项目融资及信贷风险管理

Project Finance and Credit Risk Management项目融资及信贷风险管理n Project Finance Overview项目融资简介n Credit Risks in Project Finance项目融资中的信贷风险n Credit Risk Management (Financial Risks)信贷风险管理 (财务风险 )1 Cash Flow Analysis现金流分析 I (NPV and IRR净现值和内部收益率 )2 Cash Flow Analysis现金流分析 II (Individual Cash Flows单个现金流 )3 Stress Testing/Simulation压力测试 /仿真模拟n Credit Risk Management (Political Risks)信贷风险管理 (政治风险 )Table of Contents目录1.Project Finance Overview项目融资概况Basels Definition of PF (in short)项目融资的 Basel定义n A simple cash-flow stream简单的现金流量n 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。n Non- or limited-recourse没有资源或资源有限n 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。n Risk allocation风险配置n 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 221,222Why PF Structure? Sponsors Motivation为什么使用项目融资结构？发起人的动机n Risk mitigation/Debt capacity风险缓解 /负债能力n 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。n The sponsor can preserve corporate debt capacity.发起人可以保障公司的借债能力n To create asset specific governance structure可以建立明确的资产管理结构n 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。n Deterrent against strategic behavior by the third parties可以威慑第三方的战略行动n 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n 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, 2003PF vs. Corporate Finance项目融资 vs. 公司金融n Project Finance项目融资n Limited or non-recourse资源有限或者没有资源n 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n 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n 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）n Applied to projects attaining a scale of economy适用于达到规模经济的项目n Corporate Finance公司金融n Full recourse充足资源n 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n Leverage depends on a companys target capital structure财务杠杆取决于公司的目标资本结构n 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）n 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/localGovernment中央 /地方政府ConcessionAuthority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 WarForce Majeure EventsPoliticalRisks 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 accuracyContractual RisksCommercialRisksCreepingExpropriationOutrightExpropriationNaturalDisaster Expropriation Confiscation NationalizationWar & Civil DisturbancesFinancialRisksMarketRisksCivilMovements Environment Human rights CSR Religion Nationalism Globalization Interest rate Exchange rate Inflation rate Labor cost Product market Input market Salvage costProject 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) IYear年Freecash flowCashout flow付出现金流Financial Agreement (Closing)融资合同SankCosts沉没成本t = 0t = 1t = 2t = 5 t = 10 t = 20 t = 30 t = 40Present 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 2PV = CF10 10Example例Sank cost does not affectcash flow analysis becauseit is an existing fact regardlessof 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）SalvageValue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) II1 2 10= 42t = 0 CFt tPresent 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 2PV10 = CF10 10PV0 = - CF0Present value of cash out flow at t=00年支出现金的现值 Negative value because theyare cash out flow负数，因为他们是现金流出Positive value because theyare cash in flow正数，因为他们是现金流入Net of all present value of cash out flow andall 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 + + PV4242As long as this value is positive, the project will producemore 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) IIIn Implication 含义n 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。n 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。n 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。n 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 n $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)n Method方法n 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。n Implication含义n 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。n 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。n 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。n Weak points of IRR内部收益率方法的缺点n 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n 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 = = 0Nt = 0CFt tBased on: Financial Management, Eugene F. Brigham and Michael C. Ehrhardt, 2008Future 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) IYear年Freecash flow自由现金流Cashout flow现金流出Financial Agreement (Closing)融资合同SankCosts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 ) t1 (1 + r ) N-tn Method方法n 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n Implication含义n 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n 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n 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 ) NCIFt (1 + r ) Modified Internal Rate of Return修正内部收益率 (MIRR) II(1 + MIRR) FV of cash in flowst = 0N COFt tt = 0N(1 + MIRR) N - tPV of cash out flows = NBased on: Financial Management, Eugene F. Brigham and Michael C. Ehrhardt, 2008 (1 + r) tProfitability Index 盈利能力指数 (PI)n Method方法n 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n Implicationn 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 flows42t = 4CFt (1 + r ) tt = 0CFt (1 + r ) t3PI = = Initial investment PV of future cash flowsNt = 1CFt