66% 40.81% 12.5 43 15
3-6 327.65 328.86 330.07 10.5 43 14
6-9 85.17 85.89 86.61 4.25 43 15
9-12 38.82 39.73 40.64 2.1 43 14
12-22 13.63 14.06 14.49 0.75 43 14
5Y Bid Mid Ask Delta Index Ref Level Dealers
0-3 31.01% 31.48% 31.95% 6.50 90 8
3-6 351.10 355.70 360.30 3.75 90 10
6-9 215.00 220.00 225.00 2.50 90 9
9-12 136.10 140.70 145.30 1.70 90 10
12-22 66.40 69.80 73.20 0.75 90 10
7Y Bid Mid Ask Delta Index Ref Level Dealers
0-3 36.85% 37.43% 38.01% 5.00 95 9
3-6 449.45 455.05 460.65 4.00 95 9
6-9 254.90 259.80 264.70 2.75 95 9
9-12 154.65 159.65 164.65 1.80 95 10
12-22 76.90 81.00 85.10 0.90 95 10
10Y Bid Mid Ask Delta Index Ref Level Dealers
0-3 42.66% 43.25% 43.84% 4.00 99 8
3-6 549.40 556.80 564.20 4.25 99 10
6-9 311.16 316.96 322.76 3.00 99 9
9-12 185.75 190.35 194.95 2.15 99 9
12-22 92.23 96.23 100.23 1.10 99 9