1清科研究中心pedata2019年另类资产配置之不良资产专题研究报告China's Non-performing Assets Investment Report 2019本资料由资管君社区神奇的风控合规群资深成员分享群加微信ziguanjun05扫一扫二维码2019年另类资产配置之不良资产专题研究报告Alternative Assets: Non-performing Assets Report 20191清科研究中心pedata目 · 录88引言 ··························································································································· 1第 1 章 不良资产简介 ···································································································· 31.1 不良资产定义及成因 ···································································································31.2 不良资产投资的特点 ···································································································41.3 配置不良资产的必要性 ································································································5第 2 章 海外不良资产投资的发展历程 ··············································································· 62.1 海外不良资产投资发展历史及特点 ·················································································62.2 海外机构发展情况介绍 ································································································8第 3 章 我国不良资产投资的发展历程 ··············································································113.1 我国不良资产发展历史 ······························································································113.2 我国不良资产发展现状 ······························································································123.2.1 供给端：大违约时代到来 不良资产规模扩大 ···························································123.2.2 处置端：“ 4+2+N”行业格局 参与主体多元化 ·······················································163.2.3 投资端：不良投资者更加多元 渗透率提升 ······························································183.2.4 服务机构：参与机构种类丰富 向信息化和专业化转型 ···············································183.2.5 政策环境：配套法律和税务政策完善中仍有不足 ······················································19第 4 章 不良资产投资逻辑和运营模式 ··············································································224.1 债权处置模式 ··········································································································224.1.1 原装处置模式 ···································································································234.1.2 精细化处置：债务重组 ······················································································244.1.3 债权处置经典案例 ·····························································································274.2 实物资产处置模式 ····································································································294.2.1 原装处置模式 ···································································································304.2.2 精细化处置：实物资产重组 ·················································································304.3 股权处置方式 ··········································································································334.3.1 债转股模式 ······································································································342019年另类资产配置之不良资产专题研究报告Alternative Assets: Non-performing Assets Report 201924.3.2 机会型并购 ······································································································374.3.3 资产证券化 ······································································································384.4 组合处置方式 ·····································································································40第 5 章 不良资产投资基金的运作模式与典型机构分析 ·························································435.1 