NEW YORK, Nov 23 (Reuters) - Investors should sell short-dated bonds of Residential Capital, as a near-term bankruptcy of the mortgage company is highly likely, high-yield research firm KDP Investment Advisors said in a new report.

ResCap's parent, GMAC, has been kept afloat with government support because its financing operations are considered integral to the auto industry, but no such case can be made for ResCap, KDP said in a report on Friday.

With "bail-out fatigue" setting in, "we don't think the government will provide incremental billions to GMAC if any of that money is earmarked for the mortgage subsidiary," KDP analyst Thomas Ferguson said in the report.

GMAC spokeswoman Gina Proia declined to comment on speculation about a ResCap bankruptcy. "We're working expeditiously to find an appropriate solution and deal with the challenges at ResCap," she said.

Once a leading real estate financing company, ResCap stumbled after making mortgage loans to borrowers with weak credit and has required repeated capital infusions from GMAC, an auto and commercial lender.

ResCap's bonds have plunged and the cost of protecting its debt has soared since GMAC late last Monday said it named a new chief executive, heightening uncertainty about ResCap's future. GMAC said board member Michael Carpenter is succeeding Alvaro de Molina, who resigned, as CEO.

KDP's Ferguson said he sees a bankruptcy filing as more likely since the new chief executive commented about the need to focus on the GMAC's core auto financing business and find a solution to ResCap.

"Many, including us, view that solution as bankruptcy," he said.

Ferguson recommended that investors sell ResCap's shorter-dated notes, which are trading at a higher price than some longer-maturity notes. Prices of long- and short-dated debt should converge because they will be treated equally in a bankruptcy, he said.

Assigning a recovery value to ResCap's assets in a bankruptcy "is nothing short of guesswork," Ferguson said. The value of its mortgages and other assets will depend on real estate and secondary markets, and with unemployment and mortgage delinquencies rising, "optimism's in short supply," he said.

The cost of protecting ResCap's debt with credit default swaps surged last week to about 53.5 percent on Friday from 37 percent on Monday, according to data from Phoenix Partners Group. That means it costs $5.35 million in an upfront payment to insure $10 million of ResCap debt, plus annual premiums of $500,000. (Reporting by Dena Aubin; Editing by Padraic Cassidy) ((dena.aubin@thomsonreuters.com; +1-646-223-6325; Reuters Messaging: dena.aubin.reuters.com@reuters.net))