A leveraged super senior note (a synthetic collateralized note) that is associated with a loss trigger. More specifically it involves a synthetic structure where a counterparty puts up a specific amount of collateral to underwrite protection on a tranche (with some attachment point and detachment point of the total notional of reference entities/ obligations).

A default of any of the reference entities/ obligations may lead to losses in the tranche, and thus erosion of the collateral (placed by the counterparty). Erosion will take place when the total loss in the underlying pool (portfolio) surpasses the attachment point of the underwritten tranche after accounting for recovery on the reference entities/obligations in default.

All cashflows arising in response to defaults in the pool/ portfolio make up the protection leg (also known as the benefit leg). The counterparty would receive fees on the other leg (known as the premium leg), in return for the underwriting of the risk (selling of risk coverage) on the protection leg. These constitute, in the absence of default events, regular coupons at a pre-agreed fixed rate. In equity tranches, attachment point is zero, where typically part of the fee is paid upfront as a lump sum. For standard contracts of amortizing type, the payments are scaled down as losses consume the notional in the portfolio.