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Quantitative Finance · Glossary

What is Super senior tranche?

Definition 15.8 Rates, Credit, XVA and Risk · Chapter 15 — Portfolio Credit

The super senior tranche is the top of a capital structure, above the tranche that would earn the highest rating on its own (22–100% in the standard European index structure): a very small expected loss on a very large notional, with most of its risk in the market value of that small loss.

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