Research On Pricing Of New Energy Project Financing Products Based On Carbon Trading Price

In the context of promoting the construction of a new model of low-carbon economic development and realizing the comprehensive green transformation of economic and social development,the newly installed capacity of new energy power generation projects in China has hit a record high,and the demand for project construction funds is also growing.However,due to the long financing cycle,high initial cost and unstable income of new energy projects,banks and other financial institutions have a high risk perception of new energy financing,which makes new energy enterprises that are highly dependent on credit,bond and other financing methods have financing difficulties and need new financing products to improve financing efficiency.Based on the above background,this paper carries out a research on the pricing of structured finance products of new energy projects based on carbon trading price.Firstly,domestic and foreign research literature on new energy project financing,carbon trading prices and carbon financial products were reviewed,and the basic concept,main classification,pricing theory and parameter estimation models and methods of structured financial products were expounded,providing theoretical and methodical support for designing structured finance products and constructing pricing models.Secondly,the paper analyzes the income risk characteristics of new energy projects and finds that the risk of carbon trading price fluctuation is the main factor affecting the income of carbon assets.Based on this,the article innovatively designs the terms of the traditional fixed-rate financing bonds,realizes the actual coupon rate of interest payment on the interest date changes in the same direction as the change rate of carbon trading price through the embedded interest floating clause,designs the structured financing products composed of zero-coupon bonds and spread options,and establishes the risk sharing and benefit sharing mechanism between investors and issuers.The pricing model of structured financing products of new energy projects is constructed by using discounted cash flow method and fractional Black-Scholes option pricing theory.Finally,Y wind power project developed by Q Company is selected as the study case,and the 3-year fixed rate bond publicly issued by Q company in 2020 is taken as the control group.Historical carbon trading data of Shanghai Institute of Energy and Environment are used.GARCH model,R/S analysis method and Monte Carlo simulation method were used to estimate the value of structured finance products and the value at risk of project income,and the sensitivity analysis of the key factors affecting the product value was made.The results show that:(1)under the same conditions,compared with fixed interest rate financing bonds,structured finance products based on carbon trading price have a lower issue price,which effectively improves investment attraction and market competitiveness;(2)Under the same conditions,when the structured financing products based on carbon trading price are issued,the riskvalue of new energy projects’ earnings is lower and the earnings are more stable,effectively reducing the risk of carbon trading price;(3)When other parameters remain unchanged,riskfree interest rate,carbon trading price volatility,coupon lower threshold and adjustment parameters are negatively correlated with the value of structured finance products,while coupon upper threshold and basic coupon rate are positively correlated with the value of structured finance products.Issuers can adjust relevant parameters to make reasonable pricing according to the actual situation.To sum up,new energy project financing products based on carbon trading price can effectively improve financing efficiency and reduce the risk of carbon trading price volatility.Its pricing model is reasonable and feasible,which has reference value for future new energy project financing.