订阅

多平台阅读

微信订阅

杂志

申请纸刊赠阅

订阅每日电邮

移动应用

商业 - 金融

中国或将推出不良资产救助计划?

Darius Dale 2011年06月17日

中国可能很快会推出一个大型救助计划,救助据传陷入困境的地方政府融资平台。投资者应谨慎以待。

    中国的信贷质量再度(或至少可能再度)成为头条新闻。中国内地最新的、未经证实的传言称,中央政府正准备将最近延期的2-3万亿人民币债务移出地方政府资产负债表。这笔债务折合3,090-4,630亿美元,据中国人民银行发布的《2010中国区域金融运行报告》计算,这一数额差不多是中国地方政府融资平台债务余额的14%-21%。

    同时,这一数额也相当于中国GDP的5.2%-7.9%,这样的救助规模在我们看来显然很大。为了对传言中的救助方案规模有个更清楚的概念,不妨看看美国的不良资产救助计划(TARP),后者获得通过时规模“只及”美国GDP的4.9%。这一救助计划能否使中国免于陷入金融危机仍未可知。

    让人困惑的是中国官员坚决否认存在任何救助计划。全国人大财经委副主任吴晓灵驳斥说,此类传言可能混淆了6-9月间政府将对地方政府融资平台展开调查一事。然而,希腊、爱尔兰和美国等地此类事件的经验告诉我们,官方对市场传言的否认之词往往都不能轻信。

    不过,在放弃“中国牛年”观点前,我们仍需等待更多的数据。我们选择在此保持观望,而不是立即在投资组合中体现这种想法,是考虑到中国特定的量化因素以及更大范围内的全球宏观因素。将研究观点与实际投资分离依然是当代风险管理的一大特征,也是对沃伦•巴菲特头号定律——不亏钱的最佳实践之一。

    接着说中国版救助计划的传言。我们一起来深入挖掘事件的背景和相关要素,以便了解事情的来龙去脉。

    为了避免中国经济陷入急剧衰退,2009-2010年中国中央政府曾采取力度空前的举措,通过国内金融机构实现信贷规模扩大17.6万亿人民币 (2.7万亿美元)。债务迅速累积的同时,货币供应量(M2)同比增幅于2009年11月达到了29.7%的高点。随后的18个月,央行加大了收紧流动性、抑制房地产投机行为的力度,货币供应量同比增幅逐渐回落,接近趋势水平线。央行采取的措施包括提高银行存款准备金率以及2010年10月以来连续四次加息,累计加息1个百分点。

    本周二,中国政府公布最新通胀率升至5.5%,大大高于预期。中国人民银行随后年内第六次上调了存款准备金率。

    过去两年大量的信贷扩张都是通过地方政府融资平台进行的。中国现行法律禁止地方政府发行债券,为支出和投资提供资金——因此,地方政府往往成立替代性实体,藉此获得债务融资。完全可以说,可能正是过去几年为了实现与中央政府经济刺激计划的对接,才让地方政府陷入了现在的境地。而且,正如全球的吉姆•查诺斯们所述(吉姆•查诺斯是著名的看空大师,其声称中国房地产泡沫的规模是迪拜的1000倍——译注),快速无畏的信贷扩张必然会产生一定的后果。

    根据上述中国人民银行的最新报告,2008-2010年地方政府融资平台数量增长了25%,规模超过10,000个,2009年总负债增长了50%,而2010年增长了20%,估计现已达到14 万亿人民币(2.2万亿美元),相当于中国银行体系截至4月底总信贷余额的28%。此外,一些分析师预计,仅温家宝总理敦促建设的3,600万套保障房一项,就将使今年的地方政府融资平台负债再增加1.9万亿人民币(2,960亿美元),到2015年底前负债将再增4.9万亿人民币(7,570亿美元)。

    中国人民银行将这些贷款认定为“大多为长期”以及“与基础设施项目相关”,约半数将于2014-15年到期。一位未透露姓名的中国官员称,地方政府融资平台的全部负债有约20%最终将成为不良贷款,但这一消息并未得到证实;惠誉(Fitch Ratings)将最严重情况下的不良贷款率设定为30%。

