MSCI China Non-Performing Loan ABS Collateral Model

Research Paper
January 25, 2020
Preview
This document describes the technical specification of the MSCI China non-performing loan (NPL) ABS collateral model. The model has one component: the cumulative recovery rate curve, which is conditional on the collateral type (credit card, residential mortgage, corporate loan) and the deal age. The model fit for the 91 sample deals with historical performance data is reasonable. It is also robust compared to other forms of complex models. This model structure may change as more data is collected. This white paper is organized as follows: The second section describes the China NPL ABS market in terms of issuance volume and deal growth, as well as the market share for the top players. The third section gives the model specification. The last section provides the model fit in terms of actual and predicted recovery vectors, along the deal age horizon, and with respect to the 91 sample deals.

Read the full paper

Provide your information for instant access to our research papers.

The content of this page is for informational purposes only and is intended for institutional professionals with the analytical resources and tools necessary to interpret any performance information. Nothing herein is intended to recommend any product, tool or service. For all references to laws, rules or regulations, please note that the information is provided “as is” and does not constitute legal advice or any binding interpretation. Any approach to comply with regulatory or policy initiatives should be discussed with your own legal counsel and/or the relevant competent authority, as needed.