Publication Date
Financial Markets Group Discussion Papers DP 449
The structure of securitization deals, referred to as "tranching", is standard. In those transactions, claims on cash flows generated by the collateral are split into several classes of notes, at least 3 and possibly more than 5. Each class is called a tranche and has absolute priority in the cash flows over the more junior ones. Typically, investors with increasing sophistication acquire tranches with decreasing seniority.
