What is a first loss tranche in a CDO?

Answer:

Answer

A first loss tranche is the sum of all tranches up to an attachment point. For example, 0-6%, the sum of the 0-3% tranche and the 3-6% tranche, is a first loss tranche.

First answer by Pandoga. Last edit by Pandoga. Contributor trust: 158 [recommend contributor recommended]. Question popularity: 35 [recommend question].