An Analysis On The Relationship Of LTV And The RMBS Sub-level

Asset-backed Securitization are popular in recent years,among them,Residential Mortgage-backed Security(RMBS)has much larger distribution scale than other credit securities.But at the same time,such as down payment,one-off purchase,zero payment and other sales gimmicks emerge one after another,encroaching on the security of the securities market.In view of the fact that the cash flow structure set up by RMBS can well resist the impact of default,this paper tries to find out the rationality of RMBS sub-level design in China by exploring the impact of the sub-level ratio of RMBS and its mortgage assets,especially Loan to Value Ratio(LTV).In this paper,case analysis and regression statistics are used.Combining with domestic and foreign literature,the following research results are obtained:First,LTV,as one of the properties of the pool of mortgage assets,has an important impact on the default rate of loans.Comparing the domestic and foreign research results,LTV is an important reference index in cases whether it is a passive default or an active default.The three major international rating agencies also use it as a factor to analysis default rate.Second,LTV has an important influence on RMBS's hierarchical proportional design.Through the analysis of RMBS issued in China up to July 2018,it can be seen that LTV has the most significant regression effect on the hierarchical structure of secondary notes.Third,China is now vigorously developing RMBS,but will not increase the risk of a subprime crisis similarly with the United States in 2008.Referring to the current domestic first set of housing down payment policy,China's RMBS stratification ratio is in a safe and reasonable range.But at the same time,attention should be paid to preventing default risk as well.