A tranche that has a small width. In other words, the the difference between its exhaustion percentage (detachment point) and its attachment percentage (attachment point) is said to be thin according to specific norms (e.g., 1%, 2%). A tranche width represents the percentage of capital structure of a securitized structure (e.g., a CDO) that a given tranche accounts for. More specifically, it is backed by a smaller portion (percentage) of the collateral pool so even small losses to the collateral will be allocated to a larger portion (percentage) of the subordinated principal balance.

Tranche width is used at the time a CDO trust determines and assigns the number of tranches in the structure, and for the purpose of managing the expected credit ratings for each tranche in the structure.

A thin tranche only spans a small region of the loss distribution. A thin tranche is perceived to be riskier than standard tranches since in the case of default, a thin tranche can be completely wiped out very quickly.