项目融资及信贷风险管理.ppt

Project Finance and Credit Risk Management 项目融资及 信贷风险管理,Project Finance Overview项目融资简介 Credit Risks in Project Finance项目融资中的信贷风险 Credit Risk Management (Financial Risks)信贷风险管理 (财务风险) Cash Flow Analysis现金流分析 I (NPV and IRR净现值和内部收益率) Cash Flow Analysis现金流分析 II (Individual Cash Flows单个现金流) Stress Testing/Simulation压力测试/仿真模拟 Credit Risk Management (Political Risks)信贷风险管理 (政治风险),Table of Contents目录,Project Finance Overview 项目融资概况,Basels Definition of PF (in short) 项目融资的Basel定义,A simple cash-flow stream简单的现金流量 The value of PF relies on a simple cash-flow stream generated by a single project and the collateral value of the project assets: the source of the cash-flow may be a single buyer or consumers.项目融资的价值在于简单的现金流量产生于单一的项目，以及项目资产的抵押价值：现金流的来源可能是一个买家或者客户。 Non- or limited-recourse没有资源或资源有限 An independent SPE is created to hold the project assets and to integrate all legal contracts in an effective and efficient manner for funding, building and operating a single purpose project. SPE is owned by one or a few sponsors and it is highly leveraged.一个独立的项目公司建立的目的就是为了持有项目资产，集中所有法律合同进行有效和有效率的融资，建立和经营一个单一目的的项目。项目公司是被一个或者一些发起人拥有的，而且他的负债对资产比率很高。 Risk allocation风险配置 PF is used for large, complex, and expensive industrial facilities such as natural resources and infrastructure sectors, which involve a series of legal contracts in a vertical chain from input supplier to output purchaser.项目融资被用于大型，复杂及昂贵的工业设备上，例如自然资源和基础建设部分，涉及到从原料提供商到产成品采购方的垂直链上的一系列法律合同,Based on: International Convergence of Capital Management and Capital Standards, BIS, 2006, para 221,222,Why PF Structure? Sponsors Motivation 为什么使用项目融资结构？发起人的动机,Risk mitigation/Debt capacity风险缓解/负债能力 By isolating the asset in a standalone project company, project finance reduces the possibility of risk contamination, the phenomenon whereby a failing asset drags an otherwise healthy sponsoring firm into distress.发起人可以把资产放在一个独立的项目公司中，项目融资降低了风险的可能性，否则其他不良资产可能会导致整个公司都进入困境。 The sponsor can preserve corporate debt capacity.发起人可以保障公司的借债能力 To create asset specific governance structure可以建立明确的资产管理结构 Separate legal incorporation, which assumes a specific project and few growth options, reduces both the cost of monitoring managerial actions and assessing performance, and wasteful expenditures and sub-optimal reinvestment.单独设立法人企业，各自承担一个项目，降低了各自的监管，评价成本，节约了浪费的费用，和次优再投资。 Deterrent against strategic behavior by the third parties可以威慑第三方的战略行动 Sponsor can involve the critical parties for the project, including the public sector, as shareholders to prevent future conflict.发起人可以把重要的合作方，例如公共部门纳入项目中，例如作为项目的股东，这样可以防止将来的冲突 By involving international banks and multilateral agencies whose interest is solely in cash-flow maximization by the project, the sponsor may prevent harmful action by the host government.发起人可以把国际银行，国际代理纳入项目公司，他们的利益会由项目而达到最大化，这样发起人就有可能防止当地政府的有害行为,Based on: The Economic Motivations for Using Project Finance, Benjamin C. Esty, 2003,PF vs. Corporate Finance 项目融资 vs. 公司金融,Project Finance项目融资 Limited or non-recourse资源有限或者没有资源 Simple cash-flow structure produced from one independent waste asset由单一资产产生的单一现金流结构 High-leverage at beginning, but getting lower toward the end of the debt repayment初期较高的财务杠杆， 但在债务偿付之后逐降低 Relatively a few layers of debt and equity structure (simple ownership)相对较少的债务和权益结构（单一所有权） Applied to projects attaining a scale of economy适用于达到规模经济的项目,Corporate Finance公司金融 Full recourse充足资源 Complicated cash-flow structure produced from a set of various, replaceable profit making projects由一系列可替代的盈利项目产生的复杂的现金流结构 Leverage depends on a companys target capital structure财务杠杆取决于公司的目标资本结构 Various layers of debt