基于绿色或有可转债中国PPP项目资本短缺风险管理研究

The Capital Shortages Risk Management and Research in China’s PPP Projects with the Green Contingent Convertible Bonds

PPP项目大多集中在基础设施和公共服务领域,具有一定的公共性和公益性。因此当项目因资本短缺无法正常运营时,(地方)政府不得不财政拨款以救助项目。这就是PPP项目的“大而不倒”特性,即项目因“太大、太重要”或“破产后危害特别大”而不能破产。然而政府的救助必然扭曲项目定价,加剧市场不公平竞争,引发道德风险等负面问题。政府救助项目等价于政府持有一份看跌期权空头,却不能直接使用项目股权、收益权或项目分红权对冲该期权裸露头寸。为对冲PPP项目“大而不倒”负面效应,基于PPP项目资产证券化视角,建议项目运营公司发行绿色或有可转债(GCoCos)融资。研究可知,GCoCos可以对冲PPP项目资本短缺风险;对冲政府在救助项目时的裸露头寸,进而抑制项目“大而不倒”负面效应。

Public-Private Partnership(PPP)projects are mostly concentrated in the field of infrastructure and public services,which have a degree of publicity and public welfare.Therefore,one of the most important participants,the local governments,has to bail out the PPP project when it falls into financial distress.This is the“Too Big to Fail”nature of PPP projects,namely,most of PPP projects are“too big,too important”or“particularly dangerous after bankruptcy”,and the local government is reluctant to accept that the troubled projects bankrupt suddenly and have to bail them out.However,these explicit and implicit government bailouts will inevitably lead to mispricing of the PPP projects and disrupting the fair competition in the market.What’s worse,these government bailouts may increase the local government’s financial burdens and lead to the moral hazard of PPP projects.In other perspectives,these government bailoutsfor the troubled PPP projectsare equivalent to the government holding a short put option,while the local governments cannot hedge these naked put positions by the projects equity,incomes dividends rights and other assets of PPP projects.In order to suppress the“Too Big To Fail”problem of PPP projects,the PPP projects operating companies can mortgage the projects’dividend rights for debt financing with asset securitization.This financing model that separates projects with high credit ratings from the project operation companies can reduce itsfinancing costs,increase the liquidity of assets and add the financing channels.It is also possible to provide private sectors with capital withdrawal mechanisms.The green contingent convertible bonds(GCoCos)are kind of the asset securitizations,and are also kind of contingent convertible bonds which are employed to absorb the losses of the issuers in poor financial performance.Namely,GCoCos are automatically converted into the PPP projects’dividend rights when the issuer falls into capital shortages.In this research,the automatic conversion mechanism of GCoCos can hedge the risk of capital shortages in PPP projects and also reduce the amount of governments’bailouts for the troubled PPP projects.In addition,the issuance of GCoCos is equivalent to permittingthe governments holding a long position of the newoptions combination which can hedge a part of the naked short positions.