Project Finance and Credit Risk Management 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

Table of Contents目录 • 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)

Project Finance Overview项目融资概况

Basel’s 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

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 company’s 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 PF vs. Corporate Finance项目融资 vs. 公司金融

Typical Structure of Conventional PF典型的传统项目融资结构 Shareholders Agreement 股东协议 Sponsors 发起人 Central/local Government 中央/地方政府 License/permit专利权/许可权 Equity所有者权益 Multilateral/bilateral agencies 多方/双方代理 Lenders 借款人 Concession Authority 特许权许可 Loan Agreement借款合同 Concession Agreement特许权合同 Debt借款 Insurers 保险公司 Insurance保险 Equipment suppliers 设备供应商 Contractors 承包商 Construction Agreement 建造合同 Input supplier 投入供应商 Supply agreement 供应合同 Off-take agreement 包销协议 Off-take purchaser 包销商 Project company 项目公司 (SPE) Power/utility电力/动力 Operation/maintenance Agreement 运营/维护合同 Operator 运营商

2. Credit Risks in Project Finance项目融资中的信贷风险

Project Finance Credit Risks Overview Force Majeure Events Political Risks Contractual Risks Financial Risks Natural Disaster War & Civil Disturbances Civil Movements Creeping Expropriation Commercial Risks Market Risks • Fire • Flooding • Earthquake • Volcano • Disease • Strike • Insurrection • Terrorism • War • Environment • Human rights • CSR • Religion • Nationalism • Globalization • 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 • Interest rate • Exchange rate • Inflation rate • Labor cost • Product market • Input market • Salvage cost Outright Expropriation • Expropriation • Confiscation • Nationalization

项目融资的信贷风险-概况 不可抗力政治风险合同风险金融风险自然灾害战争及民间干扰民间运动间接征用商业风险市场风险 • 火灾 • 水灾 • 地震 • 火山 • 疾病 • 罢工 • 暴动 • 恐怖活动 • 战争 • 环境 • 人权 • 企业社会责任 • 宗教 • 民族主义 • 全球化 • 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 • 利率 • 汇率 • 通货膨胀率 • 人工成本 • 产品市场 • 产出市场 • 回收成本征用 • 征用 • 没收 • 国有化

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）

Net Present Value净现值 (NPV) I Financial Agreement (Closing)融资合同 t = 20 t = 30 t = 40 Free cash flow t = 5 t = 10 Year年 Salvage Value残值 Sank Costs 沉没成本 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） Cash out flow 付出现金流 t = 0 Example例 t = 1 - CF2 Present value of cash out flow at t=2 第2年付出现金的现值 PV = t = 2 (1 + r ) 2 CF10 Present value of cash in flow at t=10 第10年收到现金的现值 PV = (1 + r ) 10 Present Value现值

Net Present Value净现值 (NPV) II Present value of cash out flow at t=0 0年支出现金的现值 PV0 = - CF0 Negative value because they are cash out flow 负数，因为他们是现金流出  - CF2 Present value of cash out flow at t=2 第2年现金支出的现值 PV2 = (1 + r) 2    CF10 Present value of cash in flow at t=10 第10年现金流入的现值 PV10 = Positive value because they are cash in flow 正数，因为他们是现金流入 (1 + r) 10   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 = PV0 + PV1 + PV2 + PV3 + + PV42 - CF1 - CF2 CF10 CF42 = - CF0 + + +  + + + (1 + r ) 10 (1 + r ) (1 + r ) 1 (1 + r ) 2 42 42 CFt = Σ 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 (1 + r) t t = 0

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 project’s 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

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 project’s 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 N CFt IRR = Σ= 0 (1 + r) t t = 0 Based on: Financial Management, Eugene F. Brigham and Michael C. Ehrhardt, 2008