良资产投资基金收益特征与 LP 类型 ·············································································435.1.1 不良资产投资基金风险收益特征 ···········································································435.1.2 不良资产投资基金运作模式与 LP 类型 ···································································445.2 不良资产投资基金的投资策略 ·····················································································455.2.1 不良资产投资基金的项目筛选与尽调 ·····································································455.2.2 不良资产投资基金的投资策略 ··············································································475.3 不良资产投资基金投后管理与退出策略 ·········································································495.3.1 不良资产投资基金投后管理与运营 ········································································495.3.2 不良资产投资基金处置与退出策略 ········································································515.4 不良资产投资基金管理机构类型与运作模式 ···································································525.4.1 国内不良资产投资的专业机构 ··············································································525.4.1.1 投资策略 ······························································································535.4.1.2 处置策略 ·······························································································545.4.2 境外不良资产投资专业机构投资中国不良资产 ·························································555.4.2.1 境外不良资产投资机构竞逐中国 ·································································555.4.2.2 境外机构投资国内不良资产依赖本土资产管理公司 ·········································56第 6 章不良资产投资发展趋势及展望 ···············································································572019年另类资产配置之不良资产专题研究报告Alternative Assets: Non-performing Assets Report 20193清科研究中心pedata图 · 目 · 录888图 2.1.1 2008-2018H1 全球不良债权基金管理资本量 ·········································································8图 3.2.1.1 2009-2018 年中国国内生产总值（ GDP）及增速 ·······························································13图 3.2.1.2 2009-2018 年中国主要部门杠杆率（ %） ·········································································14图 3.2.1.3 2013-2019 年上半年违约债券及评级调低债券数量 ·····························································15图 3.2.1.4 2010-2019 年沪深两市实施 ST 公司数量及其占比 ·····························································16图 3.2.3.1 不良资产投资行业主要参与主体 ·····················································································18图 4.1 不良资产处置主要方式 ·····································································································22图 4.1.2.1 典型债务重组方案 ·······································································································25图 4.1.3.1 佳兆业集团债务重组方案 ······························································································27图 4.2.2.1 实物资产重组主要方类型 ······························································································31图 4.3.1.3 云锡集团债转股方案 ····································································································37图 4.3.3.2 资产证券化产品结构图 ·································································································40图 4.4.1 “ ST 超日”资产重组方案 ·······························································································412019年另类资产配置之不良资产专题研究报告Alternative Assets: Non-performing Assets Report 20194表 · 目 · 录888表 2.2.1 国外主要不良资产投资机构比较 ·························································································9表 3.2.2.1 我国不良资产投资主要参与主体及特点 ············································································17表 3.2.5.1 不良资产处置相关法律制度 ···························································································20表 4.3.1 2018 年四大国有产权交易所挂牌项目情况 ··········································································33表 4.3.1.1 我国两轮债转股实施特点 ······························································································35表 4.3.1.2 债转股主要运作方式 ····································································································36表 4.3.3.1 首批不良资产证券产品特点 ···························································································391清科研究中心pedata2019年另类资产配置之不良资产专题研究报告Alternative Assets: Non-performing Assets Report 2019随着全球经济进入调整期，投资者对另类资产的关注与日俱增，其中不良资产投资已进入大众视野，市场发展逐渐成熟。不良资产投资的实质是通过低价获取资产追偿权利或所有权，通过修复法律瑕疵、财务困境等，获取增值收益。PREFACE引言22019年另类资产配置之不良资产专题研究报告Alternative Assets: Non-performing Assets Report 20193清科研究中心pedata2019年另类资产配置之不良资产专题研究报告Alternative Assets: Non-performing Assets Report 20192019 年另类资产配置之不良资产专题研究报告第1章 不良资产简介1.1 不良资产定义及成因不良资产亦称困境资产、问题资产、特殊资产，国外定义中有 Distressed Assets、 Troubled Assets、 Non-performing Loans（ NPLs）等相关概念，广义上是指由于宏观环境剧烈变化，或经营失败，企业或个人陷入困境的资产，资产形态包括债权资产、实物资产以及股权、知识产权等无形资产。中国银监会、财政部发布的不良金融资产处置尽职指引（银监发 2005 72 号）中对不良金融资产的定义为：“不良金融资产指银行业金融机构和金融资产管理公司经营中形成、通过购买或其他方式取得的不良信贷资产和非信贷资产，如不良债权、股权和实物类资产等。”从不良资产的来源来看，不良资产分为银行不良资产和非银行不良资产。银行不良资产主要指不良贷款，根据中国人民银行贷款监管的分类标准（贷款风险分类指引（银监发 2007 54 号），银行业贷款分为正常类、关注类、次级类、可疑类、损失类，其中次级、可疑和损失类贷款为不良资产类贷款。非银不良资产主要包括委托贷款、信托不良资产及其他非金融机构由于生产经营活动或投资借贷关系产生的价值大幅损失的资产。整体来看，不良资产主要源于企业现金流的承压，企业债务兑付困难、产生信用风险，进而影响企业的正常经营，企业资产转变为不良资产。不良资产通常大幅贬值，为投资者带来了折价收益，投资人凭借对宏观环境和经济结构的评估能力和专业高效的资本运作能力往往能够获得超额收益。42019年另类资产配置之不良资产专题研究报告Alternative Assets: Non-performing Assets Report 20191.2 不良资产投资的特点不良资产作为特殊环境下产生的特殊投资对象，在特征上与一般投资项目差异较大，主要存在以下特征：逆周期性： 与其他资产不同，不良资产具有显著的逆周期性。在经济存在下行压力，宏观经济较弱的情况下，不良资产加速暴露，市场上不良资产的供给数量增加。此时进行不良资产投资，将有可能获得高于同期其他投资策略的投资收益。不良资产投资的逆周期调解和金融救助功能，还有利于化解实体经济经营风险，推动经济结构调整，加快资产周转，释放沉淀资源。资产多样性： 与一般的股权投资相比，不良资产类型更加多样，包含信贷资产、实物资产和股权类资产。而与一般的债权投资相比，不良资产投资涉及股权收益的测算和转化，投资更加灵活和多变，收益率更高。从类型上看，信贷类资产包括：企业债、公司债、应收账款债权包等；实物资产包括土地资源、房地产、厂房、机器设备、存货、知识产权等；股权类资产包括：项目所有权、公司股权等。非标准性： 应收账款等债权、信托类不良资产、商业地产等不动产都属于非标准化资产，资产的流动性较弱。不良资产一般无法在银行间和证券交易所直接交易，非标准化的资产属性限制了不良资产的交易流通范围，加大了不良资产的估值难度，但同时也给市场上专业的不良资产处置机构带来了机会。高折价性： 不良资产投资的显著特点是可折价购入，资产出售价格往往远低于资产实际价值。折价的核心原因有两个方面，一方面是资产附带的债务、法务等相关瑕疵问题导致资产在流通性、使用性等方面低于正常资产，出现贬值。另一方面，从供给需求方来看，企业迫于现金流压力急于出售资产，以低价吸引投资人；不良资产投资对资金规模和期限都有较高要求，参与主体有限。在市场需求小于供给的环境下，需求方占有议价优势，能够获取较高的折价比例。在我国，不良资产主要来自于银行体系，折价幅度相对有限。高收益风险比： 与传统理解不同，不良资产的投资风险并不高，不良资产是已进入破产或者濒临破产境地的资产，此时其风险已经充分暴露，专业的不良资产投资机构往往能够识别主要风险，给出合理的资产估值，并在购买不良资产后运用专业的处置5清科研究中心pedata2019年另类资产配置之不良资产专题研究报告Alternative Assets: Non-performing Assets Report 2019手段改善资产不良状态，实现较高的收益风险比。根据华融、信达资产管理有限公司的年报信息，其不良资产处置业务内部收益率长期稳定在 15-20%。长周期性： 不良资产投资具有长周期性。典型的不良资产投资发生在经济下行周期，经过专业处置和运营后，在经济上行周期退出，获得投资收益。普通债权类项目在解决司法问题后，一般在 2-3 年内完成退出；而股权和债权的项目则需要更长的处置周期，一般要经过 5年以上的时间。随着不良资产投资的多样化，处置方式和处置周期也发生了变化。整体而言，不良资产投资仍以中长周期为主。1.3 配置不良资产的必要性配置逆周期类资产，可分散投资组合风险。 对于投资者而言，配备不良资产有利于对冲市场风险。不良资产具有逆周期性，在整体行业下行期，不良资产供给增多投资活跃，在此期间不良资产的投资收益显著高于其他投资策略。此特点使得不良资产投资能够补充其他品类的投资产品，有利于优化投资者的组合风险。多元化产品组合，丰富产品类型。不良资产有其资产的特殊性，本身就是对投资组合的补充。而不良资产背后又有丰富的标的资产，涵盖债权、实物资产和股权，尤其是实物资产类投资，为金融资产类投资提供了补充。增强投资收益的稳定性。 部分投资者如保险投资机构、捐赠基金、养老基金对基金收益的稳定性要求较高，从产品特性和历史收益来看，相比一般私募股权类投资项目，不良资产投资的收益更加稳定，另外部分基金和产品会有周期性回款，能够为投资者提供稳定的现金回流，为机构投资者提供流动性，优化投资组合的久期。低价获取产业资源。 对于具有产业背景的投资人，通过投资不良资产，可以低价获取厂房、机械设备等产业资源。不良资产的高折价性降低了投资人获取资源的成本，同时在经过处置之后，不良资产具备了正常经营的能力，也能够加快产业资源的整合。