A tranche (specifically, a CMO tranche) that is designed to protect investors from prepayment risk. To that end, it absorbs...

In general, it is a method to determine how the monthly interest and principal cash flows are allocated among all...

A synthetic structure that consists of a single tranche. It is simpler than a standard synthetic tranche and can be...

A tranche of a collateralized mortgage obligation (CMO) that accrues by adding the interest amount to the face value of...

A basket-linked credit default swap (basket-linked CDS) which protects the buyer (the long) from a range of cumulative losses of...

A tranche that has some similarities to a zero-coupon bond. A Z tranche (zero tranche) consists of Z bonds. By...

One of an array of related securities (security issues), each of which is characterized by different return patterns, cash flows,...

A synthetic CDO tranche in which the CDO investor pays the notional amount of the tranche at inception, and the...

A variation of collateralized debt obligations (CDOs) in which the exposure to the default swap is divided into tranches (small...

The change in the value of a tranche in reaction to a one basis point increase or decrease in the...