Modified Internal Rate of Return 修正内部收益率(MIRR) I Financial Agreement (Closing)融资合同 Cost of capital资金成本 → Free cash flow 自由现金流 Year年 Sank Costs 沉没成本 N-t (1 + r ) 1 Cash out flow 现金流出 (1 + r ) t ← Cost of capital 资金成本 Present Value现值 Future Value终值 Future value of all cash in flows 所有现金流入的终值 42 (1 + MIRR) = 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) II • 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 N Σ N - t CIFt (1 + r ) N COFt Σ= t = 0 (1 + r ) t (1 + MIRR) N t = 0 FV of cash in flows PV of cash out flows= (1 + MIRR) N Based on: Financial Management, Eugene F. Brigham and Michael C. Ehrhardt, 2008

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PI>1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。 N Σ CFt Generally一般公式: PV of future cash flows (1 + r) t t = 1 PI = = Initial investment CF0 42 Σ CFt For the example cash flow projection例如现金流预算: (1 + r ) t PV of future cash flows t = 4 PI = = Initial investment 3 Σ CFt (1 + r ) t t = 0 Based on: Financial Management, Eugene F. Brigham and Michael C. Ehrhardt, 2008

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 Project A Project B $500 $400 $300 $100 $100 $300 $400 $600 t t -$1000 -$1000 Cost of capital: 10% Cost of capital: 10% NPV: $78.82 IRR: 14.5% MIRR: 12.1% PI: 1.08 NPV: $49.18 IRR: 11.8% MIRR: 11.3% PI: 1.05 • 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. NPV $400 Project B $300 Crossover rate $200 Project A Take NPV rather than IRR. The logic is That NPV selects the project that adds most to shareholder’s 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 $100 $78.82 $49.18 $0 r % 5% 10% 15% -$100 7.2% 11.8% 14.5% Based on: Financial Management, Eugene F. Brigham and Michael C. Ehrhardt, 2008

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 Annual FCF （每年现金流） = Annual debt service (principal and interest payments)年偿债额（本金+利息） NPV of FCF during the life of the debt = Outstanding debt 总负债 NPV of FCF for the entire project life = Outstanding debt 总负债 Outstanding debt 总负债 = Outstanding equity 所有者权益

Issues on Cost of Capital 资金成本I • Decreasing Debt/Equity Ratio递减的权益负债率 • For calculating NPV for a project within a company or for a company’s 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。 CF1 CF2 CFn NPVC = - CF0 + + +  + (1 + WACC) 1 (1 + WACC) 2 (1 + WACC) n CF1 CF2 CFn NPVP1 = - CF0 + + +  + (1 + WACC1) 1 (1 + WACC2) 2 (1 + WACCn) 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) NOPAT1 + tKDD1 NOPAT2 + tKDD2 or NPVP2 = - CF0 + + +  [1 + (Rf + βa x Rp)] 1 2 [1 + (Rf + βa x Rp)] [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, βa: asset beta, Rp: risk premium] Tax shield Adjustment 税盾调整 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 FCF used for NPV (IRR) analysis 自由现金流用于净现值（内部收益率）分析 Sales Revenue销售收入 Anatomy of FCF for project finance项目融资中的自由现金流 Year年 Input cost投入成本 Operating cost运营成本 Construciton Costs建造成本 Taxes税 Net investment净投资 (in maintenance)

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 undertakings—infusion 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 contractor’s 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 project’s 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 purchaser’s 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 market conditions (revealed to market risks).现金流完全依赖于市场预期结果和对未来市场情况的预测 • The analysis of market risk is similar to that used in any business model 市场风险的分析与其它商业模型相似(price, supply and demand价格，供应和需求). • Risk mitigation风险缓解 • Linking inputs and outputs投入与产出相结合 • Reserve funds储备基金 • Cash calls筹集现金 • Subordination of project costs to debt services项目成本归结到负债本息 • Hedging strategies最优套期保值策略 • The commodity supplier as project partner将日常供应商变成项目合伙人 Based on: The Law and Business of International Project Finance, Scott L. Hoffman, 2001

