序列複合買權法應用於履約保證下多期BOT基礎建設專案評價之研究

Abstract

利用BOT 模式來推動基礎建設民營化，尤其是大規模基礎建設投資專案， 已成為全球營建 市場一種成熟的趨勢。然而，在不確定的市場環境與無可預期的各種變化之下，這些大規模的BOT 投資專案必須面對極大的投資風險，特別是針對特定市場量身制裁的長期專屬資產(dedicated assets)投 資所形成沉默成本投資(sunk cost)。為了吸引私部門進行這些投資，各國政府提供各種特許權利誘因措 施，以協助投資者進行BOT 專案的風險控管，如：還款保證、最低營收保證、分期投資擴張規模的 權利，以及特許期間屆滿前的放棄權利等。這些特許誘因的出現，意味著傳統的專案評價方法，如折 現現金流模型(discounted cash flow model, DCF )，已不再適用於BOT 專案評價。為了解決較複雜的 BOT 評價的問題，各國的研究人員已經發展出許多不同的實質選擇權評價模型(real-option valuation models)。 雖然實質選擇權的評價方法很盛行，但現有的BOT 實質選擇權評價模型，尚未針對履約保證 金對專案價值的影響，提出任何評估。特別是，BOT 專案價值在特許契約簽訂時是不確定的，必須依 據契約執行期間所獲取的專案新訊息，不斷地進行重新評價。這將產生“套牢＂ (“hold-ups”) 的可能 性。亦即，即使某項建設經重新評價之後認定是不再值得投資的，政府仍然可能會利用已簽屬的合約 條款向法院提出強制執行的請求，要求特許公司繼續進行該項不可行的投資。因此，為了迴避風險， BOT 特許契約通常會賦予特許公司，在契約執行期間提前放棄投資的權利。然而，政府也會藉由履約 保證金的設定，確保投資者不會任意行使該項放棄權利。 在實質選擇權評價理論下，提前放棄投資的權利是具有潛在價值的；但是，履約保證金的設 置將會降低此潛在價值。即使履約保證金可以避免任意行提前放棄的權利，這還是會帶來問題。更具 體的說：如果BOT 專案實質選擇權的評價不考量履約保證金的負面影響，評價結果將會高估專案投 資價值，甚至誤導投資。 有鑑於此，本研究將建立序列複合買權評價模型(sequential compound call option valuation model)，推導多期BOT 投資專案在履約保證之下的評價封閉解。本研究也將提供敏感性分析來探討履 約保證金對於BOT 專案價值的影響。同時，本研究將利用MATLAB 程式來撰寫SCCO 的專案評價軟 體，選定實際的投資案例，進行專案評價的應用與分析。

The build-operate-transfer (BOT) model is a popular approach to infrastructure privatization, especially for large-scale infrastructure investments. However, large-scale BOT projects usually require long-term sunk investments in infrastructure facilities that are exposed to uncertain market conditions and unforeseen contingencies. To attract private-sector investments in BOT projects, host governments have offered a variety of concession arrangements for BOT risk management, such as loan repayment guarantee, minimum-revenue guarantee, the rights to expand incrementally, and the rights to abandon prematurely. The presence of these arrangements means that traditional valuation methods, such as the discounted cash flow model, are no longer satisfactory for BOT project valuation. Researchers have developed various real-option models to treat the more complex BOT valuation issues. Although the real-option approach is popular, existing BOT real-option valuation models have not incorporated the impact of performance bonds on project value. In particular, the value of BOT projects is uncertain at contract signing, and must be re-valuated when new project information is available during contract execution. This produces the possibility of a “hold-up:” the government may pursue court enforcement of literal contract terms, asking the concessionaire to invest in the underlying project even when the project is deemed infeasible by a re-valuation. To avoid the “hold-up” risk, BOT concession contracts often grant concessionaires voluntary abandonment rights during contract execution. However, host governments also require performance bonding by concessionaires as a security in order to ensure that voluntary termination is not exercised arbitrarily. In real option theories, voluntary abandonment is potentially valuable, but imposing a bonding requirement creates a penalty term upon voluntary abandonment. Performance bonding reduces the value of voluntary abandonment rights even though the arbitrary exercise of the rights can be avoided. If the impact of performance bonds on BOT project value is not assessed in BOT real option valuation, the resulting project value would tend to be overstated. Accordingly, this research will apply the theory of sequential compound call option (SCCO) to derive a closed form solution to the valuation of multistage BOT infrastructure projects under performance bonding. This research will also provide sensitivity analysis to examine the impact of performance bonding on BOT project value. A computer program will be written to support the numerical implementation of the closed solution using MATLAB, and a real-world BOT case will be chosen to demonstrate numerically the applicability of the proposed valuation model.