| Name: | Description: | Size: | Format: | |
|---|---|---|---|---|
| 1.92 MB | Adobe PDF |
Authors
Advisor(s)
Abstract(s)
No âmbito do estágio curricular desenvolvido na Ascendi para conclusão do Mestrado em Finanças, o presente relatório aborda de forma interligada duas temática na área das Finanças: o Project Finance (PF) e a avaliação de ativos reais.
O Project Finance é um método de financiamento frequentemente utilizado em projetos capitais intensivos de elevada dimensão e que apresentam como principais características: (i) o projeto vale pelos cash flows que gera, não havendo tipicamente recurso aos seus promotores; e (ii) envolve a criação de uma entidade independente, facto permite um nível de financiamento por dívida mais elevado face ao financiamento do projeto diretamente pelos seus promotores.
Pelas características específicas que este tipo de operações encerram, a discussão sobre as metodologias de avaliação de ativos reais, por Discounted Cash Flows (DCF), que melhor se aplicam à avaliação de um Project Finance ou de uma parceria público-privada (PPP) tem aumentado recentemente. No presente trabalho foram analisados e aplicados ao estudo de caso Concessão Beira Litoral e Alta os seguintes modelos: Free Cash Flow Model (FCF), o Equity Cash Flow Model (ECF), o Capital Cash Flow Model (CCF) e o Compressed Adjusted Present Value Model (CAPV).
O Trabalho Final de Mestrado apresentado estudou então se a escolha de diferentes modelos de avaliação por DCFtem impacto nos resultados obtidos. Por outro lado verificou-se se o modelo FCF subestima os benefícios fiscais associados ao elevado nível de endividamento de projetos de investimento implementados neste regime e se, consequentemente, conduz a resultados enviesados. Depois de aplicados os modelos de DCF selecionados, concluiu-se que a escolha do modelo de avaliação influencia os resultados obtidos; i.e., o valor de mercado da concessão é diferente consoante o modelo aplicado.
Verificou-se ainda que o modelo FCF subestimou os benefícios fiscais criados pela dívida. Finalmente, foi possível concluir que os modelos Capital Cash Flow e o Compressed Adjusted Present Value conduzem a valores de mercado mais elevados para a concessão pelo facto de captarem melhor os benefícios fiscais, o que está em linha com a literatura que refere que estes dois modelos são os mais realistas na avaliação de projetos em regime de PF ou PPP.
Following an internship developed in Ascendi for the completion of a master's degree, this report addresses two themes of Finance: Project Finance (PF) and real assets valuation. PF is the process of financing a specific economic unit that the sponsors create and is often used for capital-intensive facilities and utilities.. Its main characteristics are: (i) the debtor is a project company (special purpose vehicle) that is financially and legally independent from the sponsors; (ii) lenders are satisfied to look initially to the cash flows and earnings of that economic unit as the source of funds; and (iii) high levels of leverage vis-à-vis corporate financing.. Given the specific characteristics of such transactions, the discussion about which Discounted Cash Flows’ (DCF) model is best suited to value PF or PPPs have been increasing. In this report, we use the following models in order to value ‘Beira Litoral e Alta’ concession: Free Cash Flow (FCF) model, Equity Cash Flow (DCF) model, Capital Cash Flow (CCF) model, and Compressed Adjusted Present Value (CAPV) model. The objective of this work is to determine if the choice of different DCF valuation models, even being mathematically equivalent, has an impact in the obtained results. Additionally, it is intended to verify if the FCF model leads to unreliable results, underestimating the impact of the interest tax shields - linked to higher levels of leverage - on the concession value, . After applying the DCF models selected, we conclude that the choice of the valuation model does in fact influence the results obtained. Furthermore, we find that the FCF model underestimated the impact of interest tax shields on the concession value, and that the CCF and CAPV models are more reliable when valuing PF or PPPs projects, which is in line with the existing literature.
Following an internship developed in Ascendi for the completion of a master's degree, this report addresses two themes of Finance: Project Finance (PF) and real assets valuation. PF is the process of financing a specific economic unit that the sponsors create and is often used for capital-intensive facilities and utilities.. Its main characteristics are: (i) the debtor is a project company (special purpose vehicle) that is financially and legally independent from the sponsors; (ii) lenders are satisfied to look initially to the cash flows and earnings of that economic unit as the source of funds; and (iii) high levels of leverage vis-à-vis corporate financing.. Given the specific characteristics of such transactions, the discussion about which Discounted Cash Flows’ (DCF) model is best suited to value PF or PPPs have been increasing. In this report, we use the following models in order to value ‘Beira Litoral e Alta’ concession: Free Cash Flow (FCF) model, Equity Cash Flow (DCF) model, Capital Cash Flow (CCF) model, and Compressed Adjusted Present Value (CAPV) model. The objective of this work is to determine if the choice of different DCF valuation models, even being mathematically equivalent, has an impact in the obtained results. Additionally, it is intended to verify if the FCF model leads to unreliable results, underestimating the impact of the interest tax shields - linked to higher levels of leverage - on the concession value, . After applying the DCF models selected, we conclude that the choice of the valuation model does in fact influence the results obtained. Furthermore, we find that the FCF model underestimated the impact of interest tax shields on the concession value, and that the CCF and CAPV models are more reliable when valuing PF or PPPs projects, which is in line with the existing literature.
Description
Keywords
Project Finance Parcerias Público-Privadas Avaliação de ativos reais Capital cash flow model Compressed adjusted present value model Free cash flow model Ascendi Public Private Partnerships Real assets evaluation