Research On The Issuance Pricing Of Green Exchangeable Corporate Bonds

Green exchangeable bonds are a new type of financial financing tool that is issued in accordance with legal procedures and repays principal and interest as agreed.The funds raised are specially used for environmental benefit projects focusing on mitigating and adapting to climate change,and can provide financial support for green industries,to help green projects reduce the risk of maturity mismatch.For the investment,construction and operation of green projects,whether green bonds can effectively reduce the financing costs of relevant issuing companies is an important reference for companies to choose green bonds.The issuance pricing level of green bonds will also directly affect the participation of market players.A reasonable bond price is also the key to the successful issuance of bonds.Based on the research results of many scholars at home and abroad,with the green exchangeable bond pricing method as the research focus,this thesis selects China’s first green exchangeable corporate bond "G Three Gorges EB1" issued by Three Gorges Group to conduct a pricing case study.Starting with the pricing theory,combined with the actual situation,select the appropriate pricing method,analyze and deal with the various clauses attached to it,and build a more reasonable pricing model for green exchangeable bonds.Finally,from the perspectives of issuers,investors and regulators,it provides relevant suggestions for promoting the healthy development of the green exchangeable bond market and scientifically using green exchangeable bonds as an emerging financial tool.Firstly,define the concept of green exchangeable bonds,expound the characteristics of green exchangeable bonds and related pricing theory,and introduce the issuer,the underlying stock company,the basic situation of the bond "G Three Gorges EB1" and the issue pricing method in this case.Secondly,the case analysis part mainly analyzes the problems existing in the original pricing method of "G Three Gorges EB1",the establishment of the pricing model and the choice of methods,the pricing simulation process,the pricing simulation results and the shortcomings of the pricing simulation process.The main idea of the pricing model is to decompose the value of "G Three Gorges EB1" into three parts: the green attribute option value,the debt bottom value and the stock option value for pricing analysis respectively.The value of green attribute options is based on the real option theory,and the B-S model is used for analysis and pricing.Next,the discounted cash flow model is used to calculate the debt bottom value,and then the exchange,redemption,sell-back and exchange of "G Three Gorges EB1" are carried out.The price correction and other terms are analyzed in detail,the Monte Carlo method is used to simulate the path of the underlying stock price,and the program is written with MATLAB to obtain the debt value and stock option value of "G Three Gorges EB1",and finally add the three parts of the value.Always get the theoretical price of "G Three Gorges EB1".The comparison found that the actual price was lower than the theoretical price,and based on the monthly closing price data of the year in which the bond G Three Gorges EB1 was issued,it was judged that the bond was indeed undervalued.There is a certain deviation between the theoretical issue price calculated by the pricing model and the actual issue price.The main reasons are: first,the low liquidity of my country’s green bond market affects investors’ judgment on the investment value of green exchangeable bonds;second,Investors fail to deeply understand the value of the bond’s complex embedded options;third,the environmental benefits brought by the green exchangeable bond investment project are difficult to quantify with an exact indicator;fourth,the model’s The basic assumptions cannot be satisfied in the actual capital market;fifthly,some terms are simplified in the pricing model.