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Parent Bond

A bond to which slices or tranches of an issue belong. A fungible issue (sub-tranche) is a debt issue that...

    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...

              First-Loss Tranche

              A tranche that comes with the lowest priority amongst the entire set of tranches constituting a securitized structure (CMBS structure,...

                Bespoke CDO Tranche

                A tranche of a collateralized debt obligation (CDO) for which terms and features can be customized. The CDO can also...

                  Synthetic CDO Tranche

                  A tranche (CDO tranche) of a synthetic CDO; a structured product that is based on an underlying portfolio of equally...

                    Individual Collateralized Debt Obligation

                    A synthetic structure that consists of a single tranche. It is simpler than a standard synthetic tranche and can be…