하나은행 하나금융연구소

▶ 세계 금융위기 하에서의 중국 금융시스템 건전성 점검 ● 중국 은행들의 Lehman 관련 채권 보유액이 총자산 및 순이익에서 차지하는 비중은 매우 낮아 손실은 미미할 것으로 판단되나, 현재 결손상태인 해외투자 수익률이 세계 금융위기 심화로 추가 악화될 가능성 ● 이번 글로벌 금융불안으로부터 가장 직접적인 타격을 받은 중국 주식시장의 경우, 중국정부의 증시 부양책에도 불구하고 투자자들의 불안 심리가 확대되며 회복이 크게 지연될 전망 ● 그동안 빠른 절상세를 기록하던 위안/달러 환율은 올 상반기를 기점으로 절상폭이 점차 둔화되면서 6.80∼6.86 구간에서 소폭 변동 중이며, 이에 따라 하반기를 기점으로 핫머니 유입도 큰 폭으로 감소 ● 거시 유동성은 풍부한 반면 글로벌 금융위기 영향으로 중국 은행들 간에도 자금경색이 발생하여 단기 유동성은 다소 악화, 대외건전성 측면에서는 단기외채 급증 현상이 우려되고 있으나 외환보유고의 7%에 불과한 규모에 불과하다는 점에서 중국 은행산업 건전성에 미칠 영향은 제한적 ● 중국의 은행산업에서 타 업종에 비해 부동산 개발부문의 부실채권 비율은 다소 높은 편에 속하나 여전히 안정세를 유지 중이며, 상반기 대출연체율의 소폭 상승은 주로 지진 피해 때문인 것으로 분석 ● 부동산 가격 하락세가 본격화되면 은행들의 건전성과 수익성은 대폭 악화될 전망이며, CICC의 분석에 따르면 부동산 가격이 30% 이상 하락하는 경우 가계의 부동산담보대출 부실율은 1% 상승 추정 ● 그러나 상대적으로 낮은 예대비율과 LTV 비율 및 높은 최초납입금 요구비중 유지로 중국 은행들의 리스크 방어 능력은 다른 국가의 금융기관들에 비해 높을 것으로 판단되며, 부동산 증권화시장의 미발달로 부동산 대출 부실화 리스크가 은행권에만 집중되어 있어 금융업 전체로 확산 가능성은 낮음

▶ Can the Chinese financial system withstand the deepening financial crisis? ■ Direct losses to Chinese financial institutions from the crisis ● According to the 1H interim reports from listed Chinese commercial banks, BOC, ICBC and CCB have the greatest exposure to subprime assets with $10.5 bn, $1.9 bn and $0.9 bn respectively. However, these exposures are small in comparison to total assets. ● The impact of Lehman Brothers' bankruptcy was not insignificant as investments in Lehman related securities was approximated $750 mn. However, this does not pose a threat to the soundness of the banking industry as a whole. ● In addition, Chinese banks have made large investments in a variety of foreign financial institutions which are now suffering as a result of the current financial crisis. ■ Response to the deepening crisis by Chinese capital markets ● Stock Market: Chinese equity indices have fallen by about 70% from last year's peak, and following Lehman's bankruptcy filing, the Shanghai composite index has dropped to 1,800. As the panic mentality spreads into the Chinese market and domestic economic fundamentals deteriorate, investors are becoming increasingly cautious regarding investment in stocks, which is a key factor behind the bear market. ● Foreign Exchange Market: Under the managed floating foreign exchange system, the exchange rate has fluctuated to reflect market variables while remaining consistent with the government's macroeconomic policy stance. Since 2H 2007, the yuan's appreciation has accelerated, which has helped the government contain inflationary pressure. However, the yuan's appreciation has slowed since 2Q 2008 and almost halted in July. As prices stabilize, the government is shifting its focus towards the worsening economic slowdown stemming from slowing exports. ● Money Market: Since Sept. 2007, the interbank dollar offered rate has risen from Libor+100bps (Sept. 2007) to Libor+650bps (Sept. 2008), leading to difficulties for banks in securing dollar funding. At the same time, foreign banks in China are finding it difficult to secure RMB funding since Chinese banks have reined in lending to foreign banks due to concerns about their soundness. This is a significant challenge for foreign banks, particularly those that have only recently been approved for yuan related operations. ● Hot Money: Expectations on yuan appreciation are rising, interest rate gaps are widening, and the "unexplained" portion of foreign reserves has been increasing since 2007. However, entering 2H 2008, hot money inflows have slowed, and large outflows were recorded in several months. The deepening global financial crisis is increasing the likelihood of hot money outflows accelerating. ● Foreign Reserve Adequacy: Since June, 2005, short-term foreign debt has overtaken long-term foreign debt and reached 62% of total debt by the end of June, 2008, a higher level than both the U.S. and Korea. However, short-term debt is only 6.8% of foreign reserves and 14.3% of GDP, which suggests