[[alternative]]The function of asset management company and the evaluation of non-performing loans

碩士[[abstract]]1980年代拉丁美洲開發中國家債務危機，間接引發美國本土金融機構危機，促使美國政府於1989年成立RTC。但此次，政府要求援用民間外部機構力量，以便在限期內解決金融呆帳問題，這些接受RTC委託處理問題金融機構之外部機構或民間公司，在此背景下形成一系列產業鏈。此種與FDIC或RTC合作之公司，即為今日資產管理公司之濫觴，憑藉其在美國境內之操盤及實戰經驗，美國的資產管理公司跨出了美國，爾後隨著1990年代初期日本金融危機，以及末期亞洲金融風暴期間，趁著各國政府向美國政府取經尋求解決之道時，資產管理公司產業開始邁向全球化發展。 資產管理公司，通常以整批包裹的方式買入不良資產，其內容包含許多性質不一的資產，此皆有待資產管理公司逐一估價。資產管理公司除了參考資產最近市價外，尚須考量其資金凍結期間的資金成本，凡是影響及於後續處理所需時間的因素，皆構成估價時之減項。例如，受到司法因素影響而延後回收。 本研究討論了影響不良資產管理價值之因素，其可分為「內部因素」及「外部因素」。內部因素，例如，因不良資產驟減，造成債權回收部門人力縮減壓力，呆帳損失之人員責任歸屬，買賣雙方資訊不對稱，雙方對價值計算基準之認知差異等，內部因素尚可藉由買賣雙方協商獲得共識。外部因素，是指買賣雙方以外之法律體系執行效率太慢，卻共同影響買賣雙方之資產價值。由範例推論顯示，當司法時間加長後，資產管理公司之出價值會降低，司法效率未能改善，確實影響到我國金融機構自身不良資產之價值，尤其當出售方金融機構未採取折現法計算本身不良資產價值時，與資產管理公司之價格落差更大。一直以來，我國金融機構只注重不良資產之名目價值，並未體認到執行法律程序時間成本化問題，本文建議由政策面措施縮小雙方價格歧見。例如，進行司法體系改革，因為加快破產程序，有助於未來回收價值，同時也減緩債務人資產貶值的速度。另外也建議金融機構主管機關對於金融機構在進行貸款分類時，若有逾期狀況較為嚴重者，在提列呆帳準備及計算不良資產時，可參考日本中央銀行要求或准許金融機構採用折現法DCF法，期使金融機構正確認知不良資產價值，弭平與資產管理公司之價格落差，另外在公司法、金融機構合併法等方面，亦應做全面性的調整以促進利資產管理公司產業發展，也有利於金融機構有效處理不良資產。[[abstract]]Established in 1933, Federal Deposit Insurance Corporation (FDIC) created by an amendment of the Federal Reserve Act. Capital necessary to establish the FDIC was to be provided by the United States Treasury and the 12 Federal Reserve Banks. Resolution of financial crisis did not really begin until February 6, 1989, The Resolution Trust Corporation (RTC) was created by Enforcement Act of 1989 (FIRREA). In accordance with the FIRREA, RTC has to resolve the failure institution within 5 years, under the pressure of time frame the RTC has to use the outsourcing vehicles instead of hiring lots of employees. Some of the vehicles are called service-companies but some of the vehicles are called “asset management companies (AMCs)”. The vehicles to resolve the problems of failed bank can be described as the origination of AMC industry. Since with finance crisis globalized from Mexico to Asia, the AMC brought its know-how and knowledge set up branch-offices from Mexico to Asia as well. The AMC industry was born less than 20 years old since 1990s. During the proceeding of NPL transaction, there are large bid-offer price gaps between banks and distressed-debt buyers. The reasons for the transaction failure between banks and AMCs can be classified into the internal and external factors. Internal factors such as psychology of the employees of banks, information asymmetry of the buyer AMCs, and the differences in the pricing valuation basis between banks and AMCs, all of the factors can be improved by both parties. But only the external factor--the impact legal environment and procedure to asset evaluation is not able to be solved by both parties. The example in Chapter 4 indicates that the legal environment and procedure is the most important factor impacted the asset evaluation. The results is the same with the conclusion of Klingebiel (2000) and Ingves, Seelig, and He (2004), to have adequate bankruptcy and foreclosure laws and legal environment is important to AMCs business. We also want to make some recommendation to government as follows: 1. Improving the jurisdiction system. Efficiency in bankruptcies will enhance the potential recovery value to AMCs, reversely add the value to the bank assets. 2. If a bank and an AMC measure the present value of a company identically, then whoever can add more value through time saving in the waiting of foreclosure process should bid higher. The authority division also can refer to the Bank of Japan start to request the use the discounted cash flow (DCF) approach in the non-performing loan asset, which will also help the banks to realize the net value of the assets at the early stage.[[tableofcontents]]本文目錄.....................................................................................................................I 表次............................................................................................................................III 圖次............................................................................................................................IV 第一章 緒論 第一節 研究動機……………………………………………..