An Empirical Study On The Influencing Factors Of Recovery Rate Of Non Performing Asset Backed Securities

As important institutions in the national economy,the asset size of banks naturally can not be underestimated.With the continuous development of banks,the scale of the bank’s asset is bigger and bigger,but on the other hand,the scale of the bank’s non-performing asset is also on the rise year by year.The non-performing assets increase the bank’s credit risk exposure,even a part of the bank’s capital adequacy ratio has not reached the requirements of regulators.The banks need to managements related to the non-performing assets.Therefore,banks need to take measures on the risks of the non-performing assets,the use of financial tools to carry out related risk transfer is the most common risk management method,and the securitization of non-performing assets is a typical tool to achieve this goal.It can not only help banks reduce the proportion of non-performing assets,but also improve the liquidity and loan-to-deposit ratio of commercial banks.As of the end of December 2021,the balance of non-performing loans in our country’s banks was 2.8 trillion yuan,but the total non-performing assets involved in non-performing asset securities was only 400 billion yuan,showing that the effect of non-performing asset securitization has dealt with overall nonperforming assets is relatively limited now.From the perspective of non-performing asset-backed security’s investors,the underlying assets of the securities are non-performing assets,and the recovery of the underlying assets can not be guaranteed either in time or amount,resulting in the overall cash flow uncertainty of the securities.Therefore,a further research on the value of investment and recovery’s influencing factors will help investors to be more accurate judging the profit and risk of a product is of great significance to increasing their enthusiasm for participation.The article takes as a sample the 156 non-performing asset-backed securities projects issued on the inter-bank market since the re-launch of our country’s non-performing asset securitization business in 2016,and attempts to analyze the transaction structure of non-performing asset securitization products,the analysis of the influencing factors of the asset pool recovery rate.Firstly,this paper combs all the project data and summarizes the market development trend.In the past five years,non-performing securitization business has shown a trend of rapid development and played an increasingly important role in resolving financial risks.However,compared with the total size of non-performing assets,the disposal effect still needs to be enhanced.How to accurately forecast the return of NPL is an important challenge to promote its sustainable development.Secondly,this paper summarizes the impact of the cumulative recovery amount on the return rate by sorting out the characteristics of the non-performing asset-backed securities,and conducts a scenario analysis in combination with specific cases.The results of the study found that Nonperforming asset backed securities yield is closely related to the recycling of underlying assets,the securities principal and proceeds derived from the asset pool of underlying assets recovery of cash flow,compared with the securities issuance,the greater the actual total recovery amount of underlying assets,the greater the investment income of investors,and got the quantity formulaThirdly,this paper combines multiple regression,factor analysis and panel model studies the impact of various indicators of the basic assets of non-performing loan-backed securities on the overall recovery rate.Multiple regression results showed that the total amount of pooled loans,weighted average annual income and number of loans have a significant positive impact on the expected recovery rate,while the weighted average loan age,borrower age and weighted average loan overdue period have a significant negative impact on the expected recovery rate.The factor analysis further refined the 14 explanatory variables into 5 factors,among which the amount of securities issued,the total amount of underlying assets,the average single loan amount and the borrower characteristics have a significant positive impact on the expected recovery rate,and the average aging factor has a significant negative impact on the expected recovery rate.In general,investors are more inclined to choose products with higher securities issuance limit,higher total loan balance of asset pool,shorter aging of underlying assets,higher average single loan amount,younger borrowers,higher weighted average annual income and more loans.The above research conclusions have certain reference significance for promoting investors to better understand China’s NPL securitization market,institutions to evaluate the value of NPL backed securities more rationally,and promoting the sustainable development of NPL securitization market..