惠誉报告 中国银行贷款证券化

Banks  14July2010 China Special Report ChineseBanks Informal SecuritisationIncreasingly Distorting Credit Data Summary Inthewakeofthe2009creditboom,trendsinChinesebankloangrowthhavebeenincreasinglyunderthespotlight.Bankcreditrose33%in2009(to140%ofGDPatyear‐end),andisonpaceforanotherbriskyearin2010.WithGDPgrowthnowbackindouble‐digits,Chinesepolicymakershavebeengrapplingwithhowtoreininthecredit‐fuelledstimulusbeforeitleadstooverheating,withoutovershooting.Againstthisbackdrop,thereporteddecelerationinlendinginH110(Chart1)hasreceivedmuchattention.Theslowdowniscitedasevidencethatrecentadministrativetighteningisworking,andthatChina’sbanksandeconomyarenormalisingaftertheshockof2008‐09.WhilethecreditenvironmentislessfrenziedthaninH109,FitchRatingscautionsthatlendinghasnotslowednearlyasmuchasofficialdatasuggests,duetotheincreasingamountofcreditbeingshiftedoffofChinesebanks’balancesheetsviainformalsecuritisation(iethere‐packagingofloansintoinvestmentsproductsforsaletoinvestors).FitchbelievesthevastmajorityofthesetransactionsarenotpubliclydisclosedbyChinesebanks,andfew,ifany,tracesoftheloansremaininfinancialstatements.Thegrowingpopularityofthisactivityisincreasinglydistortingcreditgrowthfiguresataninstitutionalandsystemlevel,resultinginpervasiveunderstatementofcreditgrowthandcreditexposure.Consequently,Chinesebanks’loanlossreservesandcapitalaremoreexposedtocreditlossesthancurrentdatasuggests.Adjustedforinformalsecuritisationactivity,FitchestimatesthatthenetamountofnewCNYloansextendedinH110wasclosertoCNY5.9trn,or28%abovetheofficialfigureofCNY4.6trn.WhilethisdifferencemayseemsmallwhencomparedtothetotalstockofCNYloansforbanksinvolvedinthisactivity(roughlyCNY34trnatend‐June2010),onaflowbasisthevolumeofcreditbeingshiftedoffbalancesheetsinrecenttimeshasbeenlargeandrising.Activityalsoislargelyconcentratedamongjustafewdozenbanks,andinstitution‐specificexposureisoftenmuchhigher.Akeymisconceptionaboutthisactivityisthataslongasthequalityoftheinvestmentproducts’underlyingassetsremainsstrong,thereisnothingtoworryabout.Whileassetqualityisakeyissue,Fitch’sgreatestconcernscurrentlycentreonliquidityrisk,andthegrowingpotentialliabilitiesChinesebanksaretakingoninthisactivity.Credit‐backedinvestmentproductsarefrequentlymarketedassubstitutesforbankdeposits,andinvestorscommonlybelievethereisanimplicitcommitmentfrombankstorepayinvestorsupontheproducts’maturity.However,theseobligationsarenotincludedanywhereinfinancialstatements,andhencerepresentahiddencallonliquidity.WhileChina’slarge,highlyliquidbanksmaybeabletomanagetheseobligations,smallerbankscouldencounterstrains. Analysts [e-mail][e-mail][e-mail] Related Research·Macro‐PrudentialRiskMonitor(June2010)·EMBankingSystemDatawatch(April2010)·China(January2010)·ChineseBanks:AnnualReviewandOutlook(December2009)·ChineseBanks:SoaringCreditAmidWeakCorporateClimateAConcern(May2009)·ChineseBanks:AssetQualityUnderPressureAsCreditCycleTurns(January2009)04008001,2001,600200520062007200820092010010203040Newloans/mo.(3mma,LHS)CNYloans(yoy,RHS)Chart1:CNYLoanGrowth(CNYbn)Source:Bloomberg,PBOC(%)BanksChineseBanks‐InformalSecuritisationIncreasinglyDistortingCreditDataJuly2010 2 Recent Developments in Regulation andDisclosure InearlyJuly,alarmedattheincreasingamountofcreditleakingoutofthebankingsystemthroughthischannel,theChinaBankingRegulatoryCommission(CBRC)orderedtrustcompanies,whichplayavitalroleinthesetransactions,totemporarilyhaltallinformalsecuritisationdealswithbanks.Whetherthebanwillultimatelybecomepermanentandwhat,ifany,formsofactivitywillbeexempthaveyettobeofficiallydecided.TheCBRCislikelytofaceoppositiontothebanfrombanksandtrustcompanies,and,aswithpreviousrulesaimedatcurbingthesedeals,thefinalregulationscouldbemuchlessstringentthanthoseinitiallyannounced.InFitch’sview,aprohibitiononthisactivitywouldbeapositivesteptowardspreservingfinancialsectorstability,butinpracticecouldbedifficulttoexecuteandcarriespotentialnegativeimplicationsforgrowthovertheshort‐run.TherecoveryinChina’sGDPgrowthismorecredit‐dependentthanmostobserversrealise,andtheneedtomaintainloosecreditwhilepreservingthestrengthofbankbalancesheetsisonereasonwhythesedealshavebeenpermittedtocontinue.Fromapracticalviewpoint,evenifablanketbanwereputinplace,implementationwouldnotbeasimpletask,andFitchbelievesChinesebankswouldcontinuetofacesignificantrisksfromthisactivityforatleastanotheryear.Whileabanmayeffectivelystopnewtransactionflow,totheextentthatbankshavebeenpayingmaturinginvestorswithnewmoniesraised(whichisnotuncommon),thebanitselfcouldleadtodifficultiesinmeetingrepaymentobligationsatsomeinstitutions.OftheestimatedCNY2.3trninoutstandingproductsatend‐H110,morethan40%ofproductswillmatureinH210andanother25%inH111.Meanwhile,dealingwiththelargestockofloansalreadytransferredoff‐balance‐sheetandre‐packagedintoinvestmentproductsalsocouldbeachallenge.Incaseswherethematurityoftheunderlyinga