With respect to a tranche, it is the original tranche size reduced by the credit losses (to the reference portfolio)...
The coverage limit that constitutes the pre-specified maximum level a protection buyer (in a credit-linked instrument/ arrangement such as a...
The coverage limit that constitutes the pre-specified maximum level a protection buyer (in a credit-linked instrument/ arrangement such as a...
A tranche that comes with the lowest priority amongst the entire set of tranches constituting a securitized structure (CMBS structure,...
An alternative term for attachment point; the lower tranche boundary that specifies, in addition to the upper tranche boundary (detachment...
A tranche of a collateralized debt obligation (CDO) for which terms and features can be customized. The CDO can also...
The market value of the components (lines of business, divisions, units, etc.) of a firm, assumed to be sold off...
The market value of the components (lines of business, divisions, units, etc.) of a firm, assumed to be sold off...
A synthetic collateralized debt obligation (synthetic CDO) that has a fixed (static) reference portfolio until maturity. Once a sponsor constructs...
The right of the issuer of a convertible to redeem it before maturity at a prespecified price. The call price...