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CDO Index Tranche

A synthetic collateralized debt obligation (synthetic CDO) that is based on a CDS index, where each tranche is associated with...

Index Tranche

A tranche that has a tailor-made exposure to a specific segment of an index loss distribution. It allows market participants...

Index Tranche Premium

The premium on an index tranche (CDS index tranche) is the spread paid by the protection buyer that equates the...