Research On The Design And Pricing Of The Refinancing Product For PPP Transport Project

In recent years,the Public-Private Partnership model has been vigorously promoted in order to efficiently provide infrastructure services that meet public needs.Long period and high risk are existed in PPP transport projects.In addition to the initial capital of the construction period,the subsequent operation period also requires high operation and maintenance costs.The financing problem becomes the key to the success of PPP project due to the huge investment.As the initiator,government needs to provide certain guarantee for the project to attract the participation of social capital.However,over-guarantee lacks incentives for social capital.In addition,the government is not strict in project auditing and supervision.Once a large amount of debt default occurs,it will not only cause a huge financial burden,but also pose a hidden danger to the stable operation of financial system.In view of the above problems,domestic and foreign scholars have conducted extensive studies on PPP project refinancing and the ratio of government guarantee,but few studies have been conducted on the specific design and pricing of innovative market-oriented refinancing products.This thesis proposes a refinancing product combining the project revenue bond and contingent clause based on the existing research.It is divided into the following steps: Firstly,the related research of PPP project refinancing,market financing methods and contingent capital are reviewed,and the concepts of PPP model,government guarantee and structured product are described in detail.Secondly,the contract design of financing product is proposed through stakeholders demand analysis.Merton model in structural approach is used to solve the pricing problem under the risk-neutral world.Finally,taking a PPP transport project as an example,the product price and risk spread are computed and sensitivity analysis of some important parameters are carried out to explore the economic effect.The main contributions of this thesis are as follows.In view of the financing difficulties of PPP transport projects and the implicit guarantee of the government,an innovative market-oriented refinancing method for PPP projects is proposed to make up for the existing refinancing product design and pricing theory research deficiencies.Referring to the mechanism of government guarantee and contingent capital,a structured product embedded with contingent face value increase and decrease clauses collateralized by future operating earnings is designed.When the project income does not reach the lower threshold,the loss is absorbed by the write-down clause.When the project development exceeds the expected upper threshold,the excess earnings are shared by the write-up clause.It is conducive to achieve the revenue sharing-risk sharing incentive compatibility situation between the issuers and the investors.The comparative analysis and sensitivity analysis of the model and main parameters are carried out through case analysis and numerical calculation.The results show that the product can effectively reduce government guarantee burden as well as financing cost,which provide a scientific basis for the proposal of the financing scheme in this paper,and also provide a reference for the reasonable selection of some parameters.