Input投入 • Major risks主要风险 • Increase in input costs投入成本增加 • Risk mitigation风险缓解 • Supply-or-pay contract供货或付款合同 • Fixed amount contract固定金额合同 • Requirements contract (cap/floor)有限制条款的合同（最高/最低） • Output contract产出合同 • Subordination of project costs to debt services把项目成本附加在债务本息上 • Other issues其它问题 • Delay in completion of transportation facilities运输项目的延期完工 • Availability of supply获得供应量 • Disruption of transportation运输的破坏 • Title and risk of loss所有权和损失的风险 • Force majeure不可抗力 • Financial strength of supplier供应商的财务优势 Based on: The Law and Business of International Project Finance, Scott L. Hoffman, 2001

Operation运营 • Major risks主要风险 • Increase in operating costs运营成本的增加 • Excessive equipment replacement and unscheduled maintenance额外的设备更换和不安时的维护 • Poor productivity of labors, incorrect assumptions of required labor人工生产力的低下，错误计算预计所需人工数量 • Increase in utility costs能源成本的增加 • Risk mitigation风险缓解 • Performance guarantee绩效保证 (liquidated damage违约金) • Fixed price operation and maintenance contract固定价格运营和维护合同 (very rare非常少见) • Cost plus fee operation and maintenance contract成本加费用运营和维护合同 • 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 • Other risks其它风险 • Force majeure risks不可抗力风险 • Risk mitigation风险缓解 • All risk operator’s risk insurance所有风险因素的保险 • Financial strength of the operator运营方的财务优势 Based on: The Law and Business of International Project Finance, Scott L. Hoffman, 2001

Exchange/Interest/Inflation Rate汇率/利率/通货膨胀率 • Currency and exchange risks汇率 • Loan agreement借款合同 • Loan disbursements借款支出 (construction loan and term loan施工借款和期限借款) • Principal repayment and interest repayment本金和利息的支付 • Availability of swap markets互换市场是否存在 • All other agreement其它合同 • Export and import of equipment, input, out-put, operating costs出口和进口设备，投入，产出，运营成本 • Cash flow will be affected depends who takes the risks and covers现金流受到由谁来承担风险的影响 • Interest rate利率 • Incorrect interest rate projections can severely affect the ability of the project revenue to service debt by 如果在预测中使用了不正确的利率，项目收入是否有偿还债务的能力将会受到严重影响。 • Inflation rate通货膨胀率 • Risk allocation风险分配 • Cash flow projection现金流预测 Based on: The Law and Business of International Project Finance, Scott L. Hoffman, 2001

Collateral抵押 I • The “blanket” lien统括留置权 • The blanket lien covers all the assets of the project company, including real (unmovable) and personal (movable), tangible and intangible.统括留置权涵盖项目公司的所有资产，包括不动产，个人（可移动）资产，有形和无形资产。 • Project cash flow现金流预测 • A security interest in the cash flows generated by the project under long-term off-take agreements.有长期生产包销协议的项目产生的担保利益 • Accomplished through a cash collateral account in which off-take purchaser pays all payments into the account established by the lenders.生产包销采购方将所有款项都支付到由借款方设立的现金抵押账户中 • Offshore accounts/escrow accounts离岸账户/代管帐户 • Ownership interests所有者权益 • Pledge of ownership interests所有者权益抵押 • Voting trust表决权信托 • Negative pledges限制抵押 • An agreement under which the project company will not create, directly or indirectly, any security interest, lien or encumbrance in its assets for the benefit of any other entity.在这种协议下，项目公司的资产不会产生直接或者间接的担保利益，留置权，置押权被其他公司享受到。 Based on: The Law and Business of International Project Finance, Scott L. Hoffman, 2001

