In relation to a tranche and tranche thickness, it is the loss coverage multiple defined by dividing the tranche thickness as a percentage by a base-case loss expectation (on a base-case approach) for the underlying collateral pool. The tranche thickness (TT) percentage constitutes the ratio of a respective class size to collateral balance.
Tranche thickness loss multiple (TTLM) is a metric used to identify the depth (thickness) of a tranche, or layer, in a securitized capital structure. A higher TTLM value indicates that an issuer has retained more equity, leading to a higher senior position within the structure, and vice versa.
TTLM helps to determine the seniority of various tranches within the structure.
