Hi,

I have to discount a cash flows of mezzanine and junior note of NPL's securization, so the discount curve have to include a zero spread for unexpected loss, could you suggest me a proxy to estimate quickly this spread?

Thanks

Thanks.
I think that for me is more convenient the option 2b, I can try to use the funding curve used by treasury function. Anyway, I will add a spread over the curve to capture the market/credit risk.

Yes, I need to discount cash flows from a financial instruments not collateralized.

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