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LTLSS Note

A leveraged super senior note (LSS note) (a synthetic collateralized note) that is associated with a loss trigger. More specifically…

Bankruptcy

In general, it refers to the state of a person (natural or legal) being unable to pay the debts it...

Loss-Triggered Leveraged Super Senior Tranche

A leveraged super senior tranche (a synthetic collateralized tranche) that is associated with a loss trigger. More specifically, it involves...

Self-Referencing Credit Default Swap

A credit default swap (CDS) in which the reference entity is not a third party. More specifically, the credit risk...

Workout LGD

The amount of losses (loss given default, LGD) that is based on the cash flows observed between the time of...

Workout Loss Given Default

The amount of losses (loss given default, LGD) that is based on the cash flows observed between the time of...

W-LGD

It stands for workout loss given default; the amount of losses (loss given default, LGD) that is based on the...

LGD

It stands for loss given default; a key metric that is used in quantitative risk analysis, reflecting the monetary amount...

Loss Given Default

A key metric that is used in quantitative risk analysis, reflecting the monetary amount that an entity (a bank, financial...

NTD Swap

It stands for nth-to-default swap; a credit default swap (CDS) whereby the protection buyer makes a payment to the protection...