Korea / Special Sits, Pairs, Index Rebalancing, Clepsydra Capital

Sanghyun Park

I investigate special situations, pairs, and index rebalancing trades in Korea.

Korea / Special Sits, Pairs, Index Rebalancing

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Clepsydra Capital

Investigate special situations, pairs, and index rebalancing trades in Korea.

Event-Driven

<p>Samsung C&amp;T's sigma on a 20-day moving average fell to -2.39 compared to the synthetic subsidiary composed of Samsung Electronics and Samsung Biologics.</p><p><strong>The price ratio of C&amp;T to Synthetic has fallen more than 10% from its recent high set on June 1. It fell more than 20% from its 180-day high.</strong></p><table class="table table-striped">
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<tr><td colspan="2" data-sheets-value='{"1":2,"2":"Samsung C&amp;T Corp"}' data-sheets-numberformat='[null,4,"[$₩]#,##0"]' data-sheets-formula="=R[-79]C[-2]">Samsung C&amp;T Corp</td></tr>
<tr>
<td data-sheets-value='{"1":2,"2":"Current sigma on a 20-day moving average"}'><strong>Current sigma on a 20-day moving average</strong></td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":-2.385035927743196}' data-sheets-numberformat='{"1":2,"2":"#,##0.00","3":1}' data-sheets-formula='=indirect("$B"&amp;R[8]C[0])'><strong>-2.39σ</strong></td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"NAV discount"}'>NAV discount</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":0.6298336136482073}' data-sheets-numberformat='{"1":3,"2":"0.00%","3":1}' data-sheets-formula='=indirect("B"&amp;R[8]C[0])'>62.98%</td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"Current price ratio"}'><strong>Current price ratio</strong></td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":0.931951778897188}' data-sheets-numberformat='{"1":2,"2":"#,##0.00000","3":1}' data-sheets-formula='=indirect("$E"&amp;R[7]C[0])'><strong>0.93195</strong></td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"%Δ to 180-day mean"}' data-sheets-numberformat='{"1":4,"2":"[$₩]#,##0"}'><strong>%Δ to 180-day mean</strong></td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":-0.07227514742080654}' data-sheets-numberformat='{"1":3,"2":"0.00%","3":1}' data-sheets-formula='=indirect("$B"&amp;R[6]C[0])'><strong>-7.23%</strong></td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"%Δ to 180-day high"}' data-sheets-numberformat='{"1":4,"2":"[$₩]#,##0"}'>%Δ to 180-day high</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":-0.2003193960709481}' data-sheets-numberformat='{"1":3,"2":"0.00%","3":1}' data-sheets-formula='=indirect("$C"&amp;R[5]C[0])'>-20.03%</td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"%Δ to 180-day low"}' data-sheets-numberformat='{"1":4,"2":"[$₩]#,##0"}'>%Δ to 180-day low</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":0.005954457918006556}' data-sheets-numberformat='{"1":3,"2":"0.00%","3":1}' data-sheets-formula='=indirect("$D"&amp;R[4]C[0])'>0.60%</td>
</tr>
<tr><td colspan="2" data-sheets-value='{"1":2,"2":"Source: KRX"}'>Source: KRX</td></tr>
</tbody>
</table><p>As a result, Samsung C&amp;T's discount to NAV has risen to 63%. Over 60% is the highest discount rate in recent years.</p><table class="table table-striped">
<colgroup>
<col width="100">
<col width="100">
</colgroup>
<tbody>
<tr><td colspan="2" rowspan="1" data-sheets-value='{"1":2,"2":"NAV"}' data-sheets-note="Sang Hyun Park: Cases when a company's net cash position and the value of its publically traded interests are worth more than its market cap create the opportunity of a stub trade, in which investors can take a view that the company's core business will rise by shorting the minority stakes whilst going long the underlying. Such an opportunity has arisen in the wake of the Alibaba listing which has seen early investing company Yahoo trade at a discount to the value of its stake in Alibaba.">NAV</td></tr>
<tr>
<td data-sheets-value='{"1":2,"2":"Value of listed holdings"}'>Value of listed holdings</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":51151.44069780985}' data-sheets-numberformat='[null,2,"₩#,##0.0B",1]' data-sheets-formula="=SUM(R[34]C[2]:R[43]C[2])">₩51,151.4B</td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":" - % of Holdco market cap"}'>- % of Holdco market cap</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":2.1382999205367192}' data-sheets-numberformat='[null,3,"0.00%",1]' data-sheets-formula="=R[-1]C[0]/((R[-12]C[0]*R[-15]C[0])/1000000000)">213.83%</td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"Value of unlisted holdings"}'>Value of unlisted holdings</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":2528.254}' data-sheets-numberformat='[null,2,"₩#,##0.0B",1]' data-sheets-formula="=SUM(R[42]C[2])">₩2,528.3B</td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"Stub value"}'>Stub value</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":-29758.14832980985}' data-sheets-numberformat='[null,2,"₩#,##0.0B",1]' data-sheets-formula="=(R[-14]C[0]*R[-17]C[0]/1000000000)-R[-3]C[0]-R[-1]C[0]">-₩29,758.1B</td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"Stub value per share"}'>Stub value per share</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":-159230.6336563192}' data-sheets-numberformat='[null,2,"[$₩-412]#,##0",1]' data-sheets-formula="=R[-1]C[0]*1000000000/R[-18]C[0]">-₩159,231</td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"Value of operating assets"}'>Value of operating assets</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":2782}' data-sheets-numberformat='[null,2,"₩#,##0.0B",1]' data-sheets-formula="=SUM(R[60]C[2])">₩2,782.0B</td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"GAV"}'>GAV</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":56461.69469780985}' data-sheets-numberformat='[null,2,"₩#,##0.0B",1]' data-sheets-formula="=R[-6]C[0]+R[-4]C[0]+R[-1]C[0]">₩56,461.7B</td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"GAV per share"}'>GAV per share</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":345406.6886469266}' data-sheets-numberformat='[null,2,"[$₩-412]#,##0",1]' data-sheets-formula="=R[-1]C[0]/R[-11]C[0]*1000000000">₩345,407</td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"Discount to GAV (excl. treasury shares)"}'>Discount to GAV (excl. treasury shares)</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":0.6294223470268663}' data-sheets-numberformat='[null,3,"0.00%",1]' data-sheets-formula="=(R[-1]C[0]-R[-19]C[0])/R[-1]C[0]">62.94%</td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"Holdco net cash/debt (de-consolidated)"}'>Holdco net cash/debt (de-consolidated)</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":268.6}' data-sheets-numberformat='[null,2,"₩#,##0.0B",1]' data-sheets-formula="=R[57]C[2]">₩268.6B</td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"Value of pref shares"}'>Value of pref shares</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":205.8692625}' data-sheets-numberformat='[null,2,"₩#,##0.0B",1]' data-sheets-formula="=(R[-20]C[0]*R[-17]C[0])/1000000000">₩205.9B</td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"NAV"}'><strong>NAV</strong></td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":56524.42543530985}' data-sheets-numberformat='[null,2,"₩#,##0.0B",1]' data-sheets-formula="=R[-5]C[0]+R[-2]C[0]-R[-1]C[0]"><strong>₩56,524.4B</strong></td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"NAV per share (excl. treasury shares)"}'><strong>NAV per share (excl. treasury shares)</strong></td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":345790.4464571061}' data-sheets-numberformat='[null,2,"[$₩-412]#,##0",1]' data-sheets-formula="=R[-1]C[0]/R[-16]C[0]*1000000000"><strong>₩345,790</strong></td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"Discount to NAV"}'><strong>Discount to NAV</strong></td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":0.6298336136482073}' data-sheets-numberformat='[null,3,"0.00%",1]' data-sheets-formula="=(R[-1]C[0]-R[-24]C[0])/R[-1]C[0]"><strong>62.98%</strong></td>
</tr>
<tr><td colspan="2" rowspan="1" data-sheets-value='{"1":2,"2":"Source: KRX &amp; DART","6":1}'>Source: KRX &amp; DART</td></tr>
</tbody>
</table>

