Guiding Opinions on Real Options Valuation (Trial)

实物期权评估指导意见（试行）

 

Document Number: Zhong Ping Xie [2011] No.229

Promulgating Date: 12/30/2011

Effective Date: 07/01/2012

 

颁布机关: 中国资产评估协会

文      号:中评协[2011]229号

颁布时间:12/30/2011

实施时间: 07/01/2012

Chapter 1: Introduction

第一章 引 言

  Article 1    With a view to regulating certified public valuers' real options valuation practices and protecting the public interests and the legitimate rights and interests of the parties to asset valuation, these Guiding Opinions are formulated in accordance with the Assets Valuation Standards – Basic Guidelines.

       第一条  为规范注册资产评估师的实物期权评估行为，维护社会公共利益和资产评估各方当事人合法权益，根据《资产评估准则——基本准则》，制定本指导意见。

  Article 2    For the purposes of these Guiding Opinions, real options shall refer to non-artificially designed options attached to overall assets or individual assets of an enterprise, i.e. development or expansion opportunities, or shrinkage or exit opportunities, etc. which really exist. Individuals or organizations owning or controlling the enterprise or assets concerned may exercise such options in the future and expect to gain economic benefits from the exercise of such options.

       第二条  本指导意见所称实物期权，是指附着于企业整体资产或者单项资产上的非人为设计的选择权，即指现实中存在的发展或者增长机会、收缩或者退出机会等。拥有或者控制相应企业或者资产的个人或者组织在未来可以执行这种选择权，并且预期通过执行这种选择权能带来经济利益。

  Article 3    For the purposes of these Guiding Opinions, real options valuation shall refer to conducts and processes whereby certified public valuers identify, analyze, evaluate and express professional opinions on real options attached to overall assets or individual assets of an enterprise in accordance with relevant laws, regulations and assets valuation standards.

       第三条  本指导意见所称实物期权评估，是指注册资产评估师依据相关法律、法规和资产评估准则，对附着于企业整体资产或者单项资产上的实物期权进行识别、分析、价值估算并发表专业意见的行为和过程。

  Article 4    Overall assets or individual assets of an enterprise may have one or more attached real options. If, according to preliminary judgment, the value of a real option attached to an asset can be ignored, such real option may not be evaluated.

       第四条  企业整体资产或者单项资产可能会附带一种或者多种实物期权。当资产中附带的实物期权经初步判断其价值可以忽视时，可以不评估该实物期权的价值。

  Article 5    Certified public valuers shall comply with these Guiding Opinions when conducting the business involving real options valuation.

       第五条  注册资产评估师执行涉及实物期权评估的业务，应当遵守本指导意见。

Chapter 2: Basic Requirements

第二章 基本要求

  Article 6    Valuation agencies engaged in real options valuation business shall have qualification certificates for asset valuation issued by financial authorities. Certified public valuers engaged in the business involving real options valuation shall master the option pricing theory and the professional knowledge in real options valuation and be professionally competent in real options valuation.

       第六条  从事实物期权评估业务的评估机构应当持有财政部门颁发的资产评估资格证书。注册资产评估师执行涉及实物期权评估的业务，应当掌握期权定价理论知识，具备实物期权评估的专业知识，具有实物期权价值评估的专业胜任能力。

  Article 7    Since the value of real options is attached to corresponding assets, certified public valuers shall, in real options valuation, select appropriate value types in light of the purpose of valuation and the specific conditions of valuation objects.

       第七条  实物期权的价值依附于相应资产，注册资产评估师进行实物期权价值评估，应当根据评估目的和评估对象的具体情况选择恰当的价值类型。

  Article 8    Certified public valuers shall, when conducting real options valuation, adhere to the principle of “independence, objectivity and fairness”, be assiduous in performance of duty, obtain sufficient and reliable information as far as possible, make a prudent analysis and valuation on the basis of such information and form professional opinions.

       第八条  注册资产评估师进行实物期权评估，应当恪守独立、客观、公正的原则，勤勉尽责，尽可能获取充分、可靠的信息，并基于信息进行审慎分析、估算和形成专业意见。

  Article 9    Certified public valuers shall, when conducting real options valuation, reasonably use hypothesis and restrictive conditions of valuation, understand and properly use procedures and methods for options valuation, and form reasonable valuation conclusions.