Collateral抵押 II • Personal (movable) property个人（可移动）资产 • Intangible assets有形资产 • Permits, licenses and concessions许可权，许可证，特许权 • Contracts合同 • Insurance proceeds保险收益 • Surety bonds保证担保 • Guarantees担保 • Liquidated damages违约金 • Political risk insurance政治风险保险 • Accounts账户 • Disbursement agreement分销协议 Based on: The Law and Business of International Project Finance, Scott L. Hoffman, 2001

Collateral抵押 III • Review the contracts to verify that they are each assignable under the country’s law. 审阅合同核实他们是符合当国法律 • In the event of a foreclosure, the contracts will only have value to the lender if they can be assumed by the lender and later assigned to a purchaser of the project.在丧失抵押品赎回权的情况下，如果合同只有对出借方有价值 • Other issues其他问题 • Types of liens allowed允许的留置权种类 • Local formalities当地程序 • Denomination of lien in local currency当地货币的留置权 • Priority of lien (perfection)留置权优先权 • Enforcement强制 • Foreclosure不可抗力 Based on: The Law and Business of International Project Finance, Scott L. Hoffman, 2001

Equity and Dividends所有者权益和股利 • Timing and certainty of equity contribution股权出资的时间和可能性 • A part of equity contributions to the project company may be planned after the financial closing. Some funds may be injected with construction draw-downs, or await investment until project completion.对项目公司的股权出资可能会在财务结算之后进行计划，一些资金可能在施工的暂停阶段或者等到项目结束时投入。 • Risk mitigation风险缓解 • Condition precedents in loan agreement借款合同中的前提条件 • Covenants in loan agreement借款合同中的财务约定事项 • Some conditions for dividend payments股利支付的几种情况 • Requirement to replenish before dividend payments在股利支付 • Reserve (contingent) account储备（应急）账户 • Off-shore account离岸账户 • Financial covenants: a financial covenant limiting the dividend payments to a certain level财务约定事项：财务约定事项会限制股利支付程度 Based on: The Law and Business of International Project Finance, Scott L. Hoffman, 2001

Permit/License/Concession许可证/执照/特许权 • Status情况 • Permits already obtained and in full force and effect已经取得了许可证并且全部有效 • Permits routinely and mandatorially granted on application and fulfillment of applicable criteria and that would not normally be obtained before construction (before loan agreement)在申请和满足申请条件后，许可证按照常规或者强制的给与，而在施工开始前一般不能得到（在签订借款合同前） • Other than above其他 • Risks风险 • Unable to operate/termination of project无法经营项目/项目结束 • Damage payments损坏赔偿 • Different policies between central and local governments中央和地方重负的不同政策 • Permit vocation, additional permit requirements许可资格，附加许可条件 • Risk mitigation风险缓解 • Integrated management of all necessary permits: apply, obtain, maintenance, renew processes所有需要的许可证的综合管理：应用，取得，维护，更新程序 Based on: The Law and Business of International Project Finance, Scott L. Hoffman, 2001

3.3. Stress Testing/Simulation压力测试/仿真模拟

Basics of Risk Analysis Techniques风险分析工具基础 I • Three stages of risk analysis techniques风险分析工具的三阶段 • Sensitivity Analysis敏感性分析: a linear relation between a cash flow factor and NPV现金流变量与净现值的线性关系 • Scenario Analysis情景分析: estimate probabilities of each individual cash flow on the basis of base-case, best-case, and worst-case scenario, which in turn provides mean and standard diviation of NPV 按照基本情况，最好情况，最差情况三种假定下，预计每个现金流的可能性，这样就可以得出净现值的平均和标准偏差 • Monte-Carlo Simulation蒙特卡罗模拟: obtain expected NPV and standard deviation from randomly selected scenarios based on the probability distribution of each cash flow factors根据每种现金流要素的可能性分布随机选择情景，得出预期净现值和标准偏差

