A tranche is defined by its range of losses, from the attachment point to the detachment point. In CDX.NA.IG, as of the source (November 2021), the equity tranche covers 0% to 3% of losses, the mezzanine 3% to 7%, the senior 7% to 15%, and the super senior 15% to 100%.
Consider a hypothetical example in which the portfolio is 100 billion yen and a mezzanine tranche covering losses of 5% to 15% has a notional of 10 billion yen. No loss hits the mezzanine until portfolio losses exceed 5 billion yen. Once losses reach 15 billion yen, the entire 10 billion yen is lost.
The lower a tranche's range of losses, the sooner it takes losses and the higher its spread. Even with a small notional, its share of the risk is large.