Research On The Pricing Of Infrastructure Real Estate Investment Trust Funds

In recent years,driven by market demand and policies,China’s infrastructure investment and financing market has experienced explosive growth.However,as the market scale continues to expand,the dilemmas of the market has gradually emerged such as the unreasonable capital market structure,the difficulty of social capital participation and the high risk of local government debt.In 2020,the China Securities Regulatory Commission and the National Development and Reform Commission successively issued the "Notice on Promoting the Pilot Work of Real Estate Investment Trust Funds(REITs)in the Infrastructure Sector" and the "Guidelines for the Public Offering of Infrastructure Securities Investment Funds(Trial)",officially taking a key step towards REITs in the infrastructure REITs market.As more and more infrastructure construction companies use infrastructure REITs as a new financing tool,how to reasonably estimate the price of these products has become a hot issue.Based on the characteristics of infrastructure assets,infrastructure REITs are characterized by relatively stable assets,complex transaction structures,and the low relevance to the stock market.In addition,in terms of cash flow,there are generally risks such as early payment,default,and interest rate.These features and risks make the traditional comparable pricing methods no longer suitable for infrastructure REITs pricing research.The article takes Shanghai Guangshuo Industrial Asset-Backed Medium-term Notes as a case for empirical research.First,the Monte Carlo method and the CIR model are employed to simulate the interest rate term structure of the assetbacked notes,and then the size of the note and the coupon rate of each priority are calculated through the predicted cash flow and the estimated option adjustment spread.The research results show that there is only a small gap between the theoretical scale obtained using this method and the actual scale.Therefore,this article draws the following enlightenment: first,infrastructure REITs improve investment and financing channels to help the development of the infrastructure industry;second,traditional pricing methods are not suitable for the pricing of infrastructure REITs products;third,various influencing factors are comprehensively considered by the method of option-adjusted spread combined with Monte Carlo simulation,such as the term structure of interest rates,prepayment risk and cash flow of underlying assets.Based on the above enlightenment,for the long-term development of infrastructure REITs,the government should formulate tax support policies;additionally,the market is able to improve market access mechanisms and strengthen investor publicity and education;what’s more,financing parties and issuing institutions need cultivate professional operation team and improve the operation and management capabilities of infrastructure assets.Regarding the pricing of infrastructure REITs,the government and the market need to improve the pricing methods of infrastructure REITs by polishing the top-level legal system and establishing product databases.