Collateral Valuation Adjustments
Encyclopedia
Collateral valuation adjustment (CVA) or appraisal subordination entitlement reduction
(ASER) are CMBS 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 mortgages 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.
Appraisal subordination entitlement reduction
Appraisal Subordination Entitlement Reduction or Collateral Valuation Adjustments are CMBS structuring innovations desined to improve overall transaction credit quality. Appraisal Reductions were created in response to rating agency concerns that, without such an adjustment, cash flow from...
(ASER) are CMBS 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 mortgages 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.
See also
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