Carbon Neutral Bond Pricing ——A Case Study Of "GC Huadian 02”

As a new type of financing tool for China to achieve "carbon peaking and carbon neutrality","carbon neutrality" bonds have developed rapidly by their unique carbon neutral attributes and strong policy support.Due to the "carbon neutrality" bonds is relatively new,there are problems such as non-explicit benefit measures lacking,differentiated ratings is not achieved and the obvious phenomenon of underpricing.In order to explore the model suitable for pricing of "carbon neutrality" bonds and its investment value,this article firstly introduces the bonds pricing methods in the market,and compares the advantages and disadvantages of different models,then uses different pricing methods to simulate pricing for "GC Huadian 02",and finally,analyzing the results between different models.The results of research show that the pricing of "GC Huadian 02" by using BS model,binary tree pricing model and market pricing method are all higher than the pricing of using book building method,indicating that there is a certain "underpricing" in the book building method of "carbon neutrality" bonds.In addition,the difference between the BS model and the actual transaction price is small,indicating that the BS model may have better applicability to the pricing of "carbon neutrality" bonds,and this small difference is mainly due to the fact that the BS model puts "Carbon Emission Rights" as a factor into the pricing calculation process.Regarding the difference between the simulated price result and the actual price,this paper believes that,firstly,the effectiveness of China’s bonds market is insufficient,irrational trading behaviors may made by market traders;secondly,due to the poor market liquidity of "carbon neutrality" bonds,the market needs to compensate for its liquidity,which may cause the lower transaction price;finally,complexity of using the model also cause the lack of accuracy of the simulation results.According to the research findings,this paper gives suggestions to improve China’s "carbon neutrality" bonds market from four aspects: encouraging rational investment of "carbon neutrality" bonds,completing the related policies,enhancing the liquidity of the market and upgrading the information disclosure system.