Research On Asset Securitization Pricing Method Of Highway PPP Projects

Since 2014,various departments have vigorously promoted and standardized the PPP model in the transportation sector,setting off an upsurge of using the PPP model to build highways.However,the highway PPP project has the characteristics of large investment amount and long recovery cycle,so the participation enthusiasm of social capital is not high.On December 26,2016,the National Development and Reform Commission and the China Securities Regulatory Commission officially launched the PPP project asset securitization in order to solve the difficulties of financing and the unobstructed channel of capital exit in PPP project.However,many new problems have emerged behind the rapid development of the PPP project sasset securitization market.How to determine the value of such securities products is one of the prominent issues at present.Whether the product can be successfully issued in the market depends on whether the pricing reflects the intrinsic value of the product properly.As the PPP project asset securitization is still in the initial stage of development in China,and the products of the highway industry are still not issued,so that the existing research has paid little attention to the pricing of asset-backed securities for highway PPP projects.At present,it is imperative to explore a model for asset securitization pricing of highway PPP projects.Resolving this issue will help make full use of the advantages of asset securitization to promote the development of the highway industry,so as to attract more social capital to participate in expressway construction.This paper takes the highway PPP project financing problem as the starting point to analyze the necessity and feasibility of the use of asset securitization financing in highway PPP projects,and compares three currently commonly used asset securitization pricing methods,combining with the characteristics of highway PPP projects,it infers that the option-adjusted interest spread method has an advantage in pricing asset-backed securities for highway PPP projects.On this basis,this paper constructs a pricing model for asset-backed products of highway PPP projects based on the option adjustment spread method.In the pricing model,in order to bring the pricing results closer to the real market conditions,the cash flow calculation is designed based on the operating characteristics of the highway,and the CIR single-factor model is used to estimate interest rates,the Logistic model calculates the prepayment rate,and the interest rate binary tree model simulates the future interest rate path.Finally,using this pricing model,it calculated the theoretical value of asset securitization products from the Chengziluchi highway PPP project.The results of the study indicate that:(1)The implementation of asset securitization in highway PPP projects can revitalize stock assets,solve financing difficulties,smooth the withdrawal of capital from the channels,and comply with the spirit of national policies,and it has the necessity of implementation;due to the relatively mature development of the highway industry and the protection of policies and regulations,and it can get rid of sponsor credit,asset securitization in highway PPP projects are also highly feasible.(2)The option adjustment spread method can better deal with the changes in interest rates and early payment in the pricing process of asset-based securitization products in highway PPP projects,which is more advantageous than the static cash flow discount method and the static interest spread method.It is close to the characteristics of the highway PPP project,and is the pricing method that is applicable to the asset securitization products of highway PPP projects.(3)The theoretical price of the 7-year asset securitization product from the Neijiang-Zigong segment of the Chengziluchi highway calculated from the pricing model constructed by the option adjustment spread method is 35.64 billion.From the current situation of existing toll road assets securitization products,this result is in line with the actual market conditions and shows that the pricing model constructed in this paper has applicability in practice.