基本面分析：是否得到了全部的承諾

1、Global Research15 April 2020Fundamental AnalyticsCapturing leases in a DCF valuation 2.0. Are you capturing the full commitment?Payments to acquire the use of an asset using a lease are capexFrom a business model perspective, a payment made by a business to acquire the use of an asset using a lease

2、structure is, in substance, a capital expenditure payment. Revenue is agnostic as to whether the assets it uses to drive its line are leased or ownedthe line just doesnt care.but herein lies the problem lease capex isnt paid forWhilst revenue is ambivalent about how assets are brought into the busin

3、ess, the asset base still must be paid for. Owned assets are paid for through the capital expenditure line, and this cash outflow is deducted in arriving at free cash flow to firm. Leased asset capital expenditure does not feature in a typical derivation of free cash flow to firm. In these cases, re

4、venue is driven without a payment for the leased asset.We remedy the leased capex issue through our reinvestment modelA discounted cash flow model (based on free cash flow to firm) assumes that the business model generates cash flow into perpetuity. We must therefore ensure that the full capital exp

5、enditure (leased and owned assets) is captured into perpetuity.and capture the financing support through the equity bridgeWe also need to capture the financing necessary to support the operating and reinvestment models into perpetuity. Revenue, capex (leased and owned) and the remaining components o

6、f free cash flow to firm are all forecast into perpetuity. We thus need to forecast the ongoing financial costs of the leasing. This drain on the equity value is factored into the equity bridge. In this note, we also introduce a more refined approach to how we think about our DCF valuation framework

7、 and the equity bridge.We worked closely with our modelling and analytics team to develop and test this methodology. We would like to thank Richard Pain for his tireless effort on this project.Valuation, Modelling & AccountingGlobalEquitiesGeoff Robinson, CA FCAAnalyst HYPERLINK mailto:geoff.robinso

8、n geoff.robinson+44-20-7567 1706Yiding Lu, CFAAnalyst HYPERLINK mailto:yiding.lu yiding.lu+44-20-7568 9091Renier Swanepoel, CA(SA), CMAAnalyst HYPERLINK mailto:renier.swanepoel renier.swanepoel+44-20-7568 9025Courtney Cook, CFAAnalyst HYPERLINK mailto:courtney.cook courtney.cook+44-20-7567 4871 HYPE

9、RLINK /investmentresearch /investmentresearchThis report has been prepared by UBS AG London Branch. ANALYST CERTIFICATION AND REQUIRED DISCLOSURES BEGIN ON PAGE 21. UBS does and seeks to do business with companies covered in its research reports. As a result, investors should be aware that the firm

10、may have a conflict of interest that could affect the objectivity of this report. Investors should consider this report as only a single factor in making their investment decision.UBS Research AcademySharpen your investment edgeThe UBS Research Academy is an education platform built for clients and

11、is delivered by our #1 ranked* Fundamental Analytics team and by our Equity Research platform. The main objective of the Research Academy is to sharpen your investment edge by raising the bar on your technical and fundamental knowledge. We have a depth of resource; tap into it and make the most of y

12、ours.Look through new analytical lenses.Uncover previously missed insights.Develop and improve your analytical frameworks.Simulate uncertain outcomes by building better models.Ultimately, ask better questions.In short, Know. More. HYPERLINK mailto:researchacademy researchacademy*EMEA ExtelContents H

13、YPERLINK l _TOC_250006 Leasing: An enhanced approach to our capex methodology 4 HYPERLINK l _TOC_250005 Leasing is still capex captured in the reinvestment model 4 HYPERLINK l _TOC_250004 In addition to the RoU capex, there is also a financing component to capture 9 HYPERLINK l _TOC_250003 And this

14、explains our final lease adjustment 14 HYPERLINK l _TOC_250002 What about the WACC? 16 HYPERLINK l _TOC_250001 Dealing with the differences between US GAAP and IFRS 16 HYPERLINK l _TOC_250000 Why are we so focused on our three-model framework? 18Geoff Robinson, CA FCAAnalyst HYPERLINK mailto:geoff.r

