基于交通量风险的PPP交通项目再融资产品设计

交通PPP项目的投资大、风险高。政府作为发起方，需要为项目提供担保以吸引社会资本方的参与，但过度依赖政府担保意味着：一旦发生数额较大的债务违约将会给财政造成巨大的负担，因此有必要谋求适宜的市场化融资渠道。为了协调PPP项目相关者的利益，本文在项目收益债的基础上嵌入了与项目未来收益挂钩的或有条款，并运用结构化方法中的Merton模型在风险中性情景下对融资产品进行了定价。最后，以某PPP交通项目为例，进行了具体的融资产品设计，计算了相应的产品价格和风险价差，并对某些关键条款进行了敏感性分析，结果表明该产品能够在有效减轻政府担保的基础上降低融资成本。

Design of Refinancing Product for PPP Transport Project Based on Traffic Volume Risk

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 projects 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. Once a large amount of debt default occurs, it will cause a huge financial burden.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. 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. Merton model in structural approach is used to solve the pricing problem under the risk-neutral world.It is divided into the following steps in specific:Firstly, the contingent clauses are designed on the basis of the project revenue bond by coordinating the interests of stakeholders. Secondly, the model is established based on traffic volume variation, which is the most important determinant of the project income. 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 example is selected from the project management library of China Public Private Partnerships Center. Due to the confidentiality of franchise agreement, this paper only refers to the basic framework of the expressway PPP project case, and makes reasonable assumptions based on the feasibility analysis report and bidding documents.A refinancing product combining the project revenue bond and contingent clauses is proposed, which makes up for the deficiency of insufficient research on product design and pricing. The results show that the product can effectively reduce government guarantee burden as well as financing cost. Compared with ordinary project revenue bonds, the product can reduce the government guarantee burden. Compared with ordinary write-down bonds, it can reduce the issuing cost. It is conducive to achieve the revenue sharing-risk sharing incentive compatibility situation between the issuers and the investors. Under the design of clauses and parameters, the risk spread of PPP refinancing product is positively correlated with the risk-free interest rate, the lower guarantee threshold coefficient and the write-down ratio, and negatively correlated with the volatility of traffic volume. It provides a reference for the reasonable selection of some parameters and product risk management.