Samsung C&amp;T's sigma on a 20-day moving average fell to -2.39 compared to the synthetic subsidiary composed of Samsung Electronics and Samsung Biologics.The price ratio of C&amp;T to Synthetic has fallen more than 10% from its recent high set on June 1. It fell more than 20% from its 180-day high.





Samsung C&amp;T Corp

Current sigma on a 20-day moving average
-2.39σ


NAV discount
62.98%


Current price ratio
0.93195


%Δ to 180-day mean
-7.23%


%Δ to 180-day high
-20.03%


%Δ to 180-day low
0.60%

Source: KRX

As a result, Samsung C&amp;T's discount to NAV has risen to 63%. Over 60% is the highest discount rate in recent years.





NAV

Value of listed holdings
₩51,151.4B


- % of Holdco market cap
213.83%


Value of unlisted holdings
₩2,528.3B


Stub value
-₩29,758.1B


Stub value per share
-₩159,231


Value of operating assets
₩2,782.0B


GAV
₩56,461.7B


GAV per share
₩345,407


Discount to GAV (excl. treasury shares)
62.94%


Holdco net cash/debt (de-consolidated)
₩268.6B


Value of pref shares
₩205.9B


NAV
₩56,524.4B


NAV per share (excl. treasury shares)
₩345,790


Discount to NAV
62.98%

Source: KRX &amp; DART



KODEX Samsung Group ETF & Samsung C&T Stub's Harsh Discount