** Note that tranches 0-5% and 5-8% are quoted in upfront; 8-12% and 12-15% are quoted in upfront with a 500bp running spread; 15 - 100% is quoted in spread. This change is effective 18th November, 2008.

Markit LCDX.NA.10-V4 3Y Index Reference Level 81.75

Tranche	Level	Delta
0 - 5%	94.90%	0.20
5 - 8%	91.89%	0.55
8 - 12%	65.84%	1.25
12 - 15%	51.88%	1.45
15 - 100%	5.99%	1.20

Markit LCDX.NA.10-V4 5Y Index Reference Level 79

Tranche	Level	Delta
0 - 5%	95.54%	0.20
5 - 8%	92.97%	0.35
8 - 12%	77.09%	0.80
12 - 15%	65.58%	1.10
15 - 100%	6.55%	1.30

Markit LCDX.NA.9-V4 Index Reference Level 77.5

Tranche	Level	Delta
0 - 5%	95.33%	0.20
5 - 8%	92.83%	0.35
8 - 12%	76.79%	0.75
12 - 15%	65.67%	1.10
15 - 100%	6.46%	1.30

Markit LCDX Tranches Presentation

Markit LCDX Tranches Presentation (pdf) Click here to download the Markit LCDX Tranche Presentation.

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