中國公開發行公司債違約事件研究─以佳兆業集團為例

Abstract

中國公開發行公司債的違約事件中，佳兆業違約為中國首次美元債務違約案例，對於境外投資人而言意義重大。本篇論文主要探討，佳兆業違約事件是否有策略性違約的可能，以及是否有適當措施可加強對於債權人的保障。實證研究包含財務危機預測、債務重組方案分析、估算違約門檻三個部分。結果顯示，佳兆業財務狀況長期惡化，並且債務重組方案將使得境內及境外債權人產生重大損失， 因此股東具有策略性違約的疑慮；經本研究估算的違約門檻檢驗，亦顯示股東具有策略性違約的誘因。因此本文認為，佳兆業違約事件中，股東具有策略性違約的誘因。關於債權人的保障措施，本文認為，在中國市場針對個別公司發行信用違約交換，可有效加強債權人的保護。

Among the default events of China public offering corporate bonds, Kaisa Group is the first Chinese company that defaults on US dollar corporate bonds, therefore has an important meaning to offshore investors. This paper discusses that if there is any possibility of strategic default in Kaisa’s default event, and if there are any measures to enhance the protection of debt holders. In the empirical study, there are three parts: financial distress prediction, debt restructuring plan analysis, and default boundary calculations. The results of empirical study show that the financial situation of Kaisa has a long-term deterioration, and the debt restructuring plan will result in big loss for both onshore and offshore debt holders, therefore the shareholders have the possibility of strategic default. Moreover, the default boundary calculations show that the shareholders have the incentive of strategic default. Therefore, this paper considers that in the Kaisa’s default event, there are incentives for shareholders to choose to strategically default. About the protection measures of debt holders, this paper regards the introduction of credit default swaps for individual companies as an effective measure to enhance the protection of debt holders.