Building Benchmarks for Infrastructure Investors. edhec.infrastructure.institute

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1 Building Benchmarks for Infrastructure Investors edhec.infrastructure.institute

12 Histogram of DSCR1 = + + Frequency = = Frequency DSCR Histogram of DSCR2 Frequency DSCR Histogram of DSCR DSCR

13 DSCR dataset Number of reporting firms Contracted Merchant Investment Start Year Year

15 Empirical and theoretical dens. Q Q plot Density Empirical quantiles Data Theoretical quantiles Empirical and theoretical CDFs P P plot CDF Empirical probabilities Data Theoretical probabilities

18 =

19 Transition Probabilities from the Safe State for Contracted Projects Probability (%) S >R S >S Operation Year

20 Probabilities of the Three States for Contracted Projects Probabilities of the Three States for Merchant Projects Probability (%) R S D Probability (%) R S D Operation Year Operation Year

21 45 Contracted Family Merchant Family t18 SD(%) t2 t5 t2 t18 20 t Mean t0

22 σ

23 σ

24 DSCR Density for Contracted Projects DSCR Density for Merchant Projects 0.8 t 1 t t 1 t 2 t 3 t 3 t 4 t 4 t 5 t 5 t 6 t t 6 t 7 t 8 t t 9 t 10 t 11 t t 9 t 10 t 11 t 12 t 13 t 13 t 14 t 14 t t 15 Density 0.4 Density DSCR DSCR

25 DSCR Mean for Contracted and Merchant Families DSCR SD for Contracted and Merchant Families 3.0 Contracted Merchant 60 Contracted Merchant Mean DSCR SD (%) Operation Year Operation Year

26 ( <.) Probability of Hard Default Probability of Soft Default 4 Contracted Merchant 4 Contracted Merchant 3 3 PD (%) 2 PD (%) Operation Year Operation Year

27 Filtered DSCR Mean Filtered Standard Deviation 3.0 Observed DSCR True Mean Bayesian Mean 95% Conf Int 0.15 True Bayesian 2.5 DSCR 2.0 SD Operation Year Operation Year

28 Distance to lockup, soft, and hard defaults Probabilities of Lockup, Soft, and Hard Defaults 20 DtL DtS DtD 1.0 DSCR<1.15 DSCR<1.10 DSCR< Distance to Default 10 Probability(%) Operation Year Operation Year

32 Excess Period Returns (Contracted) Excess Period Returns (Contracted) 8 95% Conf Bounds Expected Return Realised Return 8 95% Conf Bounds Expected Return Realised Return 6 6 Excess Return (%) 4 Excess Return (%) Calendar Year Calendar Year

33 Excess Period Returns (Merchant) Excess Period Returns (Merchant) 15 95% Conf Bounds Expected Return Realised Return 15 95% Conf Bounds Expected Return Realised Return Excess Return (%) 10 5 Excess Return (%) Calendar Year Calendar Year % %

34 Loss Profile (Contracted) Loss Profile (Contracted) 20 EL 20 EL VaR VaR cvar cvar Period Loss (%) 10 Period Loss (%) Calendar Year Calendar Year

35 Loss Profile (Merchant) Loss Profile (Merchant) 20 EL 20 EL VaR VaR cvar cvar Period Loss (%) 10 Period Loss (%) Project time Calendar Year

36 Portfolio Value (Contracted) Portfolio Value (Contracted) 5 95% Conf Bounds Expected Value Realised Value % Conf Bounds Expected Value Realised Value Billions of Dollars 3 2 Billions of Dollars Calendar Year Calendar Year

37 Portfolio Value (Merchant) Portfolio Value (Merchant) 10 95% Conf Bounds Expected Value Realised Value % Conf Bounds Expected Value Realised Value 8 Billions of Dollars 6 4 Billions of Dollars Calendar Year Calendar Year

38 Duration (Years) 5 Duration (Years) Calendar Year Calendar Year

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