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Mezzanine

For asset-backed securities and CDO tranches, ranking in the middle of the capital structure - that is, above equity and double B tranches but below triple A. For synthetic CDO and index tranches, the term describes tranches with risk profiles ranging from around triple-B to triple A (but below super senior). For example, 3-6% or 3-7% index tranches (approximately triple B) are often described as junior mezzanine, while 6-9% or 7-10% tranches (double A to triple A) are sometimes called senior mezzanine.

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