Jan 182019
 

A CDO tranche has attachment points at A and a detachment point at B. Default payment occurs above the A threshold and below the B threshold where 0 A B i=1Ni. When A = 0, the tranche is usually referred as the Equity Tranche. When A > 0 and B < i=1Ni we are usually referring to the Mezzanine Tranche(s) and when B = i=1Ni we are usually dealing with the Senior, or Super Senior Tranche

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