Tranche loss calculator
Where a portfolio loss lands in the stack.
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Where does a portfolio loss land in the capital structure? Set the attachment and detachment points and find out which layer absorbs it.
- Tranche loss
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- Subordination left
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- Tranche width
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- Status
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Loss = min(max(L−A, 0), D−A) / (D−A). Note the leverage: a 3–7% tranche is untouched at 3% losses and destroyed at 7% — a four-point move in the pool wipes out the whole layer. That convexity is the whole story of CDO tranches and CLO equity.
The idea behind it
This calculator belongs to Credit Derivatives, where the mechanism it computes is explained step by step, with the formula, what each input means and where the simple model stops being right. Everything is computed in your browser; nothing you type is sent anywhere.
Instruments it applies to
- CDO & Synthetic Tranches — Slicing a pool of credit risk into layers of first-loss and last-loss — the machine that concentrated 2008, and the tranche market that outlived it.
More calculators from Credit Derivatives
- Spread ⇄ default probability — the credit triangle.
- Spread-duration P&L — the credit trader's mental arithmetic.
- CDS–bond basis — the classic relative-value gap.
- Expected loss and the breakeven spread — default probability times the loss when it happens.
- Altman Z-score — the 1968 distress screen, still in use.
- Downgrade risk, not just default risk — most credit loss is the first, not the second.
- Distance to a contingent-convertible trigger — the headroom, and why the trigger is rarely what fires.