【文章內(nèi)容簡(jiǎn)介】 icating 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 投資可以獲得多少盈利。當(dāng) PI1時(shí)，該項(xiàng)目應(yīng)該被批準(zhǔn)。當(dāng) PI=0時(shí)，意味著凈現(xiàn)值 =0并且修正內(nèi)部收益率 =最低預(yù)期回報(bào)率。 PI = = Initial investment PV of future cash flows 42 t = 4 CFt (1 + r ) t t = 0 CFt (1 + r ) t Σ 3 PI = = Initial investment PV of future cash flows N t = 1 CFt CF0 Generally一般公式 : For the example cash flow projection例如現(xiàn)金流預(yù)算 : Based on: Financial Management, Eugene F. Brigham and Michael C. Ehrhardt, 2022 $100 $500 Comparing two projects with NPV and IRR 使用凈現(xiàn)值和內(nèi)部收益率方法來(lái)比較兩個(gè)項(xiàng)目 $1000 $100 $300 $400 $1000 $600 $400 $300 Project A Project B NPV: $ IRR: % MIRR: % PI: NPV: $ IRR: % MIRR: % PI: Cost of capital: 10% Cost of capital: 10% t t $200 $100 $300 $400 $100 $0 NPV r % 5% 10% 15% % % % $ $ A conflict between NPV and IRR when 凈現(xiàn)值和內(nèi)部收益率方法在交叉率之下產(chǎn)生分歧的情況 : (1) Project size differences exist項(xiàng)目規(guī)模存在差異 (2) Timing differences exist時(shí)間存在差異 below crossover rate. Take NPV rather than IRR. The logic is That NPV selects the project that adds most to shareholder’s 使用凈現(xiàn)值方法，因?yàn)閮衄F(xiàn)值方法能夠挑選出使股東收益最大化的項(xiàng)目 Project A Project B Crossover rate Based on: Financial Management, Eugene F. Brigham and Michael C. Ehrhardt, 2022 NPV of FCF for the entire project life NPV of FCF during the life of the debt Annual debt service (principal and interest payments)年償債額（本金 +利息） Other Important Indicators其他重要指標(biāo) ? Debt service coverage ratio債務(wù)償付比率 ? Loan life coverage ratio債務(wù)期內(nèi)的債務(wù)償付比率 ? Project life coverage ratio項(xiàng)目期內(nèi)的債務(wù)償付比率 ? Debttoequity ratio權(quán)益負(fù)債率 = = = = Outstanding debt 總負(fù)債 Annual FCF （每年現(xiàn)金流） Outstanding debt 總負(fù)債 Outstanding equity 所有者權(quán)益 Outstanding debt 總負(fù)債 or NPVP2 = CF0 + + + ??? ? Decreasing Debt/Equity Ratio遞減的權(quán)益負(fù)債率 ? For calculating NPV for a project within a pany or for a pany’s valuation, generally WACC (weighted average cost of capital) is used. 當(dāng)計(jì)算一個(gè)公司的某個(gè)項(xiàng)目的凈現(xiàn)值或者計(jì)算一個(gè)公司的價(jià)值時(shí)，通常是用加權(quán)平均資金成本 ? In case of project finance the outstanding debt constantly declines and debt/equity ratio keeps changing throughout the project life. 在進(jìn)行項(xiàng)目融資時(shí)，負(fù)債總是不斷降低的，在整個(gè)項(xiàng)目期間，負(fù)債權(quán)益率也始終保持變化。 NPVP1 = CF0 + + + ??? + [1 + (Rf + βa x Rp)] NOPAT2 + tKDD2 NOPAT1 + tKDD1 [1 + (Rf + βa x Rp)] (1 + WACCn) CFn (1 + WACC2) CF2 (1 + WACC1) CF1 Issues on Cost of Capital 資金成本 I 1 2 n in which weight of debt is constantly adjusted如果負(fù)債比重不斷降低： WACC = (weight debt? x cost debt)(1 – T) + (weight capital? x cost equity) 加權(quán)平均資金成本 =(負(fù)債比率 *債務(wù)成本 )(1稅率 )+(權(quán)益比率 *權(quán)益成本 ) 1 2 [NOPAT: Net Operating Profit After Tax稅后凈收益 , t: tax rate稅率 , KD: debt cost債務(wù)成本 , D: debt outstanding負(fù)債 , Rf: risk free rate無(wú)風(fēng)險(xiǎn)利率 , βa: asset beta, Rp: risk premium] Tax shield Adjustment 稅盾調(diào)整 (1 + WACC) CFn (1 + WACC) CF2 (1 + WACC) CF1 NPVC = CF0 + + + ??? + 1 2 n Based on: Capital Cash Flows: A Simple Approach to Valuing Risky Cash Flows, Richard S. Ruback, 2022 Issues on Cost of Capital資金成本 II ? Reliability of CAPM in Project Finance Situation資本資產(chǎn)計(jì)價(jià)模型在項(xiàng)目融資中的可靠性 ? 