       第九条  注册资产评估师进行实物期权评估，应当合理使用评估假设和限定条件，理解并恰当运用期权价值评估的程序和方法，形成合理的评估结论。

  Article 10    The need of real options valuation shall be specified in relevant service agreements. The clients or entities subject to valuation shall provide relevant information required for real options valuation and be responsible for the authenticity, lawfulness and completeness of such information.

       第十条  需要评估实物期权时，应当在业务约定书中予以明确。委托方或者被评估单位应当提供实物期权评估的相关资料，并对资料的真实性、合法性、完整性负责。

Chapter 3: Valuation Objects

第三章 评估对象

  Article 11    Real options involved in real options valuation conducted by certified public valuers mainly include growth options and exit options etc.

       第十一条  注册资产评估师在执行涉及实物期权评估的业务时，涉及的实物期权主要包括增长期权和退出期权等。

  Article 12    Growth options refer to options to increase investment or assets upon the existing basis, in order to expand business scale or scope of operation.

       第十二条  增长期权是指在现有基础上增加投资或者资产，从而可以扩大业务规模或者扩展经营范围的期权。

  Article 13    Exit options refer to options to liquidate part or all of assets at a reasonable price or change the purpose of assets at low cost, in order to reduce business scale or scope of operation and even go out of business when the outlook is grim.

       第十三条  退出期权是指在前景不好的情况下，可以按照合理价格部分或者全部变现资产，或者低成本地改变资产用途，从而收缩业务规模或者范围以至退出经营的期权。

Chapter 4: Operation Requirements

第四章 操作要求

  Article 14    In real options valuation, certified public valuers shall follow four steps, which include identification of options, determination conditions, estimated parameters and estimated value.

       第十四条  注册资产评估师评估实物期权，应当按照识别期权、判断条件、估计参数、估算价值四个步骤进行。

  Article 15    In the valuation of real options attached to overall assets or individual assets of an enterprise, certified public valuers shall get a comprehensive understanding of related assets and the outlook and opportunities for use of such assets in the future, identify non-ignorable real options that exist, and clarify the underlying assets, types, exercise price, exercise period and other issues related to the real options.

       第十五条  注册资产评估师在评估企业整体或者单项资产附带的实物期权时，应当全面了解有关资产的情况以及资产未来使用前景和机会，识别存在的不可忽视的实物期权，明确实物期权的标的资产、期权种类、行权价格、行权期限等。

  Article 16    When conducting the business involving real options valuation, certified public valuers shall judge whether the real options involved are qualified for valuation according to the availability and reliability of information required by related parameters, and stop valuation of real options that are not qualified for valuation.

       第十六条  注册资产评估师在执行涉及实物期权评估的业务时，应当根据有关参数所需信息的可获取性和可靠性，判断是否具备评估条件。不具备实物期权评估条件时，应当终止实物期权评估。

  Article 17    Parameters used in real options valuation generally include the value of underlying assets at the base date, volatility, exercise price, exercise period, risk-free rate of return, etc.

       第十七条  实物期权评估中的参数通常包括标的资产的评估基准日价值、波动率、行权价格、行权期限和无风险收益率等。

Underlying assets refer to underlying assets corresponding to real options. Growth options are call options, the underlying assets of which are potential business or projects brought by current assets. Exit options are put options, the underlying assets of which are current assets to which real options are attached.

    标的资产即实物期权所对应的基础资产。增长期权是买方期权，其标的资产是当前资产带来的潜在业务或者项目；退出期权是卖方期权，其标的资产是实物期权所依附的当前资产。

Volatility refers to standard deviation in the expected rate of return on the underlying assets. Volatility may be determined by comparing volatility of assets with similar risks, or by estimating the historic volatility according to related price changes of the underlying assets in the past and then making adjustments according to the change of risks in the future.

