1、 外文翻译 State-Owned Commercial Bank Debt Transfers and Contingent Claims: Issues in the Valuation of Chinas Non-Performing Loans Material Source: school of commerce, university of South Australia, North Terrace, Adelaide, SA5001 Australia Author: Ron McIver This article outlines contingent claims crea
2、ted as a result of the arrangements underlying the transfer of state-owned commercial banks non-performing loans to asset management companies. An understanding of these factors is central in analyzing the potential for Chinas asset management companies to realize value from their acquisition of the
3、se non-performing state-owned enterprise loans. After establishing the scale of the non-performing loan problem, the article identifies and describes a number of real and financial options that may assist in the consideration of the value of assets associated with the transfer of non-performing loan
4、s from the state-owned commercial banks to the asset management companies. Real and financial options appear in the form of implied guarantees over asset management corporation debt, implied guarantees associated with the non-performing assets remaining with the state-owned commercial banks, and wit
5、hin the equity positions held by the asset management companies as a result of equity-for-debt swaps initiated under the current reform process. The article concludes that any gains made to the credit standing of the state-owned commercial banks reflect the value of implied guarantees over both the
6、asset management corporation debt and the remaining stock of non-performing loans held by the banks. Furthermore, institutional arrangements associated with the equity positions held by the asset management corporations significantly reduce the value of options associated with operation and control
7、of firms in which the equity positions are held. Additionally, the structure of equity positions taken under the equity-debt swaps suggest that the value of equity positions held in state-owned enterprises by the asset management companies will be considerably lower than hoped for and implied in the
8、 asset management companies mandates. 1. Chinas Non-Performing Loans and Financial Restructuring The literature on financial and enterprise transition, particularly the experiences of the Eastern European Countries, suggests that important issues in the reform of SOEs include the need to (Beim and C
9、alomiris, 2001, pp 105-106): 1. create legal structures for property rights, companies and contracts 2. restructure SOEs in corporate form 3. introduce competition 4. eliminate government price setting 5. introduce modern accounting and auditing practices. However, the potential for the success of s
10、uch reforms will be diminished if growth is constrained by the presence of an inefficient financial sector. A high level of centralized control may significantly reduce both the rate and evenness of economic growth due to the market fragmentation and pricing inefficiencies associated with centralize
11、d controls (McKinnon, 1973). Financial factors have, therefore, been assigned strategic importance in ensuring the success of Chinas economic reforms, and to assist it to continue its rapid economic growth and development (Moreno 2002, p 1), particularly the resolution of the NPL problem. The scale
