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Tranche Notional Amount

The coverage limit that constitutes the pre-specified maximum level a protection buyer (in a credit-linked instrument/ arrangement such as a...

    Tranche ONA

    It stands for tranche outstanding notional amount; with respect to a tranche, it is the original tranche size reduced by...

      Tranche Outstanding Notional Amount

      With respect to a tranche, it is the original tranche size reduced by the credit losses (to the reference portfolio)...

        Tranche Size

        The coverage limit that constitutes the pre-specified maximum level a protection buyer (in a credit-linked instrument/ arrangement such as a...

          Tranche Notional

          The coverage limit that constitutes the pre-specified maximum level a protection buyer (in a credit-linked instrument/ arrangement such as a...

            Synthetically Leveraged Super Senior Tranche

            A leveraged super senior tranche (LSS tranche) in the tranche notional is synthetically leveraged using a pool of synthetic assets…