The Research On The Pricing Of PPP Projects Securitization

PPP has regained extensive attentions from many sectors of society and enjoyed the prosperity for development since it was put forward that the private sector was permitted to participate in investment and operation of downtown infrastructure in the way of franchise.However,the private sector is not active to attend the PPP projects because it takes them much time to withdraw the cost.Entering the later period,the traditional bank loan may not satisfy the need of large projects,then innovative financing methods,including asset securitization,started being explored.12 December 2016,National Development and Reform Commission and China’s Securities Regulatory Commission launched the PPP asset-backed securities,which alleviate the pressure of projects financing and withdrawal to some extent.For the time being,the potential market of PPP asset securitization in is substantial in China.The essential problem is whether the pricing of PPP-ABS products can satisfy the requirement of both investors and the financing side in the trade.While interest rates being the financing cost to the financing side,it means investment profit to investors and both sides ask for different interest demand.Therefore,the research on pricing system of PPP asset securitization is worthy in theoretical and practical level.At moment,PPP asset securitization development is just initiated in our nation and studies on relative theories are still in the experimental and exploring period and there does not exist a pricing system of PPP products which is appropriate for specific situations in our nation.Internationally,the main stream pricing methods are SCFY,SS,OAS and MCSM.The core content of OAS is to set up reasonable interest rate path.The research on domestic and foreign documents has substantiated that the interest rate term structure calculated by no-arbitrage model can match the market curve well.When the interest rates is changed in the market,model parameters can be adjusted to be adapted to real data,which reaches closer to the real market compared with that of equilibrium model.Based on the summary of a number of research outputs,the essay analyzes elaborately the feature of PPP asset securitization model and use the OAS to set up the proper interest rate simulating paths model with the adjustment and application of existing pricing theories.Combine the basic asset cash flow speculated by Crystal Ball simulating software and the interest rates path simulated to calculate the theoretic price of the PPP asset securitization projects.The paper was separated into five parts:Chapter One,prolegomenon.This chapter introduces the background and significance of the title and depicts the content of PPP model and the relative concepts of asset securitization.Furthermore,it teases the current research on domestic and foreign PPP projects asset securitization and summarizes the structure,innovative points and disadvantage of the paper.Chapter Two,relative theories to the PPP project asset securitization.Based on those theories,the paper summarizes features of PPP projects asset securitization and exhaustively analyzes its pattern,participants,pricing principle,influencing factors and traditional pricing models.Chapter Three,the OAS model in asset securitization pricing of PPP projects.Based on the comparison and analysis of traditional pricing model,this paper expounds the basic thought and main steps of OAS model,analyzes the choice of interest rate path,the model of interest rate fluctuation and the advance payment model.Chapter Four,case analysis of PPP asset securitization.The paper takes HuMen LvYuan Sewage Treatment PPP projects asset securitization for example to forecast the future cash flow and analyze the empirical results.Chapter Five,conclusions and suggestions.Summarize the research results and puts forward relating proposals,pointing out that there is need of improvement in the date collecting and processing and simulating of interest rate path,which provide a reference for relevant research on pricing system of PPP projects asset securitization.The main innovation points of this paper are:through the analysis of the existing asset securitization pricing methods,considering the characteristics of the PPP-ABS project,builds a more suited interest rate path to the market situation in our country,the empirical result shows that this pricing method is more close to the actual situation;In the process of case analysis,using the Crystal Ball method to simulate the future cash flow of asset pool,get more intuitive forecast cash flow situation,the research method which is less applied in the research field of the PPP project pricing.There are still some deficiencies in the research process.The main disadvantages are:the effect of default risk on price is not considered in the empirical process,which may lead to deviation between theoretical price and actual price;The relevant data sources of PPP project asset securitization are limited,and the selection of some key indicators is still based on historical data,which may lead to obstacles in the empirical process.