We aim to investigate the ability of simple spectral models to describe the GRB early afterglow emission. We performed a time resolved spectral analysis of a bright GRB sample detected by the Swift Burst Alert Telescope and promptly observed by the Swift X-ray Telescope,with spectroscopically measured redshift in the period April 2005 -- January 2007. The sample consists of 22 GRBs and a total of 214 spectra. We restricted our analysis to the softest spectra sub--sample which consists of 13 spectra with photon index > 3. In this sample we found that four spectra, belonging to GRB060502A, GRB060729, GRB060904B, GRB061110A prompt--afterglow transition phase, cannot be modeled neither by a single power law nor by the Band model. Instead we find that the data present high energy (> 3 keV, in the observer frame) excesses with respect to these models. We estimated the joint statistical significance of these excesses at the level of 4.3 sigma. In all four cases, the deviations can be modeled well by adding either a second power law or a blackbody component to the usual synchrotron power law spectrum. The additional power law would be explained by the emerging of the afterglow, while the blackbody could be interpreted as the photospheric emission from X-ray flares or as the shock breakout emission. In one case these models leave a 2.2 sigma excess which can be fit by a Gaussian line at the energy the highly ionized Nickel recombination. Although the data do not allow an unequivocal interpretation, the importance of this analysis consists in the fact that we show that a simple power law model or a Band model are insufficient to describe the X-ray spectra of a small homogeneous sample of GRBs at the end of their prompt phase.
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