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The United States Government Accountability Office GAO November 2011_part4

PPIP Phân tích Để ước tính giá trị các khoản đầu tư xuất sắc của OFS dưới PPIP, OFS đầu tiên ước tính dòng tiền mặt của danh mục đầu tư được tổ chức bởi các quỹ. OFS sử dụng một quá trình ngẫu nhiên để tạo ra 300 kết quả dòng tiền tiềm năng | Management s Discussion and Analysis THE DEPARTMENT OF THE TREASURY OFFICE OF FINANCIAL STABILITY Figure A Price Chart of Benchmark Preferred Stock 100 ra 80 o I 60 a __ a- 40 ra 20 cu 0 Market Value Increase 10 Decrease 10 PPIP An alysis To estimate the value of OFS outstanding investments under the PPIP OFS first estimates the cash flows of the portfolio held by the various funds. OFS uses a stochastic process to generate 300 potential cash flow outcomes based on the characteristics of the loans underlying the securities and their behavior under simulated macro economic variables such as unemployment mortgage interest rates short-term rates and home price appreciation. The cash flows are then applied to the waterfall established for the funds to estimate the cash flows to OFS. The aggregate of these cash flows each scenario is equally weighted is discounted to estimate the value of the program. Table 8 shows the change in the value of the OFS outstanding PPIP investment using the scenario which produces the minimum amount of cash flows to OFS and the maximum amount of cash flows to OFS. Table 8 Impact on PPIP Valuation Dollars in Billions September 30 2011 Reported Value for PPIP Maximum Cash Flows Minimum Cash Flows PPIP 18.38 19.59 18.28 change from current N A 4.6 2.4 AIFP Analysis The most important inputs to the valuation of OFS outstanding investments under the AIFP are the market price of New GM common stock and the change in the estimated value of Ally Financial common stock which is driven by certain pricing metrics of comparable public financial institutions. Table 9 shows the change in estimated value of OFS outstanding AIFP investments based on a 10 MANAGEMENT S DISCUSSION AND ANALYSIS This is trialoVers ion rs 2011 and 2010 Financial Statements www.adultpdf.com Management s Discussion and Analysis AGENCY FINANCIAL REPORT FISCAL YEAR 2011 percent increase and 10 percent decrease in the trading price of the New GM common stock and separately a 10 .