and equity structure (complicated ownership)较多层次的债券和权益结构（复杂的所有权） Applied to all profit making business types适用于所有盈利企业类型,Typical Structure of Conventional PF 典型的传统项目融资结构,Off-take purchaser 包销商,Input supplier 投入供应商,Operator 运营商,Project company 项目公司 (SPE),Contractors 承包商,Lenders 借款人,Sponsors 发起人,Central/local Government 中央/地方政府,Concession Authority 特许权许可,Insurers 保险公司,Shareholders Agreement 股东协议,Equity所有者权益,Loan Agreement借款合同,Debt借款,Construction Agreement 建造合同,License/permit专利权/许可权,Concession Agreement特许权合同,Insurance保险,Off-take agreement 包销协议,Supply agreement 供应合同,Operation/maintenance Agreement 运营/维护合同,Power/utility电力/动力,Multilateral/bilateral agencies 多方/双方代理,Equipment suppliers 设备供应商,2. Credit Risks in Project Finance 项目融资中的信贷风险,Fire Flooding Earthquake Volcano Disease,Strike Insurrection Terrorism War,Force Majeure Events,Political Risks,Corruption Legal/regulatory -irregularities License/Permit Concession Taxes Equity-holding Currency -inconvertibility Expatriation Preemption/priority Breach of contract Foreign worker limitation Law enforcement,Construction Facility site Equipment Technology Off-take Input Operation Utility Collateral Mineral reserves Reporting accuracy,Contractual Risks,Commercial Risks,Creeping Expropriation,Outright Expropriation,Natural Disaster,Expropriation Confiscation Nationalization,War & Civil Disturbances,Financial Risks,Market Risks,Civil Movements,Environment Human rights CSR Religion Nationalism Globalization,Interest rate Exchange rate Inflation rate Labor cost Product market Input market Salvage cost,Project Finance Credit Risks Overview,火灾 水灾 地震 火山 疾病,罢工 暴动 恐怖活动 战争,不可抗力,政治风险,腐败 法律/法规 -不合法 专利权/许可权 特许权 税赋 持股经营 货币-不可转换 派遣 优先购买权/优先权 合同违约 外籍员工限制 执法,建造 场地 设备 技术 生产包销协议 投入 运营 动力 抵押 矿产储量 报告的正确性,合同风险,商业风险,间接征用,征用,自然灾害,征用 没收 国有化,战争及 民间干扰,金融风险,市场风险,利率 汇率 通货膨胀率 人工成本 产品市场 产出市场 回收成本,项目融资的信贷风险-概况,民间运动,环境 人权 企业社会责任 宗教 民族主义 全球化,3. Credit Risk Management信贷风险管理 (Financial Risks金融风险),3.1 Cash Flow Analysis I 现金流分析I (NPV and IRR) （净现值法及内部收益率）,(1 + r ),(1 + r ),Net Present Value净现值 (NPV) I,Year年,Free cash flow,Cash out flow 付出现金流,Financial Agreement (Closing)融资合同,Sank Costs 沉没 成本,t = 0,t = 1,t = 2,t = 5,t = 10,t = 20,t = 30,t = 40,Present Value现值,Present value of cash out flow at t=2 第2年付出现金的现值,Present value of cash in flow at t=10 第10年收到现金的现值,PV =,- CF2,2,PV =,CF10,10,Example例,Sank cost does not affect cash flow analysis because it is an existing fact regardless of the investment decision (it is not incremental costs). 沉没成本不影响现金流分析， 无论投资决策是否变化，它都 不会变动（它不是增量成本）,Salvage Value残值,(1 + r),CF10,(1 + r ),(1 + r ),- CF2,= - CF0 + + + + + +,- CF1,(1 + r ),(1 + r),(1 + r),CF42,(1 + r ),Net Present Value净现值 (NPV) II,1,2,10,= ,42,t = 0,CFt,t,Present value of cash out flow at t=2 第2年现金支出的现值,Present value of cash in flow at t=10 第10年现金流入的现值,PV2 =,- CF2,2,PV10 =,CF10,10,PV0 = - CF0,Present value of cash out flow at t=0 0年支出现金的现值,Negative value because they are cash out flow 负数，因为他们是现金流出,Positive value because they are cash in flow 正数，因为他们是现金流入,Net of all present value of cash out flow and all present value of cash in flow is: 所有现金流入的现值减去所有现金流出的现值,NPV = PV0 + PV1 + PV2 + PV3 + + PV42,42,As long as this value is positive, the project will produce more cash than necessary to repay debt and dividend. 只要净现值是正数，这个项目带来的现金收入就能超过偿 还的借款和股利所需要的现金,Net Present Value 净现值(NPV) III,Implication 含义 Positive NPV净现值为正数: the project will generate more cash than the necessary amount to repay debt to banks and deliver dividend to shareholders, the excess cash solely to the projects shareholders. 该项目产生的现金将超过用于偿还银行债务及向股东支付股利的现金，超过部分的现金仅仅属于该项目的股东。 