Net Excess Spread in a Securitization

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Securitization Tranches Credit Risk Net Excess Spread
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bionicturtle
  • By: bionicturtle
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  • Updated: 10-Nov-08
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  • International International
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  • Added: 04-Oct-08

The net excess spread is a type of internal credit enhancement in a securitization. In this simple structure, $100 million in loan assets are securitized by way of two bond class issuances (senior and subordinated debt). The excess spread can be diverted on a post or pre-loss basis (pre-loss: deposited into cash collateral account).

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Net Excess Spread in a Securitization

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