425. CDS index tranches give investors the opportunity to take on exposures to specific segments of the CDS index default loss distribution. Each tranche has a different sensitivity to credit risk correlations among entities in the index.

426. Tranches of a CDS index that absorb losses sequentially are defined by an attachment and a detachment point. The attachment point indicates the minimum of pool-level losses at which a given tranche begins to suffer losses. In turn, the detachment point corresponds to the amount of pool losses that completely wipe out the tranche. The riskiness of a tranche decreases with the tranche's seniority in the securitisation's capital structure.

427. The CDS index attachment point and CDS index detachment point data are relevant elements to evaluate counterparties' exposures to CDS index tranches and thus allow authorities to examine the size, concentration, interconnectedness and structure of this market. In addition, the data elements allow authorities to more closely supervise market participants.