China has ample ability to repay its debts. ▶ Will China suffer a financial crisis caused by a real estate crash like the U.S.? ■ Rising risk of the Chinese real estate bubble bursting ● Over the past 3 years, Chinese real estate prices have risen by 10% per year on average, and prices in some large cities surged by 30% in 2007. As a result, a bubble has formed in the real estate market and homes are estimated to be overvalued by 20~50%. ● The real estate boom has led to increasing household mortgage loans and real estate development loans. Despite intense competition between commercial banks in the mortgage market, loans made during this period are expected to carry higher risks due to a lack of effective risk management. ● Real estate prices growth has slowed since Dec. 2007, and by Sept 2008, YoY growth slowed to 3.5%, the lowest point in the past 3 years. As the bubble become increasingly likely to burst, the soundness of financial institutions is becoming a significant concern. ■ Asset quality for real estate loans remained high through 1H 2008 ● As of end of June, 2008, total household mortgages and commercial real estate development loans totalled 1,950 trillion and 3,350 trillion yuan. These categories of real estate related loans account for 20~40% of total loans for the major listed commercial banks. ● Listed Chinese commercial banks recorded a small decline in NPL ratios in 1H 2008, but their delinquency ratio increased, mainly due to the earthquake. ● This suggests that although the real estate market is entering a downward correction, the impact on the related commercial bank loans has been limited so far. ● Commercial banks recognize this risk and have begun to take corrective action, mainly through increased loan loss provisioning. This has led to improving NPL coverage ratios for most banks. ● However, the NPL ratio is currently higher for real estate development loans than for other types of loans, and an overall decline in real estate prices would inevitably lead to deteriorating asset quality for banks. ■ Impact of a real estate market correction on commercial banks ● According to research conducted by Chinese financial institutions, declines in real estate prices of 10% and 20% result in increases in the NPL ratio for household mortgages of 0.4%p and 0.7%p. A price decline of over 30% would result in a much larger increase in the NPL ratio. ● The bursting of the real estate bubbles in Japan and Hong Kong in the past suggest that commercial real estate development loans carry a much higher risk of default than household mortgages, and are thus a greater threat to banks' asset quality. ■ Factors that would prevent or mitigate a banking crisis ● Chinese banks have maintained relatively high liquidity with low loan-to-deposit ratios, and should be able to overcome any urgent liquidity needs. ● In addition, minimum down payment requirements have been raised, which has driven the average LTV ratio to a relatively low level of about 67% and reduced the default risk for mortgages. ● The Chinese mortgage securitization market is still at a nascent stage, having been established in 2005, and the volumes of MBS and ABS issuance are relatively low. As a result, default risk for mortgages is concentrated in commercial banks, and the risk of losses spreading throughout the financial industry is low. ● In light of the economic slowdown, the government is determined to support the real estate market, which could help prevent a hard landing. ▶ Conclusion ● The probability of a currency crisis is low since Chinese capital markets are not fully open to foreigners and the nation has massive foreign reserves. However, the risk of accelerating outflows of hot money is rising. ● Nonetheless, the risk of a banking crisis bears closer attention since a downward correction in real estate prices is likely to lead to a deterioration of banks' asset quality and profitability.