On The Effect Of Floating Compensation Mechanism On Non-performing Asset-backed Securities Performance

Faced with the environment of “Three Superimposed”,the economic keep going down.The scale of non-performing assets of commercial banks in China has expanded.Asset-backed securities provide a market-oriented channel for solving the problem of non-performing assets and are one of the important innovative products.Since 2016,China has a total of 67 non-performing asset-backed securities,with an increasing market size and diversified base assets.Among them,the core of the whole value chain of non-performing asset-backed securities lies in the collection efficiency of loan service institutions.This paper will take the floating compensation mechanism as the research object,and deeply study the related subject income of non-performing asset-backed securities,in order to explore the rationality and effectiveness of the design of floating compensation mechanism.This paper expounds the related theories of non-performing asset-backed securities,sorts out the current status and problems of the development of non-performing asset-backed securities,and sorts out the three payment modes of the existing non-performing asset-backed securities floating compensation mechanism.Then,combined with the principal-agent theory,the game model is designed to demonstrate the rationality of the floating compensation mechanism,focusing on the incentive effect of the floating compensation mechanism on the loan service institution.“HECUI 2016-02” issued by China Merchants Bank is the object,then paper analyze the product distribution background,transaction structure and cash flow payment mechanism.From the perspective of the sponsoring bank,set up four kinds of floating compensation payment mechanisms,different cash flow recovery rates,calculate the origin of the bank,and compare the trend of income changes.From the perspective of investors,this paper analyzes the factors affecting the performance of the floating compensation mechanism on the priority and secondary investors' income.According to the case,the current design of the floating compensation mechanism of China's non-performing asset-backed securities proposes the diversification of the floating compensation mechanism,the establishment of the highest ratio of floating compensation,and the introduction of professional loan service institutions and external rating systems.The main points of the paper are: First,the floating compensation mechanism has a positive incentive effect on loan service institutions.Within the limited scope,the higher the proportion of floating compensation,the greater the effort,and the higher the cash flow recovery rate of non-performing assets.Second,the loan serviceagencies with different risk tolerance have different incentive effects.The general loan service institution is a risk averse person,the floating reward is increased to a certain extent,and the incentive effect is marginally diminished.Third,the income from non-performing asset-backed securities is related to the floating compensation mechanism.The income of the securities originator is affected by the floating compensation model and changes in the same direction as the cash flow recovery rate.At the same time,the income of secondary investors is maximized in the range of moderate cash recovery rate.The excessively high proportion of floating compensation weakens the attractiveness of secondary investors.A reasonable design of floating compensation mechanism can guarantee the comprehensive income of securities.In the study of the design of the floating compensation mechanism of non-performing asset-backed securities,this paper makes some attempts to use the model derivation and case analysis methods to analyze the impact of the floating compensation mechanism on the securities returns.The internal relationship between the floating compensation mechanism and the cash flow recovery rate was clarified,and the impact mechanism of the incentive mechanism on different stakeholders was sorted out.However,due to the limited number of non-performing asset-backed securities and incomplete information disclosure,the results may be biased.