    按前述20%或30%的不良贷款率计算,意味着中国银行业长期必须冲销约5.6%-8.4%的总贷款额;根据地方政府融资平台的信贷到期时间表,半数将发生在未来3-4年内。这是相当可观的不良贷款,必须要逐步增加拨备计提(拨备计提的资金用于覆盖贷款的预期损失部分——译注)——这可能正是近期中国的银行股板块走势持续弱于大盘的原因。

    去年,中国银行业合计售股700亿美元,降低派息率(五大银行平均降低派息率200个基点至37%)并积极发展非贷业务,以便与更高的资本金要求保持一致。4月份,中国银监会起草的条例要求,到2016年银行的一级资本充足率至少要达到8.5%;可参照的是,同一文件显示目前全国银行业的平均一级资本充足率为10.1%(而据彭博统计全球100家市值最大的银行平均一级资本充足率为12.3%)。不过,该条例假定信贷年均增长率为15%,经济年均增速为8%,这意味着未来五年中国银行业可能还需再补充资本金1.26万亿人民币(1,950亿美元)。

    短期来看,中国银监会还要求中国最大的五家银行(合计持有风险加权资产26.8万亿人民币) 2011年全年要执行11.5%的最低资本充足率要求。一旦任何一家银行任何时候的资本充足率低于该下限,就必须通过募集资本金、放缓贷款增速、延迟并购和/或暂缓开设新分支机构等措施,在90天内达到下限要求。目前这五大银行的资本充足率均高于新实施的下限,但明显低于彭博统计的全球100家市值最大银行的平均资本充足率。

    Credit quality in China has once again been making (or at least trying to make) headline news. The latest unconfirmed speculation out of mainland China is that the central government is preparing to shift 2 trillion to 3 trillion yuan of recently-extended debt off of local government balance sheets. The amount, equivalent to $309-$463 billion, is roughly 14%-21% of the total outstanding debt of China's local government financing vehicles (LGFVs) according to the People's Bank of China's 2010 Regional Financial Operations Report.

    At an amount roughly equivalent to 5.2%-7.9% of China's GDP, it's clear to us that this bailout of sorts is a big deal. To put some context around the size of this rumored bailout package, TARP was "only" 4.9% of US GDP at the time of passage. Whether or not this winds up being "it" as it relates to financial crisis aversion in China remains to be seen.

    One thing that is quite disconcerting is the strong denial of any bailout by Chinese officials. Wu Xiaoling, vice chairman of the National People's Congress Financial Committee dismissed the rumors, saying that they had been confused with a telegraphed government investigation into LGFVs during the June-September period. As we have learned from the likes of Greece, Ireland, and the U.S. for that matter, politicians' denials of market rumors are typically anything but a sign of relief.

    That said, we are in the unique position of waiting for more data before we jump ship on our "Year of the Chinese bull" thesis. We've chosen to remain on the sidelines here, rather than expressing this idea in our virtual portfolio due to China-specific quantitative factors and broader global macro factors. Separating research ideas from actual investments remains one of the hallmarks of modern-day risk management, as well as one of the best ways to practice Warren Buffett's rule #1: don't lose money.

    Shifting back to the Chinese bailout rumor specifically, let's dig into the background story and relevant components in an effort to get you up to speed.

    In an unprecedented effort to avert a sharp recession for the Chinese economy, the central government via Chinese financial institutions oversaw a 17.6 trillion yuan ($2.7 trillion) expansion of credit from 2009-2010. During the rapid debt buildup, money supply (M2) growth peaked at 29.7% year-over-year growth in November '09. It has since come down to more trend-line levels as the central bank ramped up its efforts to drain liquidity and curb property speculation over the last 18 months via increases in bank reserve requirements, as well as four interest rate hikes since October '10 totaling one percentage point.

    On Tuesday, the PBOC raised capital requirements for the sixth time this year after inflation rate rose to 5.5% -- much higher than expected.

    A great deal of the credit expansion over the last two years had been funneled through the aforementioned LGFVs. Current statutes in China prevent local governments from issuing debt to finance spending and investment -- as a result, they have setup alternate arms-length entities through which debt financing is procured. It can be strongly argued that their obligation to implement the central government's stimulus objectives over the last couple of years is perhaps what got them into the current situation. Moreover, as the Jim Chanos-es of the world would have you believe, rapid and perhaps reckless credit expansion is not without consequence.

