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TTLM

It stands for tranche thickness loss multiple; in relation to a tranche and tranche thickness, it is the loss coverage...

Tranche Thickness Loss Multiple

In relation to a tranche and tranche thickness, it is the loss coverage multiple defined by dividing the tranche thickness...

Tranche Thickness

A measure of how much of losses a tranche can absorb as part of the overall securitized structure. It is...

Thick Tranche

A tranche that has a big width. In other words, the the difference between its exhaustion percentage (detachment point) and...

Thin Tranche

A tranche that has a small width. In other words, the the difference between its exhaustion percentage (detachment point) and...

Tranche Width

The difference between the exhaustion percentage (detachment point) and the attachment percentage (attachment point). It represents the percentage of capital...