tailieunhanh - The United States Government Accountability Office GAO November 2011_part8

CƠ QUAN BÁO CÁO TÀI CHÍNH | TÀI CHÍNH NĂM 2011 phục hồi, kết hợp các ảnh hưởng của bất kỳ tài sản thế chấp được cung cấp theo hợp đồng. Xác suất của mặc định và các khoản lỗ mặc định cho được ước tính bằng cách sử dụng dữ liệu lịch sử khi có sẵn, hoặc dữ liệu proxy công khai, bao gồm cả các cơ quan xếp hạng tín dụng dữ liệu hiệu suất lịch sử. | AGENCY FINANCIAL REPORT FISCAL YEAR 2011 recoveries incorporating the effects of any collateral provided by the contract. The probability of default and losses given default are estimated by using historical data when available or publicly available proxy data including credit rating agencies historical performance data. The models also incorporate an adjustment for market risk to reflect the additional return on capital that would be required by a market participant. As of September 30 2011 and 2010 for investments in Ally Financial s Ally formerly known as GMAC Inc. common equity and mandatorily convertible preferred stock which is valued on an if-converted basis the OFS used certain valuation multiples such as price-to-earnings price-to-tangible book value and asset manager valuations to estimate the value of the shares. The multiples were based on those of comparable publicly-traded entities. As of September 30 2010 OFS estimated the value of Ally s trust preferred equity instruments based on comparable publicly traded securities adjusted for factors specific to Ally such as credit rating. The adjustment for market risk is incorporated in the data points the OFS uses to determine the measurement for Ally as all points rely on market data. Investments in Special Purpose Vehicles In addition to the preferred interests in AIG SPVs discussed previously in this section the OFS made certain investments in other financial instruments issued by SPVs. Generally the OFS estimates the cash flows of these SPVs and then applies those cash flows to the waterfall governing the priority of payments out of the SPV. For the loan associated with the Term Asset-Backed Securities Loan Facility TALF the OFS model derives the cash flows to the SPV and ultimately the OFS by simulating the performance of underlying collateral. Loss probabilities on the underlying collateral are calculated based on analysis of historical loan loss and charge-off experience by credit sector and .