摘要
在不良贷款资产支持证券各类产品中,个贷抵押类不良贷款资产支持证券回收率普遍较高,资产质量更优,近年来受到越来越多投资人青睐,市场关注度日益提升。本文基于中债资信承做信贷资产支持证券双评级业务时积累的历史数据和项目储备,对目前市场已发行的50单个贷抵押类NPAS项目、超20万笔入池资产进行逐笔分析,并结合近300单存续RMBS项目基础资产真实违约回收表现,分析影响个贷抵押类不良贷款资产支持证券回收金额和回收时间的可能因素,以期助力发起机构提升不良资产处置效率,帮助投资人识别证券风险、发现投资价值。
Among the various kinds of non-performing asset securities,personal mortgage-backed NPAS assets are generally of better quality and enjoy a higher recovery rate.As a result,investors have increasingly turned to NPAS investments in recent years.This paper analyzes 50 NPAS projects and over 200000 pooled assets in the market.It makes use of historical data and project reserves accumulated by China Bond Rating Corporation when undertaking double-rating activities related to asset-backed securities.Furthermore,it examines factors that could affect recovery amounts and recovery time in order to help improve the disposal efficiency of non-performing assets and assist investors in identifying securities risks and discovering investment value.
出处
《金融市场研究》
2022年第6期120-128,共9页
Financial Market Research
关键词
个贷抵押类不良贷款
资产支持证券
回收率
回收时间
Personal Mortgage-Backed NPAS
Asset-Backed Securities
Recovery Rate
Recovery Time