Zero NPV净现值为零: the project will generate exactly the necessarily amount of cash to repay debt to the banks and deliver dividend to shareholders. 该项目产生的现金正好可以用于偿还银行债务及向股东支付股利。 Negative NPV净现值为负数: the project cannot generate cash to repay debt to banks and deliver dividend to shareholders. 该项目不能产生足够的现金偿还银行债务并向股东支付股利。 Weak point of NPV is that it produces only absolute values. 净现值方法的缺点在于，它只能得出绝对数 $1 million investment and $1 thousand investment could, theoretically, produce the same NPV values. 一百万美金和一千美金的投资，理论上可以得出同样的净减值。,Based on: Financial Management, Eugene F. Brigham and Michael C. Ehrhardt, 2008,(1 + r),Internal Rate of Return内部收益率 (IRR),Method方法 IRR is defined as the discount rate that assumes NPV is equal to zero. 内部收益率是能使项目的净现值等于零时的折现率。 Implication含义 IRR is useful when investors assess the project against their hurdle rate, which is a cost of capital. IRR适用于当投资者衡量项目是否能达到他们的最低预期回报率。 IRR Hurdle Rate: the project will produce more cash than the necessary amount to repay debt and deliver dividend to shareholders.项目可以产生足够的现金来偿还债务并向股东支付股利。 IRR = Hurdle Rate: the project will produce the exact amount of cash to compromise investors cost of capital.项目正好可以产生足够的现金来偿还债务并向股东支付股利。 Weak points of IRR内部收益率方法的缺点 It applies the projects IRR to the reinvestment of cash in flows它把项目的内部收益率应用到了现金流入的在投资上 When there are more than one change from cash out-flow to cash-in flow, or from cash-in flow to cash out-flow in the projection, the value of IRR are more than one: calculator would simply indicate “error”如果现金支出和现金收入上有不止一个变化，IRR也会不知有一个：计算结果将会显示：错误,IRR = = 0,N,t = 0,CFt,t,Based on: Financial Management, Eugene F. Brigham and Michael C. Ehrhardt, 2008,Future value of all cash in flows 所有现金流入的终值,Present value of all cash out flows 所有现金流出的现值,Modified Internal Rate of Return 修正内部收益率(MIRR) I,Year年,Free cash flow 自由现金流,Cash out flow 现金流出,Financial Agreement (Closing)融资合同,Sank Costs 沉没成本,Present Value现值,Future Value终值,(1 + MIRR) =,42, Cost of capital 资金成本,Cost of capital资金成本 ,(1 + r ),t,1,(1 + r ),N-t,Method方法 MIRR is defined as the discount rate that forces the present value of cash in flows (CIF) to equal the present value of cash out flows (COF).修正内部收益率是能使项目的现金流入现值等于现金流出现值时的折现率 Implication含义 MIRR is better than IRR because it reinvest the cash-in flow by using the cost of capital which is more realistic. Thus, MIRR tells more accurate profitability of the project.修正内部收益率方法优于内部收益率方法，因为该方法使用更现实的资金成本把现金收入进行再投资 MIRR Hurdle Rate: the project will produce more cash than the necessary amount to repay debt and deliver dividend to shareholders.该项目产生的现金足以偿还债务并向股东分红 MIRR is better than IRR because it allows more than one changes in plus and minus signs in cash flow projection. MIRR允许在加减的计算中存在一个以上的变化, =,(1 + r ),N,CIFt (1 + r ),Modified Internal Rate of Return 修正内部收益率(MIRR) II,(1 + MIRR),FV of cash in flows,t = 0,N,COFt,t,t = 0,N,(1 + MIRR),N - t,PV of cash out flows =,N,Based on: Financial Management, Eugene F. Brigham and Michael C. Ehrhardt, 2008,(1 + r),t,Profitability Index 盈利能力指数(PI),Method方法 PI is another way of using NPV by dividing PV of future cash flow by initial investment.盈利能力指数是把将来的现金流的现值除以初始投资的方法 Implication PI tells the relative profitability of the project by indicating the value of the future cash flows par dollar of initial investment. When PI 1, the project should be accepted. When PI = 1, this basically means NPV = 0 and MIRR = Hurdle Rate.盈利能力指数显示出一个项目相对于每一块钱的初始投资可以获得多少盈利。当PI1时，该项目应该被批准。当PI=0时，意味着净现值=0并且修正内部收益率=最低预期回报率。