Dynamic spread account

A typical issue will feature a triple-A rated tranche, a single-A rated tranche, a triple-B rated tranche and a dynamic spread account. The subordination structure for a typical credit card issue is shown in Exhibit 13.8. In this example, the class A noteholders benefit from the subordination of the class B and class C notes, which together provide 12% credit enhancement. The class B noteholders benefit from the subordination of the class C notes, which provide 7% credit enhancement. The class C noteholders benefit from a dynamic spread account. 

The class C noteholders benefit from a dynamic spread account. If 3-month average excess spread falls below a predetermined level, the spread account builds from monthly excess spread until the target level is reached. In order to fully understand the protection afforded by the spread account we need to assess the degree to which the spread account traps excess spread. Exhibit 13.10 shows excess spread trigger levels and trapping levels for a typical credit card issue. 

In this example, the dynamic spread account builds up to the maximum 5% of the transaction size. The spread account reaches the maximum of 5% in month 33 and then stays at this level. Exhibit 13.12 shows a scenario in which excess spread falls from the initial 9% to zero within 24 months, that is, the same deterioration in excess spread as in the previous example happens over a 2- instead of a 3-year period. 

In this example, the dynamic spread account builds up only to approximately 1.6% of the transaction size, which is well below the target level of 5%. These two examples highlight the importance of the originator s ability to service the receivables pool effectively and, as such, avoid a rapid deterioration in the performance of the collateral. An originator that follows strict credit underwriting procedures and has experienced staff servicing accounts that enter a state of delinquency... 

Ongoing work is devoted to the accurate description of the origin and spread of excitation from the natural pacemaker to the rest of the heart. Computations of ventricular pressure development are being extended to account for blood flow dynamics in adjacent blood vessels. The thorax... 

However, if the creep compliance curves are compared at their respective TgS,we see in Figure 5.16 that the softening dispersions are, within experimental uncertainty, at the same place in the time scale of response. Specifically the positions of the four Jpit/ar) curves at a compliance level of 1.0 x 10 Pa appear to be spread on a time scale by not much more than one decade of time. Relative uncertainties of Tg values of 1.5°C can account for this spread in positions. Until more precise relative TgS can be measured we can tentatively surmise that at Tg all polymers at the same rate are deep in the softening zone. This conclusion appears reasonable when we consider that short-range chain dynamics should determine both creep rates just above the glassy level as well as changes in the local liquid structure, the kinetics of which determine Tg. 

The price to pay is that the substrate is not rigid and that it flows. When studying the dynamics of wetting, it becomes necessary to take into account the flows induced in the substrate as liquid A spreads or dewets (chapter 7). °... 

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