12、of the NPL problem in Chinas banking system provides one of Chinas greatest challenges in its reform process. Estimates suggest that the level of NPLs generated by Chinas SOCBs, both those removed from the banks balance sheets and those remaining, at between 40 and 65 percent of the level of total l
13、oans outstanding (Cockerill, 2001, p 188; Economist Intelligence Unit, 2001, p 2; Ma and Fung, 2002, p 1; Bottelier, 2002, p 401). Major factors behind the accumulation of Chinas NPLs to current levels include extensive policy lending during the command economy period, poor financial performance by
14、a significant portion of the SOE sector (Bonin and Huang, 2001, pp 199-200), and the lack of a true bank credit culture at the state-owned banks (OECD, 2000, p87). Chinas government has taken a number of steps to improve the soundness of its banking sector and, in particular, the financial integrity
15、 of the four large SOCBs which still account for the bulk of the total assets of the sector. Some of these strategies are behavioral, including greater exposure to market forces and improvements to corporate governance in the banking sector itself (Moreno 2002, p 2; OECD, 2000, p 14).Other important
16、 elements include the 1998 RMB 270 billion recapitalization of the SOCBs by the central government (Lardy, 2000, p12) and the transfer of a large amount (around RMB 1.4 trillion) of NPLs from the SOCBs balance sheets to AMCs. Additionally, a history involving a lack of incentives for improved financ
17、ial performance for managers of SOEs, and a heavy reliance on a state-controlled monopoly banking system for funds, suggests that it will be difficult to reduce the dependence of SOEs on bank credit. This history has resulted in SOEs being dependent on bank lending for funds for both capital investm
18、ent and working capital, and also with extremely high levels of leverage (Heytens and Karacadag, 2001). Successful reform of SOE management and an improvement in the performance of state-owned assets associated with the loans transferred to the AMCs thus provides a test-bed for the solution to the g
19、reater problem of the NPLs held by the SOCBs. 2. Chinas Asset Management Companies and Non-Performing Loans As part of its set of strategies to reform its SOE debt and to improve the management NPLs of its SOEs, China established four AMCs between April and October of 1999 (Bonin and Huang, 2001, p2
20、05). It is to these AMCs that SOCBs were able to transfer the pre-1996 proportion of their bad debts (in the form of NPLs). This transfer of NPLs, which took place during 1999-2000, accounted for approximately 21 percent of the value of loans outstanding at the SOCBs and amounted to almost RMB 1.4 t
21、rillion in book value (Ma and Fung, 2002, p 1). Each SOCB has its own associated AMC: Construction Bank of China (Cinda), Industrial and Commercial Bank of China (Huarong), Bank of China (Orient), and Agricultural Bank of China (Great Wall). The structure of debt transferred and recovery of this deb
22、t to the end of 2002 is as follows: asset management corporation non-performing loans transferred(RMB billion) non-performing loans disposed (RMB billion) Assets recovered (RMB billion, %) Cash recovered (RMB billion, %) huarong 407.7 63.2 27.3(43%) 19.8(31%) great wall 345.8 106 19.9(19%) 9.8(9%) o
