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

A credit derivative (originally a collateralized debt obligation) whereby the credit risk on a reference portfolio is transferred between the...

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

A super-senior tranche in which only a part of the tranche notional is paid by the holder. In other words,...

It stands for leveraged super senior tranche; a super-senior tranche in which only a part of the tranche notional is...

The pooling and repackaging of economic assets such as loans, bonds, and mortgages, in order to reallocate risks and obtain...

It stands for floating rate tranche; a CMO tranche in which the monthly coupon rate is typically set equal to...

A CMO tranche in which the monthly coupon rate is typically set equal to a reference rate such as LIBOR....

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

The last tranche in a collateralized mortgage obligation (CMO). Periodic interest accrues on a Z-tranche but no cash payments will...