[Goldman Sachs] Alt-A Market - An Introduction.pdf

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1、UnitedStatesMortgageStrategies


·Asoriginatorslookforwaystoincreasemarketshare,theyarefindingtheAlt-Amarketanattractivechoice.ManydifferentcharacteristicsclassifyloansasAlt-A,andtheyeachhaveanimpactontheperformanceofAlt-Asecurities.·ThedefinitionofAlt-Aloanshasevo

2、lvedovertimefromhighcreditsubprime/lowcreditprimetoincludecharacteristicssuchasnon-owneroccupancy,lessthanfulldocumentation,andothers.·TheAlt-Amarkethasexperiencedtremendousgrowth,increasingover300%inthepasttwoyears.·Alt-AMBShavebetterconvexitythanprimeandagencyMBS:Specifically,in-the

3、-moneyloansarelesslikelytoprepayowingtoimpairedcreditofsomekind,whereasout-of-themoneyloansaremorelikelytoprepaybecauseofcreditcuringanddefaults.·Investorpropertieshavehistoricallyprepaidmoreslowly,andhavehadlowerdelinquenciesandcumulativedefaultsthanowner-occupiedproperties.
·Wh

4、iledocumentationlevelaloneappearsnottohaveadirectimpactonperformance,thischaracteristicisalmostalwayslayeredwithotherrisk-mitigatingfactorssuchaslowbalance,highFICO,andlowLTV,whichcoupledtogetherhavebetterconvexity.·WhenconsideringprepaymentanddefaultcurvesforAlt-Acollateral,a

5、djustmentsaremadetothebasecaseincongruencewithdifferentcharacteristics.Forprepayments,thelargestshiftcomesfromloansizeandoccupancy.Fordefaults,itcomesfromFICO,LTVanddocumentation.JenniferCohenJennifer.Cohen@gs.comNewYork:212-357-2280LiminZhangLimin.Zhang@gs.comNewYork:212-902-9281Gold

6、manSachs1MortgageStrategiesUnitedStatesOverviewTheAlt-Amarketemergedin1996,asinvestorsstartedtobetterunderstandthecreditcharacteristicsofmortgagorsandasoriginatorsbeganexpandingthespectrumofcredittheywouldlendto.PrimeoriginatorsexpandedtheirscorecardstoaccommodatelowerFICOscores,while

7、subprimeoriginatorsexpandedtheirstoaccommodatehigherones.Asthemarkethasevolvedovertime,differentoutlyingcharacteristicsbegantodefinetheAlt-Auniverse,suchasdocumentationlevels,occupancy,andotherrisk-layeringattributes.Today,theguidelinesforwhatconstitutesanAlt-Aloanareconstantlychangin

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