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  • April 10, 2022
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Fixed Leg of a CDO Tranche

The fixed leg of a CDO tranche constitutes the regular payments that are proportional to the difference between the tranche notional and the cumulative default losses. It is calculated as the sum of discounted cash flows paid by the trancheholder (the protection buyer) to the projection seller.

The other leg of a CDO tranche is called a default leg (also a floating leg).

The fixed leg is also known as a premium leg.


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