A perpetual floater which contains a call option given to the issuer. However, if the issuer doesn’t exercise this option…
A collateralized mortgage obligation (CMO) that pays an adjustable rate of interest that is tied to a reference interest rate.…
Another name for a floating rate note (FRN); a medium to long-term debt obligation (note) that has its coupon rate…
A convertible security (convertible) that cannot be effectively convertible prior to a specified date, and hence is said to be...
It stands for tranche thickness loss multiple; in relation to a tranche and tranche thickness, it is the loss coverage...
In relation to a tranche and tranche thickness, it is the loss coverage multiple defined by dividing the tranche thickness...
A measure of how much of losses a tranche can absorb as part of the overall securitized structure. It is...
Introduced by Jack Treynor (1961, 1962), William Sharpe (1964), John Lintner (1965) and Jan Mossin (1966) independently, and capitalized on...
Introduced by Jack Treynor (1961, 1962), William Sharpe (1964), John Lintner (1965) and Jan Mossin (1966) independently, and capitalized on...
A tranche that has a big width. In other words, the the difference between its exhaustion percentage (detachment point) and...