Study On The Pricing Of Asset-backed Securities In PPP Projects

Public-Private Partnership(PPP)model refers to the partnership established in the field of public services and infrastructure by the Ministry of Finance,governments at all levels and social capital.In recent years,in order to alleviate the shortage of government financial funds and reduce the burden of government debt,PPP model has been widely used in infrastructure and public services by governments at all levels.Besides,PPP projects generally have the characteristics of long construction and operation cycle and large scale of capital demand.For social capital,PPP project will occupy a large amount of social capital for a long time,and it is difficult to bring benefits in a short time.Therefore,it is of great significance to broaden the financing channels of PPP projects.What's more,Securitization of PPP project assets can attract more investors' funds and effectively solve the problem of capital occupation of social capital.Compared with the UK which first introduced PPP model in the field of infrastructure and public services in the world and Canada,which is the best country in the world In this field,Though China's PPP project started relatively late,PPP projects develop rapidly and have become an indispensable part of the field of infrastructure and public services.At present,China's PPP project asset-backedsecurities are still in the early stage of development.There are still some differences between the overall business asset securitization in Europe and the "real transfer structure" in the United States.The main manifestation is that the planned manager securities company plays an indispensable role in China's PPP project asset-backed securities,But In practice abroad,the role of financial institutions has been weakened.The original financier establishes a subsidiary and allows the subsidiary to issue bonds and subsidiaries bring the collection to the original financiers in the form of loans.In the comparison of asset-backed securities pricing,the static cash flow discount method is relatively simple,and only discounts future cash flow with risk-free interest rate,without considering the fluctuation of future interest rate and the term structure of interest rate.The option-adjusted spread method increases the fluctuation of future interest rates and adjusts the cash flow according to the fluctuation of future interest rates.It considers the problem of early repayment caused by future interest rate fluctuations and adds the pricing problem of embedded options under different interest rates.Monte Carlo simulation method simulates the future interest rate path,adjusts cash flow based on Pre-repayment and default conditions,and discounts the adjusted cash flow at risk-free interest rate to obtain transfer consideration.The static spreads method considers the influence of term structure of interest rate on asset-backed bond pricing,and adds static spreads to the discount rate.Since there is almost no prepayment for heating charges,the static spread method is a more realistic pricing method.In case analysis,this paper selected the new urbanization construction PPP project of Gu'an Industrial Park,which has issued asset-backed securities in reality.Firstly,I forecast the future cash flow of basic assets.Secondly,the CIR model is used to obtain the structure of risk-free interest rate curve,and the risk-free interest rate is used as the benchmark interest rate.Based on the rate of return of corporate bonds and corporate bonds in the credit rating-related industries on March 1,2017,the spread between the maturity yield of relevant bonds and the benchmark interest rate determined in this paper is obtained,thus the key of the static spread is determined.Inthe process of choosing pricing method,the case selected in this paper involves the right to benefit from heating fees.The government pricing the heating price,there are almost no problems such as premium payment and default of charging right,so the static spreads method is a more realistic pricing method.Based on the case analysis,conclusions as follow: Firstly,the static spreads method is more suitable for asset-backed securities pricing.Secondly,the necessary design of internal and external credit enhancement is an effective guarantee for the smooth issuance of PPP projects.For the future PPP project asset-backed securities special plan,this paper puts forward the following suggestions: first,selecting mature PPP projects for asset securitization;second,improving the current policy system of PPP project asset securitization;last,improving the bankruptcy isolation mechanism.