Private financing of highways A comparative analysis of syndicated loans and project bonds

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1 Private financing of highways A comparative analysis of syndicated loans and project bonds La competitività delle infrastrutture: perché e come Università Bocconi, 21 Giugno 2016 Professor Stefano Gatti Full Time MBA Program Director SDA Bocconi School of Management

2 Agenda della presentazione 1. I perché dello studio 2. I dati e il campione di analisi 3. Alcune evidenze emergenti dalle statistiche descrittive 4. Cosa determina lo spread di syndicated loans e bonds? Un analisi comparativa 5. Conclusioni 2

3 I perché dello studio Laboratorio Infrastrutture Bocconi Autostrade per l Italia 1. Rilevante infrastructure gap nei principali paesi industrializzati 2. Emersione, a partire da metà anni 2000, di nuovi investitori in infrastrutture 3. Attenzione dell Unione Europea ai progetti TEN-T 2020 Project Bonds Initiative Junker s EFSI 3

4 I dati e il campione di analisi 1. Project finance loans: campione di syndicated loans tratto da Thomson Reuters sul periodo 1/ /2014 finalizzati al finanziamento privato di autostrade 2. Project Bonds: campione di project bonds costruito partendo da Euromoney Project Finance International e controllato con DCM Analytics 3. Studio dello spread al lancio: derivato direttamente per i loans, calcolato su un titolo di stato di pari scadenza (matched maturity) per i bonds 4. Campione comprendente circa 154 bn USD di syndicated loans e circa 30 bn USD di project bonds 4

5 I dati e il campione di analisi Chart 2: Volumes and Number of Tranches in Project Finance Transactions in the Highway Sector The chart shows volumes and tranches for Project Finance transactions arranged to finance highway projects, both for projects loans and project bonds, between 1996 and November Size PLoans Size PBonds N Tranches PLoans N Tranches PBonds Size (millions of USD) Tranches Source: PFI, Thompson One Years 5

6 I dati e il campione di analisi Table 2: Geographic Analysis The Table reports the geographic distribution of number of tranches and volumes of project finance transactions broken down into six macro regions, in the period between 1996 and Under each figure the percent value is also reported. 6 Project Loans Project Bonds Volumes Volumes Region N of Tranches N of Tranches (Millions of USD) (Millions of USD) Western Europe , , % 56.58% 9.20% 16.14% of which Continental Europe , , % 47.46% 5.17% 12.07% of which UK 30 11, % 7.69% 3.45% 3.19% Eastern Europe 19 5, , % 3.85% 1.72% 7.24% North America 33 13, , % 8.49% 33.91% 40.57% of which U.S.A 8 2, , % 1.82% 17.82% 9.33% of which Canada 10 3, , % 2.53% 9.20% 17.05% of which Mexico 15 6, , % 4.14% 6.90% 14.19% Latin America/Caribbean 15 2, , % 1.83% 16.09% 21.35% Asia & Pacific , , % 24.83% 37.93% 13.33% Africa % 0.30% 0.57% 0.53% Middle East 11 6, % 4.10% 0.57% 0.84% Total (N) , ,723 Source: PFI, Thompson One

7 I dati e il campione di analisi Panel b: Project Finance Volumes According To The Pre-Crisis/Post-Crisis Period. Panel (b) shows project finance transaction volumes as a percentage of the total amount finalized respectively in the pre-crisis and post crisis period, dividing between developed and developing countries, both in the case of project loans and project bonds. Source: PFI, Thompson One Project loans Project bonds %developed %developing %developed %developing Pre-crisis 85% 15% 57% 43% Post-crisis 68% 32% 77% 23% Chiaro cambiamento del mercato post crisi: Project finance loans: loans più orientati a developing countries post crisi, bonds più concentrati su developed countries (effetto sostituzione rispetto ai bank loans) Per i developing countries, il calo è dovuto all aumentata risk aversion post crisi. Gli investitori cercano qualità dell investimento e rating migliori, più rappresentati nei developed countries. 7