23、rient 267.4 45.5 20.6(45%) 11.2(25%) cinda 373 86.8 33.6(39%) 26.6(31%) Total 1394 301.5 101.4(34%) 67.4(22%) The major functions of the AMCs are the purchase, operation, and management of the assets associated with NPLs acquired from the SOCBs. This operation function includes the making of improve
24、ments to management systems instilling a profit orientation-and to accounting information and information release systems (Guo, 2002, p124). The AMC are also expected to realise the maximum possible sales value on NPL through a combination of the sale of equity, auction and private placement of asse
25、ts, merger and acquisition, securitization, and liquidation (Lardy, 2000, p12). The Peoples Bank of China statistics suggest that to the end of 2002 the four AMCs have disposed of approximately RMB301.5 billion of NPLs, recovering RMB101.4 billion in assets, of which RMB67.4 billion is cash (Peoples
26、 Bank of China, 2003). However, this amount must be set against the interest accrued and paid on asset management corporation debt over the three years from 2000 to 2002. This interest bill could amount to approximately RMB78.8 billion. Additionally, considering the cost of recovery of NPLs in other
27、 countries, at around 20 percent of the value of NPL assets (Bonin and Huang, 2001, p202), there is the potential for AMC funds to run out over the next few years, if they have not already done so. A shortage of funds with which to manage the AMCs will require considerable cash injection from either
28、 additional bond sales by the Ministry of Finance, or the provision of additional loans from the Peoples Bank of China. Thus, given the SOCBs holdings of their debt obligations, it is likely that the AMCs represent a serious default risk to the SOCBs in their own right. Indeed, it may be that the SO
29、CBs are already accruing unpaid interest on the AMC debt (Cockerill, 2001, p 190). This suggests that the banks may have deferred, but not removed, exposure to that part of the NPL problem transferred to the AMCs. In the absence of any explicit or implicit government guarantee over the reminder of t
30、he debt, a matter of timing, rather than substance in the matter of non-performing debt, exists for the SOCBs. A future issue in relation to the role of the AMCs in resolving SOE performance is the practical ability for the AMCs to avoid the accumulation of future NPLs. This may be difficult given t
31、heir SOE characteristics and potential lack of independence from their client banks (Cockerill, 2000, p48). Recent official estimates suggest that NPLs left at the SOCBs may still represent around 25 per cent of the value of total loans held (Moreno, 2002, p1). Thus there may be considerable pressur
32、e for additional NPLs to be transferred to AMCs in the future. The above factors suggest that an active interest be taken in the order of magnitude of the funds likely to be realized through the AMCs future management of SOE assets and their disposal of the associated NPLs. This is due to the potent
33、ial cost to the SOCBs, and ultimately the Ministry of Finance, of any default on AMC debts. The following section of this paper attends to this issue through a consideration of the implications of the presence of contingent claims (in the form of real and financial options) that may be associated wi
