A Study On Asset Securitization Pricing Via PPP Model

In recent years,the use of PPP model in the infrastructure sector and asset securitization still belong to the new things in China's financial market.The basic properties of the two have a high degree of fit in many aspects,which also makes it possible for them to combine more effectively.The Regulations of the "Provisions on Asset Securitization of Securities Companies and Fund Management Companies Subsidiaries"promulgated by the China Securities Regulatory Commission in 2014 mentions that real estate constructed in government infrastructure projects or its income right will be included in the basic asset range of asset securitization.The promulgation of this provision means that the securitization of China's PPP model has obtained the support and recognition of the government at the legal level.In the course of project practice,although the government has promulgated a number of measures to encourage social capital to participate in it,there are still certain deficiencies in the improvement of the exit path of capital,which limits the participation of social capital in PPP projects.Based on the previous research conclusions,this paper uses the traditional discounted cash flow pricing model as the basic theoretical basis,discusses the feasibility of using further securitization financing in China's infrastructure PPP projects,and builds relevant pricing models.By comparing the characteristics of current securitization securities pricing model,combining the characteristics of PPP model and its cash flow characteristics,the empirical analysis of the application of the three models in actual cases is conducted.This article selected the securitization of Humen Luyuan PPP project as the research object.This case is the first batch of PPP securitization projects in China.The wastewater treatment industry where the project is located and the mode of taking the income right as the basic asset occupy a large proportion in the current securitization products of PPP projects in China,which has typical representative significance and research value.Then,according to the characteristics of the project,the Monte Carlo model(MC)and the option-adjusted spread(OSA)model,which are widely used in the pricing of securitized products,were selected for comparison.The models were used to quantitatively analyze the reasonable prices of the PPP model securitization products in the case.The empirical results show that due to the strong path dependence of cash flow from PPP projects,the Monte Carlo pricing model can realistically and accurately simulate the expected cash flow of the PPP model securitization products in the next ten years under the circumstances of simulating a large number of random paths.This provides a possibility for the use of securitization in PPP projects and references for specific practices,and then builds a solution to alleviate local government debt pressure and infrastructure PPP financing problems.This paper finally concludes that the method of Monte Carlo simulation pricing is more feasible and applicable in the current stage of PPP securitization products in China.On the basis of ensuring social capital protection and effectively promoting the continuous development of the financial market,in order to promote the use of securitization in PPP projects,this paper presents four recommendations:Pay attention to the accumulation of original data,optimize the basic asset securitization pricing system,improve the credit rating system and promote the liquidity of securitized products,set a dynamic adjustment mechanism for product prices to protect the interests of all participants,and fully use the existing PPP asset trading platform.We hope this paper can provide some reference value for further exploration and practice of infrastructure PPP project financing in China.