15、obinson geoff.robinson+44-20-7567 1706Yiding Lu, CFAAnalyst HYPERLINK mailto:yiding.lu yiding.lu+44-20-7568 9091Renier Swanepoel, CA(SA), CMAAnalyst HYPERLINK mailto:renier.swanepoel renier.swanepoel+44-20-7568 9025Courtney Cook, CFAAnalyst HYPERLINK mailto:courtney.cook courtney.cook+44-20-7567 487

16、1Leasing: An enhanced approach to our capex methodologyLeasing is still capex captured in the reinvestment modelWe separate our derivation of free cash flow to firm into an operating model and a reinvestment model the reinvestment model must fully support the operating modelOur DCF work has always s

17、eparated the derivation of free cash flow to firm (FCFF) into two component parts HYPERLINK l _bookmark0 (Figure 1 below):An operating model; andA reinvestment model.The earnings captured in the operating model are generated from appropriate expenditure captured in the reinvestment model, such that

18、the operating model is always paid for by the reinvestment. We will see later in this note that this thinking must also be extended to a financing model.Figure 1: Two-model derivation of free cash flow to firmSource: UBSRevenue is agnostic as to how the asset it uses are financedThere are no free lu

19、nches. You cannot create revenue and net operating profit after taxes (NOPAT) without investment. Revenue and NOPAT generation is a function of how much and how effectively a company reinvests its cash flows. Ultimately, revenue is agnostic as to whether leased assets or outright-purchased assets dr

20、ive its growth if the underlying asset is identical, the growth will be the same.The problem is that, despite leased and purchased assets having the same impact on earnings, they are often treated differently in a DCF valuation. Cash reinvestment into owned assets is visibly deducted in the derivati

21、on of FCFF as capex. However, reinvestment into leased assets is an agreement to make payments in the future and has no cash flow impact at initiation. Instead, there is an increase in the lease liability, offset by the recognition of a right-of-use (ROU) asset. Despite generating the same growth as

22、 purchased assets, the increased lease liability does not commonly form part of FCFF derivations. We should be treating the ROU as a component of the capital expenditure forecasts.The payment to acquire the right to use a leased assetis capexThis is not a new idea for us weve written on this before.

23、 The future lease capex forecasts must capture three elements of commitment:The spend to maintain the leased asset base (Components A and B); andThe spend to invest in the leased asset base (Component C).Our preference is to place lease commitments in the reinvestment section of a DCF, so that we ca

24、n ensure that our return on our assets (both leased and purchased) is consistent with our valuation narrative.The problem is that leased and purchased assets are often treated differently in a DCF valuationOur preference is to place lease commitments in the reinvestment section of a DCFFigure 2: Thr

25、ee forward-looking commitmentsSource: UBSThere are a couple of ways we can isolate a leased capex number for inclusion in our forecasts:IFRS 16 and topic 842 (in relation to leases classified as capital leases) require the depreciation expense associated with ROU leased assets is disclosed in the in

26、come statement. We can use the reported ROU depreciation as a proxy to the lease asset maintenance requirement. A ROU depreciation to revenue metric then can be used as a base rate to forecast the future ROU lease capex behaviour. or;We can bifurcate the one-year forward lease commitment into its ca

27、pital and interest components. The capital component can be used as a proxy of ROU lease capex. Again we can create a revenue associated base rate to the future ROU lease capex behaviour.Generally both methods provide reasonably well aligned forecasts. However, younger lease portfolios will have pay

28、ments that are more front-loaded with interest.We break down the derivation of the lease capex repaymentinto five stepsIn this note (see HYPERLINK l _bookmark1 Figure 7 below), we refine how we isolate a robust and defensible lease capex number for our FCFF forecasts. We break down the derivation of

29、 the lease capex repayment into five steps:Bifurcate total lease payment into capital and interest components. On a historic basis, capital and interest payments can typically be extracted from the cash flow statement and related notes. On a forward basis, the most accurate starting point is the min

