| In 2018,the Ministry of Finance issued Document 23 referring to the PPP project,proposing that financial enterprises should not provide debt funds to it as project capital,which makes the financing dilemma of the PPP project more obvious.China's PPP project began to develop rapidly after the State Council issued No.60 in 2014.This mode mainly involves the field of infrastructure construction.The whole project has a long duration and huge demand for funds during the construction period.Therefore,it cannot meet the demand of high liquidity of private capital,and thus cannot attract private capital to participate in social public services.In order to solve the financing difficulties of PPP projects,the Development and Reform Commission and the Securities Regulatory Commission jointly issued document No.2698 at the end of 2016,which opened the prelude of PPP asset securitization.The potential market size of liquefying PPP project through asset securitization is huge,but in the process of PPP asset securitization transaction,its pricing problem cannot be ignored.Reasonable pricing has significant meaning for reaching a deal between both sides of investment and financing,promoting the smooth financing of PPP,and realizing the smooth development of PPP projects.In the process of pricing,the reasonable selection of pricing methods can not only directly affect the pricing results,but also effectively lock in the risks of products.Thus,it is necessary to study the pricing methods of this type of products.This paper deeply analyses the development and dilemma of PPP and its asset-backed securities,explores the relationship between pricing methods and risks of asset-backed securities products,and analyses the main characteristics of PPP and its asset securitization.On this basis,combined with the commonly used asset-backed securities pricing methods,taking into account the product terms,CIR model and Monte Carlo method are used to estimate interest rate path and cash flow,the option-adjusted spread pricing model is improved.Thus,a general pricing method for this type of products is proposed.Then,combined with the typical case of "Sichuan Investment PPP Asset Backed Project",the pricing method is successfully simulated,which verifies the operability and practical application effect of the pricing method proposed in this paper,and provides a certain reference for the pricing of subsequent PPP asset-backed securities,and helps future development of this type of products.The paper finds that the current issuance of PPP asset-backed securities is insufficient,a large number of PPP assets in stock can attract social investment through asset securitization.Moreover,the pricing of this type of products in the market is reasonable,the option-adjusted spreads method combined with Monte Carlo simulation proposed in the paper can also be effective for pricing PPP asset-backed securities,and it is operated easily.Therefore,for the product issuers,it is possible to incorporate diversified term into PPP asset securitization products in order to improve product stability and reduce financing costs.Risk factors can be taken into account in the pricing process so that the pricing results can reflect the risk characteristics of the product.For the financial regulators,they should continue to enhance the support of PPP asset-backed securities,and constantly improve the diversified pricing mechanism of PPP asset-backed securities in order to expand the relevant market.At the same time,they should effectively supervise the price of products to prevent risk overlap and spillover in the pricing process,so as to stabilize the financial market.For researchers,they should continue to explore the pricing methods of PPP asset-backed securities,take more factors that can affect the pricing results into account,and constantly improve the scientificity of pricing methods for this type of products.For PPP asset-backed securities pricing,it is believed that with the future business development,its research will be more indepth. |
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