Securitisation Pool Yield Calculator

Work out securitisation pool yield instantly with clear inputs, formula shown and shareable results.

About Securitisation Pool Yield Calculator

In a securitisation the pool yield must cover servicing, the investor coupon and credit losses. Whatever remains is excess spread, the first line of credit enhancement and a direct measure of how much loss the structure absorbs before investors are hit.

Formula

Excess spread

Excess = pool yield - servicing fee - investor coupon

Worked example

With the default values below, Securitisation Pool Yield Calculator returns Excess Spread of 3.0000%. Change any input above and every figure here is recalculated in your browser.

Inputs used

Pool Principalminimum 0: 500,000,000
Weighted Average Pool Yieldaccepts 0–100 %: 13.5 %
Servicing Feeaccepts 0–5 %: 1 %
Investor Couponaccepts 0–100 %: 9.5 %

Results

Excess Spread: 3.0000%
Annual Excess Spread Amount: $15,000,000.00
Pool Yield After Servicing: 12.5000%
Annual Loss The Spread Can Absorb: 3.0000%

Step by step

1Values used
2Excess spread
3Excess Spread= 3.0000
4Annual Excess Spread Amount= 15,000,000.00
5Pool Yield After Servicing= 12.5000
6Annual Loss The Spread Can Absorb= 3.0000

Assumptions and limits

The result is derived only from the 4 inputs listed above. Anything not among them is not part of the calculation.
In particular, this calculator does not take inflation, tax or compounding frequency into account.
Figures are rounded for display to 4 decimal places, so totals built from several rounded parts can differ slightly from the unrounded arithmetic.
Figures are estimates based on the inputs given. Bank charges, regulatory minima and market rates change and differ between institutions and jurisdictions. This is not financial advice — confirm with your bank or treasury policy.

How these calculators are built and tested is described on the Methodology page. If a figure looks wrong, please report it.

Figures are estimates based on the inputs given. Bank charges, regulatory minima and market rates change and differ between institutions and jurisdictions. This is not financial advice — confirm with your bank or treasury policy.

Frequently Asked Questions

Why is excess spread called enhancement?

Because losses are absorbed from it before any subordinated tranche or investor principal is touched.

What happens if the spread turns negative?

Trigger events usually divert cash flows to build reserves or amortise senior notes early.