<t>Assuming the same notional for each name, there are two integers n_L, and n_H such that if the number of defaults is less than n_L then the tranche is not affected, if above n_H than a tranche is exhausted. e.g., for the first [0%, 3%] tranche n_L=0, and some n_H. So that for the first n_H defaul...