Sensitivity Analysis敏感性分析 I • Method方法 • Sensitivity analysis is a risk analysis technique that tells how much NPV will change in response to given changes in one cash flow factor with other factors held constant. 敏感性分析是一种风险分析方法，如果一个现金流要素变化，而且他要素保持不变的情况下，净现值会如何变化。 NPV ($) NPV when unit sales price goes up by 15%单价上升15%时的净现值 Unit sales price 销售单价 NPV based on the originally estimated unit sales price 最初预计的单价产生的净现值 $ 0 NPV when unit sales price goes down by 20% 单价降低20%时的净现值 -20% -15% -10% -5% 0% 5% 10% 15% 20% Deviation from Base-Case Value (%) Based on: Financial Management, Eugene F. Brigham and Michael C. Ehrhardt, 2008

Sensitivity Analysis敏感性分析II • The slopes of the lines indicate how sensitive NPV is to changes in each individual cash flow.每根线的倾斜程度表示净现值对每个因素变化的敏感程度 • Relatively small error in estimating individual cash flow with steeper slope leads to a large error in estimating project’s NPV.如果对倾斜程度大的单个现金流的估计有相对较小的偏差，也会导致项目净现值的估计结果存在较大误差。 Unit sales price单价 NPV ($) Estimated values of cash flow factors现金流因素的估计量 Price growth rate 价格增长率 Sales quantity销量 Original NPV Value初始净现值 Asset beta $ 0 Utility price单价 Input price原材料价格 Operating costs运营成本 NPV breakeven Analysis净现值盈亏平衡点分析 Construction costs 建造成本 Input price growth 原材料价格上升 -20% -15% -10% -5% 0% 5% 10% 15% 20% Deviation from Base-Case Value (%) Based on: Financial Management, Eugene F. Brigham and Michael C. Ehrhardt, 2008

Sensitivity Analysis敏感性分析 III • Implication含义 • Sensitivity analysis is a powerful technique to understand which factors need to be more accurately examined to reduce the entire credit risk.敏感性分析是一个强大的分析方法，可以帮助我们了解哪个因素需要更精确的分析检查，以降低整个信贷风险 • Weak Points缺点 • Sensitivity analysis does not incorporate a concept of probability敏感性分析没有包括可能性的概念 • It can deal with only one cash flow for each analysis每个分析只能应用在一个现金流上 • NPV Breakeven Analysis净现值盈亏平衡点分析 • NPV breakeven analysis examines a value of each factor which makes NPV exactly zero. 净现值盈亏平衡点分析研究每个因素使净现值正好等于零时后的值。 Based on: Financial Management, Eugene F. Brigham and Michael C. Ehrhardt, 2008

Scenario Analysis情景分析 I • Method方法 • Scenario analysis examines a set of scenarios under the assumption that each scenario occurs with a certain probability 情景分析研究一系列情景，假设每种情景发生都有一定的可能性 • Example 1: sales price would drop by 6% with 25% probability for worst case scenario.例1：最差情景发生的概率为25%，销售单价降低6%。 • Example 2: operating cost would be reduced by 2% with 25% probability for best case scenario.例2：最好情景发生的概率为25%，运营成本降低了2%。 • Then obtain base-case, best-case, and worst-case NPV and calculate mean NPV and standard deviation to (roughly) estimate the magnitude of the risk inherent to the project. 然后得出基本情况，最好情况，最差情况下的净现值，再计算平均净现值和标准偏差，（粗略地）估计该项目的内部固有风险的大小。 • Implication含义 • Scenario analysis is very useful technique to grasp the worst case situation of the project (by assuming 1.0 correlation).情景分析是一个非常有用的方法来找到项目的最差情况（假设相关系数为1.0） Based on: Financial Management, Eugene F. Brigham and Michael C. Ehrhardt, 2008

Scenario Analysis情景分析 II • Simplified illustration of scenario analysis process 情景分析程序的图例 Expected NPV预计净现值 (mean value平均值) Excel Sheet Standard Deviation of NPV净现值平均偏差 Slot in all base-, best-, and worst-case scenarios of each cash放入每个现金流的三种情况 Base-, best-, and worst-case scenarios of each cash flow 每个现金流的基本，最好，和最差情况 • Projected NPVs on the basis of the three scenarios三种假设下的净现值 Probability可能性 (%) 50% FCF from base- case scenario基本情况的现金流 40% 30% FCF from worst- case scenario最差情况的现金流 20% FCF from best- case scenario最好情况的现金流 10% $0 NPV ($) Mean value平均值