30、imum lease commitments within one year, disclosed in the lease note. We are making the assumption that the capital element of the lease payment is a finance-free payment to acquire the right to use the leased asset.Figure 3: The most visibility is on minimum lease commitments within one yearFigure 4

31、: Bifurcate total lease payment between interest and right of use paymentsSource: UBSSource: UBSThe capital payment component represents the payment to maintain the current leased asset base. Analysts then forecast how the base rate grows, taking into consideration the impact of leased asset growth

32、and inflation.Figure 5: Grow right-of-use asset, taking into consideration rollover commitment and growthSource: UBSWe estimate the lease asset payment into perpetuity together with a terminal value estimate. The capture of the terminal lease payments will depend on how analysts estimate their termi

33、nal values. The FCFF number that forms part of the traditional cash flow growth perpetuity will naturally adjust for the lease capex payment. Analysts using our preferred reinvestment terminal value calculation will need to ensure that their sustainable long-term reinvestment rate assumptions are co

34、nsistent with their lease capex beliefs.More: Is your terminal value, terminal?We include these lease right-of-use payments as capex in the reinvestment model to ultimately derive the FCFF impact.Figure 6: Capex includes both “owned” and right-of-use lease paymentsSource: UBSThese cash flows are the

35、n discounted using a WACC.Figure 7: Deriving the lease capex paymentSource: UBSIn addition to the RoU capex, there is also a financing component to captureFCFF forecasts are probability weighted for idiosyncratic risk. Discounting these future FCFFs takes into consideration the systematic risk embed

36、ded in the cash- flow stream.The WACC can be seen as an average hurdle rate of return for all sources of capital. While discounting FCFF at the WACC provides an enterprise value today which compensates for the opportunity cost for the providers of capital, it does not allocate the actual claim on fu

37、ture cash flows among the capital providers. This claim on future cash flows still needs to be captured as we transition between EV and equity value. We can discount these future claims to estimate what the total future claims are worth in present- value terms. HYPERLINK l _bookmark2 Figure 8 seeks

38、to explain our ideasIn HYPERLINK l _bookmark0 Figure 1 above and again in HYPERLINK l _bookmark2 Figure 8, we outline our two-model derivation of FCFF using an operating model and a reinvestment model. Both of these models are built on perpetuity forecast estimates. We assume that the business model

39、 is a going concern into perpetuity. We then reduce these forecasts to a single-point present-value estimate (using the WACC), and call the resultant number EV (bullet points one, two and three in HYPERLINK l _bookmark2 Figure 8 below).Operating model = perpetuity forecast Reinvestment model = perpe

40、tuity forecastTherefore the Financing model must be a perpetuity forecastBusiness models, of course, need financing and, since we are still assuming that the model is a going concern, need financing into perpetuity. The financing model component of our valuation therefore needs to reflect the perpet

41、uity nature of the financing requirement.Most analysts capture the financing model in the equity bridge from EV to equity value by deducting what they believe to be past obligation. Although many are aware that these EV to equity value bridge items should be at market value, in practice they are usu

42、ally taken as the last historic book values from the balance sheet. This conceptual line of thought can be troublesome and can create issues. The market value represents the present value of future cash flows in perpetuity, while book values are historic balances.A minority investor in a subsidiary

43、will not be bought out of their investment at their cumulative historic earnings, but for the present value of their expected future dividends in perpetuity. If this were not the case, then any minority investor in a start-up with initial losses would happily give up their shares (and cumulative los

44、ses) for nothing.Similarly, the value of an associate to a parent company is the cash flow it generates in perpetuity.A debt holder will lend to a company in perpetuity assuming that the company can maintain appropriate interest payments to compensate the lender for the risk.Figure 8: The hidden thi

45、rd component of our valuation framework: the financing componentSource: UBSThere are a number of points we need to highlight at this juncture:Given that the operating and reinvestment models are perpetuity forecasts, the financing model must match these forecasts into perpetuity. The financing model

46、 is captured in the transition between EV and equity value the equity bridge. The equity bridge essentially converts a FCFF model into a free cash flow to equity (FCFE) model.These single-point equity bridge adjustments are (or should) be present value perpetuity estimates that support and are consi

