MSCI China Non-Performing Loan ABS Collateral Model
Research Paper
January 25, 2020
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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.
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