An instrument (financial instrument) that combines multiple elements or components of different, distinguishing features, particularly debt-type (debt instrument) and equity-type...

A call option that is not tradable, but rather is part of an instrument or structure, granting its issuer a...

A synthetic collateralized debt obligation (synthetic CDO) that is based on a CDS index, where each tranche is associated with...

The upper tranche boundary that specifies, in addition to the lower tranche boundary (attachment point), a collateralized debt obligation tranche...

A tranche that has a tailor-made exposure to a specific segment of an index loss distribution. It allows market participants...

The fixed leg of a CDO tranche is the present value of the amount of principal (capital) that the protection...

A portion of a tranche that constitutes a non-standard CDO tranche (or other types of tranches) with smaller loss intervals...

The premium leg of a CDO tranche is the present value of the amount of principal (capital) that the protection...

The premium on an index tranche (CDS index tranche) is the spread paid by the protection buyer that equates the...

A type of commercial mortgage loan that is pooled with other similar commercial loans, and packaged/ securitized (by means of...