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Collateral valuation adjustment (ColVA) or appraisal subordination entitlement reduction (ASER) are commercial mortgage-backed security structuring innovations designed to improve overall transaction credit quality. Collateral valuation adjustments were created in response to rating agency concerns that, without such an adjustment, cash flow from mortgage loans likely to default would be paid to the first-loss class. The rationale behind appraisal reductions is to support proactively the credit rating of senior CMBS tranches by reducing cash-flow payments to the subordinate tranches.
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credit quality. Collateralvaluationadjustments were created in response to rating agency concerns that, without such an adjustment, cash flow from mortgage...
An X-Value Adjustment (XVA, xVA) is an umbrella term referring to a number of different “valuationadjustments” that banks must make when assessing the...
Real options valuation, also often termed real options analysis, (ROV or ROA) applies option valuation techniques to capital budgeting decisions. A real...
concerns, banks will typically calculate a credit valuationadjustment, as well as other x-valuationadjustments, which then incorporate these risks into the...
a type of loan in which the borrowers use the equity of their home as collateral. The loan amount is determined by the value of the property, and the value...
income valuation, MVA / EVA (Joel Stern, Stern Stewart & Co) and APV (Stewart Myers). With the cost of capital correctly and correspondingly adjusted, these...
counterparties, by requiring collateral deposits (also called "margin deposits"), by providing independent valuation of trades and collateral, by monitoring the...
mathematically rigorous results on nonlinear valuation and valuationadjustments based on cash flows adjustments with an approach based on hedging. Brigo...
cash-settled swaption). Often this exposure is mitigated through the use of collateral agreements whereby variation margin is posted to cover the anticipated...
Counterparty Credit Risk CE Credit Exposure CVA Credit valuationadjustment DVA Debit ValuationAdjustment – see XVA EAD Exposure at default EE Expected Exposure...
the original security placed in trust is referred to as the collateral, from this collateral both the floater and inverse floater are created. The dealer...
acquisition. The assets of the company being acquired are often used as collateral for the loans, along with the assets of the acquiring company. The use...
appropriate, and alignment towards discount factors associated with physical collateral of the IRSs was needed. Post crisis, to accommodate credit risk, the now-standard...
securities, which may be described as bonds, pass-through securities, or collateralized debt obligations (CDOs). Investors are repaid from the principal and...
considered when pricing, and a credit valuationadjustment, or CVA – and potentially other valuationadjustments, collectively xVA – is generally added...
These loans are characterized by higher interest rates, poor quality collateral, and less favorable terms in order to compensate for higher credit risk...
agents may have more collateral to put up against the funds they need to borrow, and thus are closer to being fully collateralized than low net worth agents...
collateral-taker to himself, at a price determined by an agreed valuation process. It is not necessary, for a valid appropriation, for the collateral-taker...
also be described as "a borrower giving consideration in the form of a collateral for a benefit (loan)". Mortgage borrowers can be individuals mortgaging...
with a clause preventing the collateral taker from selling large securities at once and spooking the market, but valuation is not linear which made it...
pre-market value of over US$500 per share ($125 split-adjusted), nearly 30 times the $17.25 valuation at the beginning of the month. The price of many other...
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