项目融资及信贷风险管理.pptx

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1、Project Finance and Credit Risk Management项目融资及项目融资及信贷风险管理信贷风险管理1.1.Project Finance OverviewProject Finance Overview项目融资简介项目融资简介2.2.Credit Risks in Project FinanceCredit Risks in Project Finance项目融资中的信贷风险项目融资中的信贷风险3.3.Credit Risk Management(Financial Risks)Credit Risk Management(Financial Risks)信贷风险

2、管信贷风险管理理(财务风险财务风险)1 1Cash Flow AnalysisCash Flow Analysis现金流分析现金流分析 I(NPV and IRR I(NPV and IRR净现值和内部净现值和内部收益率收益率)2 2Cash Flow AnalysisCash Flow Analysis现金流分析现金流分析 II(Individual Cash Flows II(Individual Cash Flows单个单个现金流现金流)3 3Stress Testing/SimulationStress Testing/Simulation压力测试压力测试/仿真模拟仿真模拟4.4.Cr

3、edit Risk Management(Political Risks)Credit Risk Management(Political Risks)信贷风险管信贷风险管理理(政治风险政治风险)Table of Contents目录1.Project Finance Overview项目融资概况项目融资概况Basels Definition of PF(in short)项目融资的Basel定义n nA simple cash-flow streamA simple cash-flow stream简单的现金流量简单的现金流量n nThe value of PF relies on The

4、value of PF relies on a simple cash-flow stream generated by a a simple cash-flow stream generated by a single project and the collateral value of the project assets:the source single project and the collateral value of the project assets:the source of the cash-flow may be a single buyer or consumer

5、sof the cash-flow may be a single buyer or consumers.项目融资的价值在于简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。者客户。n nNon-or limited-recourseNon-or limited-recourse没有资源或资源有限没有资源或资源有限n nAn independent SPE is created to hold the project assets and to An

6、independent SPE is created to hold the project assets and to integrate all legal contracts in an effective and efficient mannerintegrate all legal contracts in an effective and efficient manner for for funding,building and operating a single purpose project.SPE is owned funding,building and operatin

7、g a single purpose project.SPE is owned by one or a few sponsors and it is highly leveraged.by one or a few sponsors and it is highly leveraged.一个独立的项目公司建立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。单一目的的项目。项目公

8、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 nRisk allocationRisk allocation风险配置风险配置n nPF is used for PF is used for large,complex,and expensive industrial facilities such as large,complex,and expensive industrial facilities such as natural resources and infrastructure sectorsnatural resources and infrastructure

9、 sectors,which involve a series of,which involve a series of legal contracts in a vertical chain from input supplier to output legal contracts in a vertical chain from input supplier to output purchaser.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，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

10、方的垂直链上的一系列法律合同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 nRisk mitigation/Debt capacityRisk mitigation/Debt capacity风险缓解风险缓解/负债能力负债能力n nBy isolating the asset

11、 in a standalone project company,project finance By isolating the asset in a standalone project company,project finance reduces the possibility of risk contamination,the phenomenon whereby a reduces the possibility of risk contamination,the phenomenon whereby a failing asset drags an otherwise healt

12、hy sponsoring firm into distress.failing asset drags an otherwise healthy sponsoring firm into distress.发起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。可能会导致整个公司都进入困境。n nThe sponsor can preserve corporate debt capacity.The sponsor can preserve cor

13、porate debt capacity.发起人可以保障公司的借债发起人可以保障公司的借债能力能力n nTo create asset specific governance structureTo create asset specific governance structure可以建立明确的资产管理结构可以建立明确的资产管理结构n nSeparate legal incorporation,which assumes a specific project and few Separate legal incorporation,which assumes a specific proje

14、ct and few growth options,reduces both the cost of monitoring managerial actions growth options,reduces both the cost of monitoring managerial actions and assessing performance,and wasteful expenditures and sub-optimal and assessing performance,and wasteful expenditures and sub-optimal reinvestment.

