A tranche that has a big width. In other words, the the difference between its exhaustion percentage (detachment point) and its attachment percentage (attachment point) is said to be thick according to specific norms (e.g., 10%, 20%, or even higher). 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 covers a larger portion of the collateral pool and, as such, is less sensitive to losses that exceed initial impairment.
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 thick tranche spans a wide region of the loss distribution. A thick tranche is perceived to be less risky than standard tranches since in the case of default, a thick tranche can absorb more losses before it is wiped out.