8 Alcune evidenze emergenti dalle statistiche descrittive Table 5. Descriptive Statistics The table presents descriptive statistics, in the form of mean and median values, of variables of interest for project loans in Panel (a) and project bonds in Panel (b) Panel (a) Project Loan Summary Statistics Variable Observations Mean Median Std. Dev Min Max Spread at Issue Tranche Size (millions of USD) Maturity (Years) Panel (b) Project Bond Summary Statistics Variable Observations Mean Median Std. Dev Min Max Spread at issue Tranche Size (millions of USD) Maturity (Years) Source: PFI, Thompson One 1. Loans e bonds finanziano lo stesso asset ma non sono perfetti sostituti 2. Loans: leggermente più costosi al lancio, più piccoli, decisamente meno lunghi 3. Bonds utili per funding più lunghi e per importi più consistenti 8

9 Cosa determina lo spread di syndicated loans e bonds? Un analisi comparativa 1. Utilizzo di regressioni OLS con variabili dipendenti spread at launch e variabili indipendenti una serie di fattori riferiti a: 1. Caratteristiche micro: dimensione del prestito/bond, scadenza, denominazione valutaria, esistenza di eventuali garanti (per i bonds), presenza di rating e livello di rating (per i bonds) 2. Variabili macro: GDP per capita, tasso di crescita reale del GDP, tasso di inflazione, debito esterno/gdp 3. Qualità delle istituzioni: WGI della World Bank: Political stability, rule of law, corruption 9

10 Cosa determina lo spread di syndicated loans e bonds? Un analisi comparativa 2. Utilizzo di uno specifico set di variabili riferite alle caratteristiche industriali del progetto finanziato: Expected Traffic (Vehicles/Km) Real Toll Rate (USD/Km) Project Cost (millions of USD/Km) For loans and bonds: forecasted vehicles per kilometer of highway in the case of first time bond issues. Actual vehicles per kilometer of highway in the case of refinancing bonds. For loans and bonds: planned/forecasted highway toll rates per km of highway in the case of bonds issued for the first time at the inception of the project. Actual toll rates per km in the case of refinancing bonds. For loans and bonds: expected/planned total project cost per kilometer of highway. Predictability (1/0) Urban(1/0) Residual Concession (years) For loans and bonds: dummy variable equaling 1 in the case of greenfield projects with low traffic predictability, 0 in the case of brownfield projects with high traffic predictability. For loans and bonds: dummy variable equaling 1 in the case of projects built in urban areas, 0 otherwise. For loans and bonds: residual length at the date of issue or closing of the concession period. Project Tail (years) For loans and bonds: project tail of the transaction. 10

11 Cosa determina lo spread di syndicated loans e bonds? Syndicated loans Table 13: Regression Analyses of the Determinants of Credit Spreads for Project Loans Credit Spread Independent Variable Intercept Amount (million USD) Currency Risk (0/1) GDP Capita (USD) Inflation Rate (%) Political Instability Rule of Law Corruption Index MICRO RATING (-9.93) (-5.94) (-7.12) (-8.23) (-8.44) (-8.28) (-5.12) (-4.93) (-4.54) (-5.87) *** *** *** ** ** ** *** *** *** -0.04** (-3.88) (-3.31) (-2.98) (-3.68) (-3.75) (-2.85) (-3.98) (-3.75) (-3.12) (-2.31) *** *** ** ** ** ** * * * * (-2.67) (-2.55) (-2.43) (-2.29) (-2.34) (-2.43) (-1.93) (-2.03) (-1.98) (-1.73) *** (-4.49) * MICRO + MACRO / GOVERNANCE ** (-2.29) * (-1.78) ** (-2.53) MICRO + SECTOR 11