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:在上例中應(yīng)用了資本資產(chǎn)訂價(jià)模型的凈現(xiàn)值計(jì)算可能不能在項(xiàng)目融資中準(zhǔn)確應(yīng)用，原因如下 ? A country where project is located may not have integrated/efficient market 項(xiàng)目所在的國(guó)家可能不是一個(gè)綜合 /有效率的市場(chǎng) ? Data would be not available for market risk premium 由于市場(chǎng)風(fēng)險(xiǎn)溢價(jià)而無(wú)法得到數(shù)據(jù) ? An ideal instrument represents the risk free rate would not be available 無(wú)風(fēng)險(xiǎn)利率可能無(wú)法得到 ? CAPM may not able to incorporate all risks associated with the project 資本資產(chǎn)定價(jià)模型可能無(wú)法將所有風(fēng)險(xiǎn)都和模型關(guān)聯(lián)起來(lái) ? CAPM does not consider asymmetric down side risks模型沒(méi)有考慮不對(duì)稱的下跌風(fēng)險(xiǎn) ? Required return on debt may different between construction and operating periods 負(fù)債的要求回報(bào)期間可能與建設(shè)和運(yùn)營(yíng)期間不一致 ? What if there is single purchaser located in other country?如果僅有的采購(gòu)方在另一個(gè)國(guó)家 ? What to do?怎么辦 Based on: Project Finance, Aditya Agarwal and Sandeep Kaul Cash Flow Analysis現(xiàn)金流分析 II (Individual Cash Flows 單個(gè)現(xiàn)金流 ) Analysis of Individual Cash Flows 單個(gè)現(xiàn)金流分析 Free Cash Flow 自由現(xiàn)金流 (FCF) Year年 Sales Revenue銷售收入 Year年 Input cost投入成本 Operating cost運(yùn)營(yíng)成本 Taxes稅 Net investment凈投資 (in maintenance) Construciton Costs建造成本 FCF used for NPV (IRR) analysis 自由現(xiàn)金流用于凈現(xiàn)值（內(nèi)部收益率）分析 Anatomy of FCF for project finance項(xiàng)目融資中的自由現(xiàn)金流 Construction施工 I ? Construction contracts建造合同 ? Fixed price contract固定價(jià)格合同 (high premium/low risk, payment based on progress高溢價(jià) /低風(fēng)險(xiǎn)，按進(jìn)度付款 ) ? Turnkey contract整套承包合同 ? The contractor accepts full responsibility for delivering a fully operational facility on a datecertain, fixed price ，負(fù)責(zé)所有的建設(shè)施工 ? EPC contract 合同能源管理 (engineering, procurement, and construction contract設(shè)計(jì)，采購(gòu)，施工合同 ) ? Cost plus fee contract成本加固定費(fèi)用合同 (low premium/high risk, frequent payments低溢價(jià) /高風(fēng)險(xiǎn)，頻繁付款 ) ? Cost plus fee contract with maximum price and incentive fee成本加固定費(fèi)用最高價(jià)格加獎(jiǎng)勵(lì)費(fèi)用合同 Based on: The Law and Business of International Project Finance, Scott L. Hoffman, 2022 Construction施工 II ? Major risks主要風(fēng)險(xiǎn) I ? Increase in construction cost增加施工成本 (cost overrun成本超支 ) ? Unavailability of sufficient funds to plete construction沒(méi)有足夠資金完成施工 ? Inability to the project pany to pay increased debt serv