    According to the PBOC's recent report, the total number of LGFVs grew by 25% from 2008-2010 to over 10,000 and their collective debt burdens grew by 50% in 2009 and 20% in 2010 to an estimated sum of 14 trillion yuan ($2.2 trillion) or 28% of total credit outstanding throughout the Chinese banking system as of April. Additionally, Premier Wen Jiabao's push to build 36 million low-income housing units is estimated by some analysts to add another 1.9 trillion yuan ($296 billion) to the existing LGFV debt burden in this year alone and another 4.9 trillion yuan ($757 billion) through 2015.

    Further, the PBOC profiles these loans as "mostly long term" and "linked to infrastructure projects" with about half of them coming due in 2014-15. An unverified leak from an unnamed Chinese official suggests that roughly 20% of the total LGFV debt burden would ultimately wind up in the non-performing loan category; Fitch Ratings assigns a 30% non-performing loan ratio in their worst-case scenario.

    Using the aforementioned 20% or 30% NPL rate, that roughly equates to the Chinese banks having to charge-off 5.6%-8.4% of their total loan books over the long term, with roughly half of that occurring in the next 3-4 years based on the maturity schedule of the aggregate LGFV debt burden. That's a pretty substantial amount of bad loans that will likely have to incrementally reserved for – which is perhaps why Chinese banks have been substantially underperforming the broader index of late.

    Last year, Chinese banks sold a combined $70 billion of shares in a comprehensive effort which included cutting dividend payout ratios (an average of -200bps to 37% for the five largest banks) and expanding non-lending businesses to become compliant with higher capital requirements. Back in April, China's banking regulator drafted rules forcing banks to have Tier 1 capital ratios of at least 8.5% by 2016; for reference, the nation's lenders had an average Tier 1 capital ratio of 10.1% according to the same documents (that compares to an average of 12.3% of the world's top 100 largest banks by market cap, per Bloomberg). Still, the rules assume average credit expansion to the tune of +15% year-over-year alongside economic growth of +8% per year, which implies Chinese banks are likely to have to add another 1.26 trillion yuan ($195 billion) in supplementary capital over the next five years.

    From a more immediate perspective, the same regulator has forced the nation's five largest banks (combined holders of 26.8 trillion yuan of risk-weighted assets) to adhere to a minimum capital adequacy ratio of 11.5% throughout 2011. Should any of them fall below that threshold for any moment of time, they'll be forced to raise capital, slow loan growth, delay acquisitions, and/or suspend new branch openings to become compliant in 90 days. Each of the banks is well capitalized above the recently-implemented floor, but still well below the average capital adequacy ratio of the world's 100 largest banks by market capitalization, per Bloomberg.

    不过,目前要判断中国是否真的会采取激进措施,避免或减轻长期围绕地方政府融资平台的潜在债务危机,可能仍为时过早。从历史上看,中国政府大举干预是有先例的,1998-2005年中国政府曾花费约6,500亿美元救助国内银行业。但近期中国主权CDS和部分银行CDS的走势确实说明,至少需要对中国银行业持更谨慎的态度。

    不管怎么说, “什么也不做”是当前最佳的攻防手段。观望和等待将为我们提供更客观的数据解读。别忘了我们可能仍处于一个多年发展阶段的早期,现在急于求解并不现实,眼下听到的消息很可能与最终的现实相去甚远。

    All told, it's too early to tell whether or not China will actually implement drastic measures to avert or mitigate any potential credit crisis surrounding LGFV debt over the long term. History shows there is precedent for the Chinese government to undertake major intervention initiatives, having spent roughly $650 billion bailing out its banks from 1998-2005. Recent moves in China's sovereign CDS and select bank CDS do, however, suggest that at least some level of incremental caution regarding China's banking sector is merited.

    At the bare minimum, we find that "doing nothing" is the best immediate-term plan of attack here. Waiting and watching from the sidelines will afford us a more objective interpretation of the data as it rolls in. Additionally, it's important to keep in mind that we are potentially in the early days of a multi-year developing story, so there's no sense in rushing for answers, as any you are likely to receive now may wind up far from the realities of tomorrow.

我来点评

相关稿件

  最新文章

最新文章:

500强情报中心

财富专栏