The coverage limit that constitutes the pre-specified maximum level a protection buyer (in a credit-linked instrument/ arrangement such as a...

It stands for tranche outstanding notional amount; with respect to a tranche, it is the original tranche size reduced by...

With respect to a tranche, it is the original tranche size reduced by the credit losses (to the reference portfolio)...

The coverage limit that constitutes the pre-specified maximum level a protection buyer (in a credit-linked instrument/ arrangement such as a...

The coverage limit that constitutes the pre-specified maximum level a protection buyer (in a credit-linked instrument/ arrangement such as a...

A leveraged super senior tranche (LSS tranche) in the tranche notional is synthetically leveraged using a pool of synthetic assets…