CF0Generally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$500Comparing 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$300Project A Project BNPV: $78.82 IRR: 14.5%MIRR: 12.1% PI: 1.08NPV: $49.18 IRR: 11.8%MIRR: 11.3% PI: 1.05Cost of capital: 10%Cost of capital: 10%tt$200$100$300$400-$100$0NPVr %5% 10% 15%7.2% 11.8% 14.5%$49.18$78.82A 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 :(1) Project size differences exist项目规模存在差异(2) Timing differences exist时间存在差异(3) below crossover rate.Take NPV rather than IRR. The logic isThat NPV selects the project that addsmost 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 AProject BCrossover rateBased on: Financial Management, Eugene F. Brigham and Michael C. Ehrhardt, 2008NPV of FCF for the entire project lifeNPV of FCF during the life of the debtAnnual debt service (principal and interest payments)年偿债额（本金 +利息）Other Important Indicators其他重要指标n Debt service coverage ratio债务偿付比率n Loan life coverage ratio债务期内的债务偿付比率n Project life coverage ratio项目期内的债务偿付比率n 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 + + + n Decreasing Debt/Equity Ratio递减的权益负债率n 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n 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 I1 2 nin 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 2NOPAT: 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 shieldAdjustment税盾调整(1 + WACC) CFn (1 + WACC) CF2 (1 + WACC) CF1 NPVC = - CF0 + + + + 1 2 nBased on: Capital Cash Flows: A Simple Approach to Valuing Risky Cash Flows, Richard S. Ruback, 2000Issues on Cost of Capital资金成本 IIn 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n 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n 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n Data would be not available for market risk premium由于市场风险溢价而无法得到数据n An ideal instrument represents the risk free rate would not be available无风险利率可能无法得到n 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n CAPM does not consider asymmetric down side risks模型没有考虑不对称的下跌风险n 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n What if there is single purchaser located in other country?如果仅有的采购方在另一个国家n What to do?怎么办Based on: Project Finance, Aditya Agarwal and Sandeep Kaul3.2 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FreeCashFlow自由现金流(FCF)Year年SalesRevenue销售收入Year年Input cost投入成本Operating cost运营成本Taxes税Net investment净投资(in maintenance)ConstrucitonCosts建造成本FCF used for NPV (IRR) analysis自由现金流用于净现值（内部收益率）分析Anatomy of FCFfor project finance项目融资中的自由现金流Construction施工 In Construction contracts建造合同n Fixed price contract固定价格合同 (high premium/low risk, payment based on progress高溢价 /低风险，按进度付款 )n Turn-key contract整套承包合同n The contractor accepts full responsibility for delivering a fully operational facility on a date-certain, fixed price basis.承建商以固定的价格，负责所有的建设施工n EPC contract 合同能源管理 (engineering, procurement, and construction contract设计，采购，施工合同 )n Cost plus fee contract成本加固定费用合同 (low premium/high risk, frequent payments低溢价 /高风险，频繁付款 )n Cost plus fee contract with maximum price and incentive fee成本加固定费用最高价格加奖励费用合同Based on: The Law and Business of International Project Finance, Scott L. Hoffman, 2001Construction施工 IIn Major risks主要风险 In Increase in construction cost增加施工成本 (cost over-run成本超支 )n Unavailability of sufficient funds to complete construction没有足够资金完成施工n Inability to the project company to pay increased debt service during operation, even if funded by debt公司在运营期间，即使通过借新债也无法偿还不断增高的债务本息v Risk mitigation风险缓解n Turn-key contract整套承包合同n Contractual undertakingsinfusion of additional equity, standby equity participants, contingency tranche in construction loan, standby cost over-run funding agreements引入新的所有者权益，备用的权益投资者，建设贷款应急部分，备用成本超支基金协议n Escrow funds, contingency account代管基金，意外准备金账户n Delay in completion延期完工n Increase in construction costs and in debt service costs增加施工成本和负债成本n Delay in the scheduled flow of revenue to cover debt service and expenses延误了收入进度，而无法支付债务和费用n Breach of project contracts, such as fuel supply or off-take违反了项目合同，例如燃油供给或者生产包销协议v Risk mitigation风险缓解n Turn-key contract整套承包合同n Stated milestones tied to construction loan contract确立与在施工借款合同相符的里程碑Based on: The Law and Business of International Project Finance, Scott L. Hoffman, 2001Construction施工 IIIn Major risks主要风险 IIn Project performance at less guaranteed levels项目绩效难以保证n Breach of off-take contract/decrease in project revenue生产包销协议的违约 /项目收入的降低n Increase in maintenance costs and input/utility costs增加了维护成本和购买 /能源成本n Inability to the project company to repay debt项目公司无法偿付债务v Risk mitigation风险缓解n Performance liquidated damage to cover the loss用绩效违约金来补偿损失n Third party guarantees such as letter of credit or performance bond (payment bond), when financially weak contractors当施工方财务上困难时，可采取第三方保证例如信用证或履约保函（支付保函）n Bid bond/warranty bond/retention bond投标保函 /质量担保 /留置金保函n Other risks其它风险n Site acquisition and construction related facilities项目调度和施工设备n Equipment, building material, and utility supply设备，建造材料，电力供应n Labor/environmental issues 人工 /环境问题n Force majeure risks不可抗力风险v Risk mitigation风险缓解n All risk contractors riks insurance承包商的风险保险Based on: The Law and Business of International Project Finance, Scott L. Hoffman,