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CDO tranche spread

afterworkguinness

Active Member
Hi ,
In Chapter 1 of Meissner, he says regarding the financial crisis "The equity tranche spread increased sharply". Is this the spread between the equity trance and its next superior tranche or the most superior tranche?

Thanks
 

ShaktiRathore

Well-Known Member
Subscriber
Hi
The spread is measured wrt a standard risk free rate as treasury rate but Libor is commonly used as proxy for risk free rate. equity spread=equity interest rate -libor.
Thanks
 
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