Probability 可能性(%) 10% 8% 6% 4% 2% NPV ($) $0 Monte Carlo Simulation蒙特卡罗模拟 NPVs probability Distribution 净现值的可能性分布 • Simplified illustration of monte-carlo simulation process 蒙特卡罗模拟程序的图例 Expected NPV预计净现值 (mean value平均值) Standard Deviation of NPV净现值的标准方差 Randomly picking up scenarios 随机选择情景 Probability distribution of each cash flow and correlations between them每个现金流的可能性分布和他们的相关系数 • Simplified illustration of probability distribution of NPVs净现值的可能性分布的图例

4. Credit Risk Management(Political Risks)信贷风险管理（政治风险）

Mechanism of Political Risks for PF项目融资的政治风险机制 • Political shift政治变更 • Corruption腐败 • Violation of law违法 • High profit高收益 • Rival company竞争对手 Irreversible Investment 不可撤回投资 Weaker negotiating Power谈判能力减弱 Creeping expropriation 逐渐征用 A large standing out asset大量在外资产 Easily attract people’s attention容易吸引注意力 Political interest 政治利益 Civil movement 民间运动 Trigger 触发器 Potential foreign exploitation潜在的国外公司开采 War/civil disturbance 战争/民间干扰 Natural resources/ infrastructure自然资源/基础建设 Potentially high utility bills潜在的高昂成本 Civil interest 公众利益 Outright expropriation 完全征用 • Natural disaster自然灾害 • Environmental problem环境问题 • Increased input costs增加投入成本 • Inefficient operation低效率运营 • International relation国际关系 Potential environmental damage可能的环境破坏

Useful Documents有用的文章 • Project Finance: Introductory Manual on Project Finance for Managers of PPP Projects, National Treasury, South Africa项目融资：PPP项目管理的指导手册 • Although this document is prepared for public-private partnership (PPP) managers, it provides a good overview of project finance credit analysis, by addressing the general structure of a project, funding alternatives, investor profiles, and the criteria investors will consider. Also, it contains good illustrations for cash flow analyses. (46 pages) 虽然本文是为PPP管理准备，但是也很好的概述了项目信贷风险的，介绍了项目的一般结构，融资方法，投资者情况预计关键标准，并且其中还有现金流分析的图例。 • Available at: http://www.finint.ase.ro/Masterate/Masterat_Alexandra/Bibliografie/Project_Finance_Manual.pdf • Tools for Project Evaluation,项目评价工具 Nathaniel Osgood, 2004 • Detailed and clear explanation on time value of money, the concept of discounting, and NPV and IRR methods, with cases. (41 slides)详细清楚地介绍了资金的时间价值，折现率的概念，净现值和内部收益率方法及范例 • Available at: http://ocw.mit.edu/NR/rdonlyres/Civil-and-Environmental-Engineering/1-040Spring-2004/ABF26C4A-8572-498D-ACE3-98D2E8AD0685/0/l3prj_eval_fina2.pdf • Thought process during the project initiation pahse, 项目开始阶段的思考方式H. Griesel, 2004 • An excellent summary of project finance risks in the mining sector. 项目融资开始阶段的风险总结(6 pages) • Available at: http://www.platinum.org.za/Pt2004/Papers/237_Griesel.pdf • Glossary of Project Finance Terms项目融资术语表, Foster Wyatt Training, 2003 • Useful glossary for project finance. 有用的项目融资的术语表(12 pages) • Available at: http://www.fosterwyatt.com/filesdownload/HNDOUT39.pdf

Project Finance and Credit Risk Management 项目融资及信贷风险管理