………………..1 第二節 資產管理公司之定義……………………………………………… 3 第三節 本文架構………………………………………….……………….…. 7 第二章 文獻研究 第一節 文獻回顧….…………………………………………………………...8 第二節 金融機構放款品質分類及備抵提存………………..…………...8 第三節 問題金融機構之改善方法……………………….…………...…..17 第四節 司法制度之不健全 影響金融機構自身資產價值…..……...18 第五節 日本及大陸市場不良資產出售價格差異………………….....20 第三章 資產管理公司之源起及運作 第一節 1930年代美國銀行危機與FDIC之設置…………..………...26 第二節1980年代金融危機與RTC之成立……………………….…….29 第三節 1998年本土型金融風暴及我國資產管理公司之出現….….39 第四節 我國解決不良資產之相關立法演進 ……………..……...…...40 第五節 資產管理公司與金融機構之交易……………………………...46 第六節 資產管理公司之分類…………………………………………..…49 第七節 AMC之功能…………………………………………………..….….54 第八節 AMC對不良資產的解決或回收……………………………......62 第四章 不良資產評價及實例說明 第一節 典型之不良資產標售流程…………………………….……...….66 第二節 評估範例…………………………………………………….……….70 第三節 估計與結果……………………………………………….…………72 第五章 結論………………………………………………….............74 參考文獻……………………..………………….……….…………..…….………77 附錄 附錄一 評估範例之資料摘要…….…………………………….……….……80 附錄二 法律資料………………………………..…….…………..………….…81 表次 表2.1 實施「逾期90天為問題放款」定義之時間………………………..……12 表2.2 貸款分類之比較……………………………………………………..……13 表3.1 FDIC、FSLIC之比較………………………………………………………28 表3.2 1980至1994年間美國商業銀行倒閉家數—按州別………………..……32 表3.3 FDIC、RTC之比較…………………………………………………..…..…35 表3.4 FDIC、RTC、FSLIC處理之金融機構家數及金額………………..………37 表3.5 2002年台灣地區NPLs交易……………………………………………..…44 表3.6 2003年台灣地區NPLs交易……………………………………………..…45 表3.7 2003年AMC在韓國地區購買NPLs之動態概要……………………………45 表3.8 2003年AMC在中國亞洲地區購買NPLs之動態概要………………………46 表3.9 1000萬資金之時間價值 1~3年10%折現率…………………………..…48 表3.10 我國第10次景氣循環高峰、谷底之認定…………………………….….56 表4.1 工作里程碑……………………………………………………………..…66 表4.2 模擬計算結果…………………………………………………………..…73 圖次 圖2.1 金融機構最適利率曲線……..……………………………………………10 圖3.1 1980年至1995年間美國金融機構(含銀行及儲貸業)之倒閉 家數統計………………………………………………………….……..….33 圖3.2. FSLIC,RTC,FDIC之存續期間示意圖……………………………………....35 圖3.3 1998年至2003年M2、放款年增率、逾放比與GDP之統計數據…….…39 圖4.1 資產及不良資產之價格配置……………..……………….……………......69 Indexes……………………………………………………………………..…...…… I List of Tables…………………………………………………………………..….. II List of Figures…………………………………………………………………..... III Chapter 1 Introduction 1.1 Research Background………………………………………………...…..85 1.2 The Definition of Asset Management Company (AMC)………..…89 1.3 The Structure of this Thesis……………………………………….….....90 Chapter 2 Literature Research 2.1 Literature Research Background…………………………………...…..91 2.2 Loan Classification and Provision……………………..………………93 2.3 The Rehabilitation of Problem Financial Institute …….…………...94 2.4 The Legal Power of AMC and Impact to Asset Evaluation ………95 Chapter 3 Industry History and Mechanism of Asset Management Company 3.1 The US Financial Crisis during 1930s (Establishment of FDIC)...98 3.2 The US Financial Crisis during 1980s (Establishment of RTC)..100 3.3 The Financial Crisis in Taiwan……………………………..…………107 3.4 The Legislation for Non-performing Loan and AMCs Law in Taiwan …………………………………………………………………….111 3.5 The Trade Structure and Price Gap between Financial Institute and AMC………………………………………………………….……….…...115 3.6 The Classification of AMC………………………………….…………118 3.7 The Function AMC………………………………………………..…….120 Chapter 4 Evaluation of Non-performing Loan and an Example 4.1 Procedure of Non-performing Loan Bid………………………….…122 4.2 Schedule of Auction Process…………………………………………..124 4.3 An Example of the Non-performing Loan Evaluation …………...128 4.4 The Results……………………………………………………………….131 Chapter 5 Conclusion………………………………….……………….…….134 References…………………………………………….………………..……..…136 List of Tables Table 3.1 Bank Failures by State, 1980~1994………………………………….…...108 Table 3.2 NPL Transactions in Taiwan in 2002……..….….…..……...…………….117 Table 3.3 NPL Transactions in Taiwan in 2003…………………….…………....….117 Table 4.1 Milestones of Non-performing Bid……………..………………….…….125 Table 4.2 Results…………………………..……...………..……………….………136 List of Figures Figure 3.1 Bank Failures by FSLIC, FDIC, RTC 1980~1995…….……….….…....108 Figure 3.2 Financial Indicator and GDP 1998~ 2003…...………..….…….….……112 Figure 4.1 Allocations of Asset Value…………….………………………..…...….132[[note]]學號: 791400079, 學年度: 9