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惠譽:陽光城(000671.SZ)CMBS瀕違約 暴露內房融資工具多項結構性缺陷
阿思達克 11-02 11:59
惠譽評級稱,陽光城(000671.SZ)的一筆商業房地產抵押貸款支持證券(CMBS)交易接近違約,而此前北大科技園和紅博會展購物中心發生實質性違約,這暴露出中國CMBS交易中的幾項結構性缺陷,包括基礎資產現金流疲弱導致償債備付率較低、抵押物質量較差,外部增信的保障作用有限且對手方風險通常高度相關。 據陽光城10月24日發布的運營報告顯示,該單一借款人未能將規定款項轉至信託賬戶,導致基礎資產現金流不足以覆蓋優先B級債券的約定應付利息和優先A級債券的約定應付本金。不過,10月20日召開的債券持有人會議通過了豁免違約事件、調整償付計劃的提案。此前,北大科技園和紅博會展購物中心發行的單一借款人CMBS分別於2020年3月和2018年10月發生違約。 惠譽稱,由單項或多項物業支持的單一借款人交易是中國最常見的CMBS結構,大部分案例中,基於第三方評估的平均放貸比例為40%至45%,且優先級債券(即A級和B級債券或單一優先級債券)的平均償債備付率為1.25倍。中國的單一借款人CMBS常涉及一、二線城市中現金流周期性和波動性較強的較低等級物業,而美國的單一借款人交易則通常基於全周期內價值和現金流具有韌性的優質物業及地段。經常性支出有時由信託產生,不納入計算,因此中國CMBS的償債備付率可能會被高估。 為彌補疲弱的基礎資產現金流,中國的大部分CMBS交易會包含外部增信,主要形式是借款人的母公司或關聯公司承諾提供信用和流動性支持。但是,在上述三項CMBS違約及接近違約事件中,外部增信未能提供額外保障。在借款人陷入財務危機之時,外部增信提供方亦面臨財務困境,這表明兩者之間的違約風險高度相關。 另一個常見問題是缺乏資金隔離制度,回收款項通常與借款人的資金混同,僅在每季度或每半年劃轉一次。上述三個案例中,借款人因陷入財務困境未能劃轉該等資金,這表明對手方風險高企。因此,惠譽認為這些交易的風險水平無法獨立於借款人的風險狀況,且外部增信提供方的支持也無法緩釋相關風險。 此前兩項違約事件發生後多年內款項回收進展仍有限,這凸顯出違約處置流程的複雜性。舉例而言,北大科技園事件中,由於就特別處置計劃達成一致的債券持有人票數不足,貸款回收進程停滯。上述兩項違約事件後的處置流程均超出了交易約定的兩到三年的尾期——相比之下,惠譽授評的其他市場的CMBS交易的尾期通常為五年以上。 中國的CMBS交易通常由物業所屬房企的母公司提供支持。由於融資成本低於銀行貸款且投資者群體多元化,CMBS已成為中國商業房地產開發商常用的融資工具。截至2022年6月末,中國已有288筆CMBS交易,大部分以私募形式發行,最受歡迎的標的資產是一線城市和頂級二線城市的購物中心、寫字樓、酒店及其他零售類和物流倉儲設施。截至目前,惠譽尚未對中國的任何CMBS交易進行評級,且惠譽預期CMBS交易的上述缺陷得到改善後方可獲授國際評級。
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