,PI = =,Initial investment,PV of future cash flows,42,t = 4,CFt,(1 + r ),t,t = 0,CFt,(1 + r ),t,3,PI = =,Initial investment,PV of future cash flows,N,t = 1,CFt,CF0,Generally一般公式:,For the example cash flow projection例如现金流预算:,Based on: Financial Management, Eugene F. Brigham and Michael C. Ehrhardt, 2008,$100,$500,Comparing two projects with NPV and IRR 使用净现值和内部收益率方法来比较两个项目,-$1000,$100,$300,$400,-$1000,$600,$400,$300,Project A,Project B,NPV: $78.82 IRR: 14.5% MIRR: 12.1% PI: 1.08,NPV: $49.18 IRR: 11.8% MIRR: 11.3% PI: 1.05,Cost of capital: 10%,Cost of capital: 10%,t,t,$200,$100,$300,$400,-$100,$0,NPV,r %,5%,10%,15%,7.2%,11.8%,14.5%,$49.18,$78.82,A conflict between NPV and IRR when 净现值和内部收益率方法在交叉率之下产生分歧的情况: Project size differences exist项目规模存在差异 Timing differences exist时间存在差异 below crossover rate.,Take NPV rather than IRR. The logic is That NPV selects the project that adds most to shareholders wealth.应该选择使用净现值方法，因为净现值方法能够挑选出使股东收益最大化的项目,Project A,Project B,Crossover rate,Based on: Financial Management, Eugene F. Brigham and Michael C. Ehrhardt, 2008,NPV of FCF for the entire project life,NPV of FCF during the life of the debt,Annual debt service (principal and interest payments)年偿债额（本金+利息）,Other Important Indicators其他重要指标,Debt service coverage ratio债务偿付比率 Loan life coverage ratio债务期内的债务偿付比率 Project life coverage ratio项目期内的债务偿付比率 Debt-to-equity ratio权益负债率,=,=,=,=,Outstanding debt 总负债,Annual FCF （每年现金流）,Outstanding debt 总负债,Outstanding equity 所有者权益,Outstanding debt 总负债,or NPVP2 = - CF0 + + + ,Decreasing Debt/Equity Ratio递减的权益负债率 For calculating NPV for a project within a company or for a companys valuation, generally WACC (weighted average cost of capital) is used. 当计算一个公司的某个项目的净现值或者计算一个公司的价值时，通常是用加权平均资金成本 In case of project finance the outstanding debt constantly declines and debt/equity ratio keeps changing throughout the project life. 在进行项目融资时，负债总是不断降低的，在整个项目期间，负债权益率也始终保持变化。,NPVP1 = - CF0 + + + +,1 + (Rf + a x Rp),NOPAT2 + tKDD2,NOPAT1 + tKDD1,1 + (Rf + a x Rp),(1 + WACCn),CFn,(1 + WACC2),CF2,(1 + WACC1),CF1,Issues on Cost of Capital 资金成本I,1,2,n,in which weight of debt is constantly adjusted如果负债比重不断降低： WACC = (weight debt x cost debt)(1 T) + (weight capital x cost equity) 加权平均资金成本=(负债比率*债务成本)(1-税率)+(权益比率*权益成本),1,2,NOPAT: Net Operating Profit After Tax税后净收益, t: tax rate税率, KD: debt cost债务成本, D: debt outstanding负债, Rf: risk free rate无风险利率, a: asset beta, Rp: risk premium,Tax shield Adjustment 税盾调整,(1 + WACC),CFn,(1 + WACC),CF2,(1 + WACC),CF1,NPVC = - CF0 + + + +,1,2,n,Based on: Capital Cash Flows: A Simple Approach to Valuing Risky Cash Flows, Richard S. Ruback, 2000,Issues on Cost of Capital资金成本 II,Reliability of CAPM in Project Finance Situation资本资产计价模型在项目融资中的可靠性 Both NPVP1 and NPVP2 in the previous slide involve the concept of CAPM (capital asset pricing model) to get debt, equity and asset beta, which would not work appropriately in case of project finance for several reasons:在上例中应用了资本资产订价模型的净现值计算可能不能在项目融资中准确应用，原因如下 A country where project is located may not have integrated/efficient market 项目所在的国家可能不是一个综合/有效率的市场 Data would be not available for market risk premium 由于市场风险溢价而无法得到数据 An ideal instrument represents the risk free rate would not be available 无风险利率可能无法得到 CAPM may not able to incorporate all risks associated with the project 资本资产定价模型可能无法将所有风险都和模型关联起来 CAPM does not consider asymmetric down side risks模型没有考虑不对称的下跌风险 Required return on debt may different between construction and operating periods 负债的要求回报期间可能与建设和运营期间不一致 What if there is single purchaser located in other country?如果仅有的采购方在另一个国家 What to do?怎么办,Based on: Project Finance, Aditya Agarwal and Sandeep Kaul,3.2 Cash Flow Analysis现金流分析 II (Individual Cash Flows 单个现金流),Analysis of Individual Cash Flows 单个现金流分析,Free Cash Flow 自由现金流 (FCF),Year年,