국내 민자사업 재구조화 관련 민자도로사업의 매수청구권 가치평가에 관한 연구: LSMC 시뮬레이션의 적용

초록

This paper estimates the value of the early termination payment option (ETP) of brown field toll road PPP projects, which is a form of an American put option. We use the real option approach where we combine the Least Squares Monte Carlo (LSMC) simulation by Longstaff and Schwartz (2001) with the measurement method of the market price of traffic risk proposed by Brandao and Saraiva (2008). We measure the intrinsic value and the exchange value of the project where the intrinsic value is the present value of the project based on the updated future cash flows discounted at the fair rate of return estimated at the early stage of the road operation. The exchange value is measured as the present value of the project based on the updated future cash flows discounted at the fair rate of return estimated at the time of restructuring. The intrinsic value means the value of the project under the assumption of the on-going operation by the original operator, while the exchange value is defined as the value of the project under the assumption of disposition to a new project operator. If the government were to buy the project right directly from the original project owner, it would pay a price close to the intrinsic value of the project and if the government were to sell the project right, the new project owner would pay the government a price close to the exchange value of the project. We apply the valuation method to the valuation of a brown field PPP project with both ETP and MRG (minimum revenue guarantee) where the actual traffic volume was much lower than the forecasted traffic volume and restructuring (modifying the deal structure and allowing the transfer of the project right from the original operator to the new operator) was undertaken. The case involves restructuring an existing road PPP following the restructuring brown field PPP guideline in 2014. The value of the project as well as the ETP and MRG at the time of restructuring is based on the updated traffic forecast. We find that the value of ETP without MRG is larger than the value of ETP with MRG. This is as expected since ETP and MRG are compound options where the need to exercise ETP is reduced in the presence of MRG. For the case project, after standardizing the intrinsic value and the exchange value of the project to 100, the intrinsic value and the exchange value of ETP without MRG are 73.0 and 29.3, respectively, while the intrinsic value and the exchange value of ETP with MRG are 9.4 and 5.2, respectively. That is, the intrinsic and exchange values of ETP are reduced by 63.6% point and 24.1% point, respectively, due to the counteracting effect of MRG.

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