    波动率是指预期标的资产收益率的标准差。波动率可以通过类比风险相近资产的波动率确定，也可以根据标的资产以往价格相对变动情况估计出历史波动率，再根据未来风险变化情况进行调整确定。

Exercise price refers to the amount paid or obtained as a result of purchasing or selling the underlying assets at the time a real option is exercised. The exercise price for growth options refers to the amount of investment needed for forming the underlying assets. The exercise price for exit options refers to the price at which the underlying assets can be sold at the time the option is exercised, or the value of the underlying assets at the time the option is exercised if the purpose of the underlying assets can be changed.

    行权价格是指实物期权行权时，买进或者卖出标的资产支付或者获得的金额。增长期权的行权价格是形成标的资产所需要的投资金额。退出期权的行权价格是标的资产在未来行权时间可以卖出的价格，或者在可以转换用途情况下，标的资产在行权时间的价值。

Exercise period refers to the time of period between the base date of valuation and the time for exercising a real option. Since a real option often does not have a specific exercise period, the exercise period can be estimated according to the optimal exercise time as estimated.

    行权期限是指评估基准日至实物期权行权时间之间的时间长度。实物期权通常没有准确的行权期限，可以按照预计的最佳行权时间估计行权期限。

Risk-free rate of return refers to the rate of return free of default risk, which may be determined according to the yield to maturity of government bonds with the same or similar remaining term as the exercise period of a real option.

    无风险收益率是指不存在违约风险的收益率，可以参照剩余期限与实物期权行权期限相同或者相近的国债到期收益率确定。

  Article 18    Certified public valuers shall select appropriate options pricing models for real options valuation according to types of real options. Common options pricing models include Black-Scholes model, binominal lattice model, etc. Necessary reasonableness checks shall be performed on the value of real options as calculated.

       第十八条  注册资产评估师进行实物期权评估，应当根据实物期权的类型，选择适当的期权定价模型，常用的期权定价模型包括布莱克-舒尔斯模型、二项树模型等。对测算出的实物期权价值，应当进行必要的合理性检验。

Chapter 5: Disclosure Requirements

第五章 披露要求

  Article 19    Certified public valuers shall make relevant disclosure in valuation reports if the asset valuation services performed by them involve valuation of real options.

       第十九条  注册资产评估师在执行有关资产评估业务涉及实物期权评估时，应当在评估报告中予以披露。

  Article 20    In the preparation of valuation reports involving real options valuation, certified public valuers shall, in addition to complying with relevant disclosure requirements set forth in the Assets Valuation Standards – Valuation Report, also disclose, among other things, types, underlying assets and exercise period of real options, valuation method and model selected, and results of real options valuation.

       第二十条  注册资产评估师编制涉及实物期权评估的评估报告，除了符合《资产评估准则——评估报告》的披露要求外，还应当披露实物期权的种类、标的资产、行权期限、选择的评估方法和模型，以及实物期权评估结果等。

  Article 21    If a certified public valuer finds that there are any non-ignorable real options in the business that he is commissioned to conduct, but that the client requires him not to evaluate such real options or fails to provide valid information for valuation thereof, the certified public valuer shall give relevant indications in his valuation report.

       第二十一条  注册资产评估师发现委托业务中存在不可忽视的实物期权，而委托方要求不评估实物期权，或者委托方不能提供充分有效的评估信息，应当在评估报告中予以说明。

  Article 22    When conducting the business involving real options valuation, certified public valuers shall give necessary indications of the nature of real options as contingent assets in valuation reports.

       第二十二条  注册资产评估师执行涉及实物期权的评估业务，应当在评估报告中对实物期权的或有资产属性给予必要的提醒。

Chapter 6: Supplementary Provisions

第六章 附则

  Article 23    These Guiding Opinions shall come into effect on July 1, 2012.

       第二十三条  本指导意见自2012年7月1日起施行。

Annex 1: Common Real Options (For reference)

    附1：常见的实物期权（供参考）

Annex 2: Commonly Used Options Pricing Models (For reference)

    附2：常用的期权定价模型（供参考）

Annex 3: Reasonableness Check of Valuation Results (For reference)

    附3：评估结果的合理性检验（供参考）