47、stent with the operating and reinvestment model forecasts. The operating and reinvestment models will require financing support into perpetuity. Using a book value within these bridges is merely a cognitive quick fix.However, deducting single-point estimates in the equity bridge does not give the im

48、pression of capturing a perpetuity forecast. The deduction misleadingly appears to be more of a snapshot of the current debt position. We will illustrate and explain our ideas around the perpetuity behaviour of the equity bridge below (in HYPERLINK l _bookmark3 Figure 9 and HYPERLINK l _bookmark4 Fi

49、gure 10), by applying the idea to the debt deduction.Equity bridge: Perpetuity bridge deductionThe present value of the future debt claim is embedded in the EV (present value of the future forecasts FCFF) number. We need to isolate this claim and deduct it from the EV, in order to calculate what FCF

50、 remains for the equity holder (equity value).Equity bridge adjustments represent the single-point present value of perpetuity flowsThe debt claim is a perpetuity. We have to assume that the debt rolls over into perpetuity so that it supports the operating and reinvestment models that are also forec

51、ast into perpetuity. If debt was not rolled over, we would eventually have operating and reinvestment models still running into perpetuity without the support of financing clearly an unrealistic assumption.Calculating debt rollover as interest into perpetuity HYPERLINK l _bookmark3 Figure 9 outlines

52、 the accounting supporting an illustrative five-year bond that carries a 5% cash coupon. We will assume that the bond is issued today. The bond is issued and redeemed at 100,000 par. Given the term structure of the bond, the yield on the bond is also 5%. The 5% yield is used to allocate the total in

53、terest charge to the income statement over the debt term. The 5% cash coupon is a contractually agreed cash interest payment. The cash coupon rate is applied to the debts par value to determine the cash interest paid.Figure 9: A lease-like debt term structure5.0%5.0%100,000100,000100,000Debt term sh

54、eetYieldCash couponIssuedParRedemptionStartInterestCouponEndPeriodBSISCFSBS1100,0005,000(5,000)100,0002100,0005,000(5,000)100,0003100,0005,000(5,000)100,0004100,0005,000(5,000)100,0005100,0005,000(5,000)100,000Total interest charged25,000Cash coupon paid(25,000)Yield calculation-100,0001(5,000)2(5,0

55、00)3(5,000)4(5,000)5(105,000)Yield5.0%Source: UBSWe will use this debt term structure to estimate the present value of the debt, assuming that it rolls over into perpetuity.In HYPERLINK l _bookmark4 Figure 10 below, we prove that the 100,000 debt number that analysts will deduct today is, in fact, t

56、he cost of rolling over the debt into perpetuity thus supporting the perpetuity nature of the operating and reinvestment model (assuming a 5% yield).Figure 10: The deduction of the perpetuity cost of debt in the equity bridgeSource: UBSYou may ask where the tax shield on the interest payments is. If

57、 we use a yield, net of a 19% marginal tax rate, to discount a net cash coupon, we get an identical answer as the numerator and denominator of the calculations cancel out. We illustrate this in HYPERLINK l _bookmark5 Figure 11 below1.1 This method assumes that the lease liability rolls over as a con

58、stant liability. A more refined methodology (that adds additional complexity to the adoption) is to roll over the debt with constant growth perpetuity formula. However, keeping the rollover constant allows analysts to use the balance sheet lease liability in their equity bridge adjustment.Figure 11:

59、 There is no difference between the valuations of the rollover at the net or gross level: proofPerpetuity cash claim (gross)-12345Cash coupon (gross)5,0005,0005,0005,0005,000Interest cost rollover (gross)100,000Cash flows to be discounted5,0005,0005,0005,000105,000Discounted using the 4% gross yield

60、0.950.910.860.820.784,7624,5354,3194,11482,270PV of the future cash claim (gross)100,000Perpetuity cash claim (net)Marginal tax rate19.0%12345Post-tax yieldCash coupon (net)4.1%4,0504,0504,0504,0504,050Interest cost rollover (net)100,000Cash flows to be discounted4,0504,0504,0504,050104,050Discounte