34、th the assets underlying the NPLs assets transferred to the AMCs. 资产管理公司，国有商业银行的债务转移 中国的不贷款评估问题 资料来源 :金融管理 作者： 荣恩麦克夫 本文概述了国有商业银行不良贷款作为基础，转移到资产管理公司的安排而产生未定权益。通过这些因素在分析中国的资产管理公司的潜力，实现从他们对这些不良国有企业贷款收购价值的核心。 在确定了不良贷款问题的规模之后，文章确定并描述了金融股权数目可能有助于在与不良贷款相关的资产转移价值。基础和财政因素出现在隐含保证 在资产管理公司的债务，是非执行与国有商业银行的其余资产有关的
35、隐含保证的形式，并在股权由资产管理公司持有头寸的结果股权根据目前的改革进程中发起的债务互换。 文章 认为在向国有商业银行信誉的任何收益都反映了资产管理公司债务的价值隐含保证和银行持有的不良贷款，余下的存货。此外，制度安排与相关资产管理公司持有大大降低运作和公平的职务，其中持有公司控制相关的选项值的一半股权。此外，根据资产负债权益所采取职务掉期合约结构表 明，由资产管理公司国有企业持有股票部位的价值将大大低于所希望 在资产管理公司的职权。 3. 中国的不良贷款和 金融体制改革 关于金融和企业转型的文献，特别是一些东欧国家的经验，显示使用 SOE模式的重要性。 (Beim and Calomiri
36、s, 2001, pp 105-106) 1. 创建产权，公司和合同的法律效力结构 2. 于国有企业重组公司形式 3. 引入竞争机制 4. 消除政府定价 5. 引进现代会计和审计的做法 然而，如果经济增长是由金融部门存在的效率低下的制约，这种改革成功的可能性将会减少。一个高层次的集中控制都可能会大大减少，经济增长速度由于市场分割和定价（ McKinnon, 1973）集中式控制有关低效率的均匀性。因此，金融的因 素被赋予在确保中国的经济改革取得成功的战略重要性，以及协助其继续经济快速增长和发展（ Moreno 2002, p 1），尤其是不良贷款问题的解决。 中国的银行体系的不良贷款问题的规模
37、提供了中国最伟大的及其改革进程的挑战之一。评估表明中国的国有商业银行产生不良贷款的水平，无论是从银行的资产负债表和那些遗留资产中，核销那些在 40%到 60%的总贷款余额（ Cockerill, 2001, p188; Economist Intelligence Unit, 2001, p 2; Ma and Fung, 2002, p 1; Bottelier, 2002, p401）。落后的中国的不良贷款积累到目前水平的主要因素包括经济期间，在广泛的政策指挥信贷由国有企业部门（ Bonin and Huang, 2001, p199）的重要部分，不佳的财务表现，以及缺乏真正的银行以国有银
38、行的信用体系。（ OECD, 2000, p87） 中国政府已采取了若干手段，以提高银行业的稳健性，特别是这些手段仍然保留该行业的总资产中的大部分大型国有商业银行的金融的完整性。这些战略的一些行为，包括更多地接触在市场力量和改善银行业本身的企业管治（ Moreno 2002, p2; OECD, 2000, p14）。其他重要因素包括 1998 年的人民币2700 亿元的国有商业银行由中央政府（ Lardy, 2000, p12），以及大量的不良贷款（ around RMB 1.4 trillion）从国有商业银行的资产负债表转移到资产管理公司注资。 此外，历史上涉及改善国有企业管理人员的财务
39、表现缺乏激励机制，以及对国家控制的垄断银行体系资金的严重依赖，将难以降低国有企业对银行信贷的依赖程度。历史造成了银行贷款的资金为资本投资及营运资金，并且杠杆（ Heytens and Karacadag, 2001）水平的高低还取决于国有企业。成功的改革和国有企业管理在与转移到资产管理公司，这为贷款相关的国有资产业绩的改善提供了解决由国有商业银行持有的不良贷款的问题。 2.中国的资产管理公司与不良贷款 作为其战略，以改革国有企业债务和提高其国有企业不良资产的管理一个组成部分，中国在 1999 年 4 月至 10 月成立了四家资产管理公司。（ Bonin and Huang, 2001, p20
40、5）这些资产管理公司是国有商业银行能够移交 1996 年以前的坏账（以不良贷款的形式）。在 1999-2000 年期间移交处理的不良贷款，约占国有商业银行贷款余额的 21%，账面价值金额将近人民币 1.4 万亿美元。 每个国有商业银行都有自己的相关资产管理公司：建设中国银行（信达），中国工商银行（华融），中国银行（东方），以及中国农业银行（长城）。以下是四大资产管理公司 2002 年的资产转移和资金回收情况： 2002 年四大资产管理公司不良资产转移和处置情况 . 来源自中国人民银行 2003 资产管理公司 转移不良资产 (亿元 ) 处置不良资产 (亿元 ) 资产回收 (亿元 ,%) 现金回收
41、 (亿元 ,%) 华融 407.7 63.2 27.3(43%) 19.8(31%) 长城 345.8 106 19.9(19%) 9.8(9%) 东方 267.4 45.5 20.6(45%) 11.2(25%) 信达 373 86.8 33.6(39%) 26.6(31%) 总和 1394 301.5 101.4(34%) 67.4(22%) 这些资产管理公司的主要职能是购买，经营，以及与国有商业银行收购不良贷款的相关资产管理。此操作功能包括改进决策管理系统，灌输一种利润导向和会计资料 和信息发布系统 (Guo, 2002, p124）。资产管理公司通过公平，拍卖和资产，兼并和收购，证券，
42、清算私募销售相结合的销售预期变现上最大可能的不良贷款的价值。 (Lardy, 2000, p12) 以债券的形式发行的国有商业银行，特别关注的是资产管理公司是否有能力偿还债务。显而易见的是在目前资产管理公司回收率将无法足额偿还贷款，或他们的服务在债券的利息支付生活。 (Cockerill, 2001, p190) 根据人民银行的统计显示，中国到 2002 年底，四大资产管理公司的不良贷款约为 301.5 亿美元出售，回收 101.4 亿元资产，其中 67.4 亿现金（ Peoples Bank of China, 2003）。然而，这一数额必须设置及支付对累计超过三年的资产管理公司 2000
43、至 02 年的债务利息。这笔透支要利息可以达到 78.8 亿美元。 (Bonin and Huang, 2001, p202)此外，考虑到 20 年左右的不良资产值的百分之二十在其他国家的不良贷款回收成本，在未来数年进行如果他们没有这样做。那么将会导致资金短缺，用以管理资产管理公司将要求无论是财政部，还是从人民的额外贷款。 因此，鉴于国有商业银 行偿债义务的国有商业银行集团，可能的资产管理公司是一个严重的违约风险。事实上，这可能是由于国有商业银行已经累积的资产管理公司债务未付利息。这表明，银行可能推迟，但并未消除，曝光该转移资产管理公司的不良贷款问题的一部分。在没有任何明确的或隐含的政府担保的债务在提醒，不是在不良债务问题的实质，而是没有存在的国有商业银行。(Moreno, 2002, p1). 上述因素表明，在积极关注的资金可能是通过资产管理公司未来的国有企业资产管理及其相关的不良资产处置变现大小顺序进行。这是由于潜在的成本，国有商业银行，并最终 财政部，任何关于资产管理公司债务违约。