12 12 Laboratorio Infrastrutture Bocconi Autostrade per l Italia Cosa determina lo spread di syndicated loans e bonds? Syndicated loans Table 13: Regression Analyses of the Determinants of Credit Spreads for Project Loans Credit Spread Independent Variable Intercept Expected Traffic (Vehicles/ Km) Toll Rate (USD/km) Residual Concession (Years) Predictability (1/0) Project tail (years) Urban (1/0) Project Rating(1/0) Developing (0/1) Post Crisis (0/1) MICRO RATING (-9.93) (-5.94) (-7.12) (-8.23) (-8.44) (-8.28) (-5.12) (-4.93) (-4.54) (-5.87) *** *** MICRO + MACRO / GOVERNANCE MICRO + SECTOR ** * (-2.51) (-1.71) *** *** *** (-4.23) (-3.42) (-2.81) ** ** ** * ** ** * Obs Adjusted R F *** The t-statistics reported in parentheses are based on heteroskedasticity-consistent standard errors. ***, **, * indicate that the reported coefficient is statistically significant at the 1%, 5% and 10% level, respectively. -4.3

13 13 Laboratorio Infrastrutture Bocconi Autostrade per l Italia Cosa determina lo spread di syndicated loans e bonds? Project bonds Table 15: Regression Analyses of the Determinants of Credit Spreads for Project Bonds IndependentVar Intercept Amount (millions USD) Maturity (years) Guarantee (1/0) Refinancing (1/0) GDP Capita (millions USD) Growth (%) Inflation (%) External Debt (%) Political Stability Corruption Index of per of Rate Rate MICRO + MACRO / GOVERNANCE RATING (6. 41 ) ** ** -0.08* -0.08** -0.09** -0.09** -0.09** -0.08** (-2.63) (-2.71) (-1.92) (-2.06) (-2.48) (-2.44) (-2.45) (-2.36) (-1.10) 1.52* 2.23** 2.34** 2.51** 2.48** 2.23** 2.23** 2.19** 2.34** *** *** *** -81.3** *** *** ** ** (-2.93) (-4.15) (-3.78) (-3.72) (-3.81 ) (-3.12) (-3.06) (-3.66) ** * * -59.7** * * * * (-1.98) (-1.59) (-1.69) (-1.92) (-1.79) (-1.62) (-1.67) (-1.68) -0.01*** (-6.68) (-0.98) *** ** (-2.75) *** (-3.36) MICRO+ SECTOR

14 14 Laboratorio Infrastrutture Bocconi Autostrade per l Italia Cosa determina lo spread di syndicated loans e bonds? Table 15: Regression Analyses of the Determinants of Credit Spreads for Project Bonds Project bonds MICRO + MACRO / GOVERNANCE MICRO+ SECTOR RATING IndependentVa Intercept Expected Traffic (Vehicles/Km) Toll Rate (USD/km) Project Cost (USD/km) Residual Concession (Years) Predictability (1/0) Project (years) Urban (1/0) Medium/High Quality Medium/Low Quality Low Quality/Specul ative Grade Poor Quality Near Default/Default ed Developing (0/1) Post (0/1) tail Project Rating (bps over Prime / High Quality) Crisis (6. 41 ) *** *** *** -0.01*** (-2.65) (-2.63) ** ** ** (-4.65) (-4.50) (-5.00) 1.14*** 1.14*** 0.97** ** -2.67** (-2.39) (-2.26) 74.47** 77.53** 59.74* ** (-2.46) ** (-3.08) 71.29*** (2.95) *** *** ** *** Observations Adjusted R F The t-statistics reported in parentheses are based on heteroskedasticity consistent standard errors. ***,**,* indicate that the reported coefficient is statistically significant at the 1%, 5% and 10% level

15 Looking Ahead Laboratorio Infrastrutture Bocconi Autostrade per l Italia Crescente interesse per gli investitori nell asset class infrastrutturale Possibilità di creare un nuovo patto tra banking system e investitori istituzionali Investitori istituzionali attenti alle variabili micro dei deal finanziati Investitori particolarmente attenti agli external risks (politico e regolatorio). Opportunità di alleanze tra banche e investitori istituzionali anche in sede di sindacazione/securitization di project finance loans ma Necessità di una cultura delle infrastrutture in cui ogni parte si assume i rischi che è in grado di controllare e gestire. I Governi e le Istituzioni hanno un ruolo chiave in tal senso. 15