项目融资及信贷风险管理

Click to edit Master title style,Click to edit Master text styles,Second level,Third level,Fourth level,Fifth level,*,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 =,- CF,2,2,PV =,CF,10,10,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),CF,10,(1 + r ),(1 + r ),-,CF,2,=,-,CF,0,+ + +,+ +,+,-,CF,1,(1 + r ),(1 + r),(1 + r),CF,42,(1 + r ),Net Present Value,净现值,(NPV) II,1,2,10,=,42,t = 0,CF,t,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,PV,2,=,-,CF,2,2,PV,10,=,CF,10,10,PV,0,=,-,CF,0,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 = PV,0,+ PV,1,+ PV,2,+ PV,3,+,+ PV,42,42,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,CF,t,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,CIF,t,(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,COF,t,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,CF,t,(1 + r ),t,t = 0,CF,t,(1 + r ),t,3,PI = =,Initial investment,PV of future cash flows,N,t = 1,CF,t,CF,0,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,NPV,P2,=,-,CF,0,+ + +,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。,NPV,P1,=,-,CF,0,+ + +,+,1 + (R,f,+,a,x R,p,),NOPAT,2,+ tK,D,D,2,NOPAT,1,+ tK,D,D,1,1 + (R,f,+,a,x R,p,),(1 +,WACC,n,),CF,n,(1 +,WACC,2,),CF,2,(1 +,WACC,1,),CF,1,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,),CF,n,(1 +,WACC,),CF,2,(1 +,WACC,),CF,1,NPV,C,=,-,CF,0,+ + +,+,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,Sales,Revenue,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),Construciton,Costs,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 FCF,for project finance,项目融资中的自由现金流,Construction,施工,I,Construction contracts,建造合同,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,),Turn-key contract,整套承包合同,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,EPC contract,合同能源管理,(engineering, procurement, and construction contract,设计，采购，施工合同,),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,),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, 2001,Construction,施工,II,Major risks,主要风险,I,Increase in construction cost,增加施工成本,(cost over-run,成本超支,),Unavailability of sufficient funds to complete construction,没有足够资金完成施工,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,Risk mitigation,风险缓解,Turn-key contract,整套承包合同,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,Escrow funds, contingency account,代管基金，意外准备金账户,Delay in completion,延期完工,Increase in construction costs and in debt service costs,增加施工成本和负债成本,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,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,Risk mitigation,风险缓解,Turn-key contract,整套承包合同,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, 2001,Construction,施工,III,Major risks,主要风险,II,Project performance at less guaranteed levels,项目绩效难以保证,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,Increase in maintenance costs and input/utility costs,增加了维护成本和购买,/,能源成本,Inability to the project company to repay debt,项目公司无法偿付债务,Risk mitigation,风险缓解,Performance liquidated damage to cover the loss,用绩效违约金来补偿损失,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）,Bid bond/warranty bond/retention bond,投标保函,/,质量担保,/,留置金保函,Other risks,其它风险,Site acquisition and construction related facilities,项目调度和施工设备,Equipment, building material, and utility supply,设备，建造材料，电力供应,Labor/environmental issues,人工,/,环境问题,Force,majeure,risks,不可抗力风险,Risk mitigation,风险缓解,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, 2001,Off-take Purchase,生产包销采购,I,Off-take agreements,生产包销合同,Take-or-pay contract,照付不议合同,(a form of unconditional guarantee,一种无条件担保,),the purchaser is required to pay for a certain amount (fixed cost), even the product is not delivered. The rest of the amount (variable cost) will be paid if the purchaser wants to buy.,即便货物还没有发出，采购方也被要求支付一定金额（固定成本）。如果采购方需要购买，则需要支付剩下的金额（变动成本）,Take-and-pay,提货与付款合同,(a form of conditional guarantee,有条件担保,),the purchaser required to pay for a certain amount (fixed cost) for the product delivered, when the product meets the contract quality requirements.,当货物达到了合同规定的质量要求，采购方需要支付一定金额（固定成本）,Long-term sales agreements,长期销售合同,(obligation to purchase),typically one- to five-year agreement for the purchase and sale of specified quantities of the projects output. The purchaser has the obligation to purchase the contract quantity only if it is produced and delivered, and meet the contract quality requirements.,Off-take purchasers financial strength,生产包销采购方的财务优势,Market for product or service (in the long run),产品或服务的市场（长期）,Based on: The Law and Business of International Project Finance, Scott L. Hoffman, 2001,Off-take Purchase,生产包销采购,II,Merchant project,商业项目,(Merchant facility),Merchant facility is a project finance without off-take contracts,商业项目是在没有生产包销合同情况下的项目融资,Cash flow fully relies on the market for project output and forecasts of future m