15、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。了浪费的费用，和次优再投资。n nDeterrent against strategic behavior by the third partiesDeterrent against strategic behavior by the third parties可以威慑第三方的战可以威慑第三方的战略行动略行动n nSponsor can involve the critical parties for th

16、e project,including the public Sponsor can involve the critical parties for the project,including the public sector,as shareholders to prevent future conflict.sector,as shareholders to prevent future conflict.发起人可以把重要的合作方，例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

17、突n nBy involving international banks and multilateral agencies whose interest By involving international banks and multilateral agencies whose interest is solely in cash-flow maximization by the project,the sponsor may is solely in cash-flow maximization by the project,the sponsor may prevent harmfu

18、l action by the host government.prevent harmful action by the host government.发起人可以把国际银行，国际代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害行为Based on:The Economic Motivations for Using Project Finance,Benjamin C.Esty,2003PF vs.Corporate Finance项目融

19、资 vs.公司金融n nProject FinanceProject Finance项目融资项目融资n nLimited or non-recourseLimited or non-recourse资源有资源有限或者没有资源限或者没有资源n nSimple cash-flow structure Simple cash-flow structure produced from one independent produced from one independent waste assetwaste asset由单一资产产生的由单一资产产生的单一现金流结构单一现金流结构n nHigh-leve

20、rage at beginning,but High-leverage at beginning,but getting lower toward the end of getting lower toward the end of the debt repaymentthe debt repayment初期较高的初期较高的财务杠杆，财务杠杆，但在债务偿付之后但在债务偿付之后逐降低逐降低n nRelatively a few layers of debt Relatively a few layers of debt and equity structure(simple and equity

21、 structure(simple ownership)ownership)相对较少的债务和权相对较少的债务和权益结构（单一所有权）益结构（单一所有权）n nApplied to projects attaining a Applied to projects attaining a scale of economyscale of economy适用于达到规适用于达到规模经济的项目模经济的项目n nCorporate FinanceCorporate Finance公司金融公司金融n nFull recourseFull recourse充足资源充足资源n nComplicated cash

22、-flow Complicated cash-flow structure produced from a set structure produced from a set of various,replaceable profit of various,replaceable profit making projectsmaking projects由一系列可替由一系列可替代的盈利项目产生的复杂的现代的盈利项目产生的复杂的现金流结构金流结构n nLeverage depends on a Leverage depends on a companys target capital compa

23、nys target capital structurestructure财务杠杆取决于公司的财务杠杆取决于公司的目标资本结构目标资本结构n nVarious layers of debt and Various layers of debt and equity structure(complicated equity structure(complicated ownership)ownership)较多层次的债券和权较多层次的债券和权益结构（复杂的所有权）益结构（复杂的所有权）n nApplied to all profit making Applied to all profit ma

24、king business typesbusiness types适用于所有盈利适用于所有盈利企业类型企业类型Typical Structure of Conventional PF典型的传统项目融资结构Off-take purchaser包销商包销商Input supplier投入供应商投入供应商Operator运营商运营商Project company项目公司项目公司(SPE)Contractors承包商承包商Lenders借款人借款人Sponsors发起人发起人Central/localGovernment中央中央/地方政府地方政府ConcessionAuthority特许权许可特许权许

25、可Insurers保险公司保险公司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电电力力/动力动力Multilateral/bilateral agencies多方多方/双

26、方代理双方代理Equipment suppliers设备供应商设备供应商2.Credit Risks in Project Finance项目融资中的信贷风险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 -

27、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 RisksCommercialRisksCreepingExpropriationOutrightE

28、xpropriationNaturalDisaster 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 Fi

29、nance Credit Risks Overview 火灾 水灾 地震 火山 疾病 罢工 暴动 恐怖活动 战争不可抗力不可抗力政治风险政治风险 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合同风险商业风险商业风险间接征用间接征用征用征用自然灾害自然灾害 征用 没收 国有化战争及战争及民间干扰民间干扰金融风险金融风险市场风市场风险险 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

30、风险-概况民间运动民间运动 环境 人权 企业社会责任 宗教 民族主义 全球化3.Credit Risk Management信贷风险管理信贷风险管理(Financial Risks金融风险金融风险)3.1 Cash Flow Analysis I现金流分析现金流分析I(NPV and IRR)（净现值法及内部收益率）（净现值法及内部收益率）(1+r)(1+r)Net Present Value净现值(NPV)I Year年Freecash flowCashout flow付出现金流付出现金流Financial Agreement(Closing)融资合同SankCosts沉没成本t=0t=1t

31、=2t=5t=10t=20t=30t=40Present Value现值Present value of cash out flow at t=2第第2年付出现金的现值年付出现金的现值Present value of cash in flow at t=10第第10年收到现金的现值年收到现金的现值PV=-CF2 2PV=CF10 10Example例例Sank cost does not affectcash flow analysis becauseit is an existing fact regardlessof the investment decision(it is not in

