项目收益债券发行定价研究

发布时间：2018-05-25 16:09

本文选题：项目收益债券 + 市政收益债券　；参考：《北京交通大学》2017年硕士论文

【摘要】：项目收益债券与特定工程项目紧密相关,募集资金用于项目建设和运营,债券本息的偿还以项目未来收益为主。一方面,项目收益债券关注债项评级而非主体评级,对发行人的要求更低从而适用范围更广;另一方面,地方政府不承担项目收益债券的直接偿还责任,符合“43号文”对地方政府规范融资的要求。项目收益债券在确定发行价格时考虑了哪些因素,其定价过程是怎样的,正是本文所要研究与解决的问题。研究项目收益债券发行现状发现,项目收益债券的发行主体盈利性要求不高,期限无法完全匹配项目融资需求,债券信用评级集中在AA、AA+和AAA三种,债券发行以私募为主,募投项目近一半是棚户区改造项目,为提高评级较为普遍地采用外部增信措施。项目收益债券均采用簿记建档方式进行定价,但该种定价机制的市场化程度弱于公开招标,可能会受到发行人和承销商的主观意见影响。将中央企业债、地方企业债和项目收益债横向对比发现,三者发行利率大致依次上升,具体的影响因素需要进一步探究。项目收益债券的定价依据风险溢价理论,先确定基准利率,再从外部市场环境和债券自身因素两个方面考虑债券发行利率的影响因素。在通过因素分析得出各个因素的影响路径后,收集了 2014年11月至2017年5月间发行的57支项目收益债券数据,运用逐步多元回归法进行实证分析。研究发现,我国项目收益债券的发行利率主要受国债收益率、发行方式和信用评级影响。国债收益率反映债券市场融资的平均成本,对发行利率有正向影响;公募债券较私募债券因信息不对称造成的风险更低,因而发行利率更低;信用评级越高表明项目质量越好,发行利率越低。
[Abstract]:Project income bond is closely related to a specific project, raising funds for project construction and operation, and the repayment of principal and interest of the bond is based on the future income of the project. On the one hand, project income bonds focus on debt ratings rather than principal ratings, and the requirements for issuers are lower and therefore apply more broadly; on the other hand, local governments do not assume direct liability for repayment of project income bonds. In line with the "43" on the local government standard financing requirements. What factors have been taken into account in determining the issue price and what is the pricing process of the project income bond is exactly the problem to be studied and solved in this paper. After studying the present situation of project income bond issuance, it is found that the main body of project income bond issuance is not high profitability, the term can not exactly match the project financing demand, the bond credit rating is concentrated in three kinds: AAAAA and AAA, and the bond issuance is mainly private equity. Nearly half of the fundraising projects are shantytown projects, and external credit enhancement measures are widely used to improve ratings. Project income bonds are priced by bookkeeping and filing, but the marketization of this pricing mechanism is weaker than that of public bidding, which may be influenced by the subjective opinions of issuers and underwriters. By comparing the central enterprise debt, local enterprise debt and project income debt, it is found that the interest rates of the three issues rise in turn, and the specific influencing factors need to be further explored. According to the theory of risk premium, the pricing of project income bond is based on the benchmark interest rate, and then the influence factors of bond issuance interest rate are considered from two aspects: external market environment and bond itself. After getting the influence path of each factor through factor analysis, the data of 57 project income bonds issued from November 2014 to May 2017 are collected, and the empirical analysis is carried out by means of stepwise multiple regression method. It is found that the interest rate of China's project income bonds is mainly influenced by the bond yield, issuing method and credit rating. The yield of government bonds reflects the average cost of financing in the bond market and has a positive impact on the issuing interest rate; the public offering bonds have a lower risk caused by asymmetric information than private equity bonds, and therefore lower interest rates; the higher the credit rating, the better the quality of the project. The lower the issue interest rate.
【学位授予单位】：北京交通大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51

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