32、cremental 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)II 1210=42t=0CFt tPresent value of cash out flow at t=2第第2年现金支出的现值年现金支出的现值Present value of cash in flow at t=10第第10年现金流入的现值年现金流入的现值PV2=-CF2 2PV1

33、0=CF10 10PV0=-CF0Present value of cash out flow at t=00年支出现金的现值年支出现金的现值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

34、有现金流出的现值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 nImplication Implication 含义含义n nPositive NPVPositive NPV净现值为正数净现值为

35、正数:the project will generate more cash than the:the project will generate more cash than the necessary amount to repay debt to banks and deliver dividend to necessary amount to repay debt to banks and deliver dividend to shareholders,the excess cash solely to the projects shareholders.shareholders,t

36、he 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。现金仅仅属于该项目的股东。n nZero NPVZero NPV净现值为零净现值为零:the project will generate exactly the necessarily:the project will generate exactly the necessarily amount of cash to rep

37、ay debt to the banks and deliver dividend to amount of cash to repay debt to the banks and deliver dividend to shareholders.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。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 nNegative NPVNegative NPV净现值为负数净现值为负数:the project cannot generate cash to repay:the project cannot gene

38、rate cash to repay debt to banks and deliver dividend to shareholders.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。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 nWeak point of NPV is that it produces only absolute values.Weak point of NPV is that it produces only absolute values.净现值方

39、法的净现值方法的缺点在于，它只能得出绝对数缺点在于，它只能得出绝对数 n n$1 million investment and$1 thousand investment could,theoretically,$1 million investment and$1 thousand investment could,theoretically,produce the same NPV values.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。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:Finan

40、cial Management,Eugene F.Brigham and Michael C.Ehrhardt,2008(1+r)Internal Rate of Return内部收益率(IRR)n nMethodMethod方法方法n nIRR is defined as the discount rate that assumes NPV is equal to zero.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。内部收益率是能使项目的净现值等于零

41、时的折现率。n nImplicationImplication含义含义n nIRR is useful when investors assess the project against their IRR is useful when investors assess the project against their hurdle hurdle raterate,which is a cost of capital.,which is a cost of capital.IRRIRR适用于当投资者衡量项目是否能达到他们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。的最低预期回报率。

42、n nIRR Hurdle RateIRR Hurdle Rate:the project will produce more cash than the necessary:the project will produce more cash than the necessary amount to repay debt and deliver dividend to shareholders.amount to repay debt and deliver dividend to shareholders.项目可以产生足项目可以产生足够的现金来偿还债务并向股东支付股利。够的现金来偿还债务并

43、向股东支付股利。n nIRR=Hurdle RateIRR=Hurdle Rate:the project will produce the exact amount of cash to:the project will produce the exact amount of cash to compromise investors cost of promise investors cost of capital.项目正好可以产生足够的现金来偿还债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。务并向股东支付股利。n nWeak points of IRRWeak points of

44、 IRR内部收益率方法的缺点内部收益率方法的缺点n nIt applies the projects IRR to the reinvestment of cash in flowsIt applies the projects IRR to the reinvestment of cash in flows它把项目的内它把项目的内部收益率应用到了现金流入的在投资上部收益率应用到了现金流入的在投资上n nWhen there are more than one change from cash out-flow to cash-in flow,or When there are more th

45、an 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 from cash-in flow to cash out-flow in the projection,the value of IRR are more than one:calculator would simply indicate“error”more than one:calculator would simply indicate“

46、error”如果现金支出和现金如果现金支出和现金收入上有不止一个变化，收入上有不止一个变化，IRRIRR也会不知有一个：计算结果将会显示：错误也会不知有一个：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

47、 修正内部收益率(MIRR)I Year年Freecash flow自由现金流自由现金流Cashout flow现金流出现金流出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 nMethodMethod方法方法n nMIRR is defined as the discount rate that forces the present value of MIRR

48、 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).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 nImplicationImplication含义含义n nMI

49、RR is better than IRR because it reinvest the cash-in flow by using 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 the cost of capital which is more realistic.Thus,MIRR tells more accurate profitability of the pr

50、oject.accurate profitability of the project.修正内部收益率方法优于内部收益率方法，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 nMIRR Hurdle RateMIRR Hurdle Rate:the project will produce more cash than the necessary:the project will produce more cash than the necessary amount to repay debt and