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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Event-Driven

<p>No concrete saying on Samsung's year-end special dividend yet.</p><p>That means we should still expect an additional ₩6.5T to fill up to meet the 3-yr 50% FCF target, which then translates into a ₩1,304 year-end DPS (ord) based on the current street consensus.</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":"Special &amp; interim div-adjusted div yield"}'>Special &amp; interim div-adjusted div yield</td></tr>
<tr>
<td data-sheets-value='{"1":2,"2":"Common DPS (incl. special div)"}' data-sheets-formula="=R[-22]C[0]"><strong>Common DPS (incl. special div)</strong></td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":1304}' data-sheets-numberformat='[null,4,"[$₩-412]#,##0"]' data-sheets-formula="=R[-22]C[0]-R[-12]C[2]"><strong>₩1,304</strong></td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":" : Price"}'>: Price</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":72800}' data-sheets-numberformat='[null,4,"[$₩-412]#,##0"]' data-sheets-formula="=R[-22]C[0]">₩72,800</td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":" : Dividend yield"}'>: Dividend yield</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":0.017912087912087912}' data-sheets-numberformat='[null,3,"0.00%",1]' data-sheets-formula="=R[-2]C[0]/R[-1]C[0]">1.79%</td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"1P DPS (incl. special div)"}'><strong>1P DPS (incl. special div)</strong></td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":1306}' data-sheets-numberformat='[null,4,"[$₩-412]#,##0"]' data-sheets-formula="=R[-22]C[0]-R[-15]C[2]"><strong>₩1,306</strong></td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":" : Price"}'>: Price</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":68700}' data-sheets-numberformat='[null,4,"[$₩-412]#,##0"]' data-sheets-formula="=R[-22]C[0]">₩68,700</td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":" : Dividend yield"}'>: Dividend yield</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":0.01901018922852984}' data-sheets-numberformat='[null,3,"0.00%",1]' data-sheets-formula="=R[-2]C[0]/R[-1]C[0]">1.90%</td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"Difference"}'>Difference</td>
<td style="text-align: right;" data-sheets-value='{"1":2,"2":"0.10%p"}' data-sheets-numberformat='[null,3,"0.00%",1]' data-sheets-formula='=left(((R[-1]C[0]-R[-4]C[0])*100), 4)&amp;"%"&amp;"p"'>0.10%p</td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":" - 1P div. yield premium"}' data-sheets-numberformat='[null,2,"[$₩-412]#,##0",1]'>- 1P div. yield premium</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":0.06130504281976413}' data-sheets-numberformat='[null,3,"0.00%",1]' data-sheets-formula="=(R[-2]C[0]-R[-5]C[0])/R[-5]C[0]">6.13%</td>
</tr>
<tr><td colspan="2" rowspan="1" data-sheets-value='{"1":2,"2":"Source: DART, SEIBro, &amp; FnGuide"}'>Source: DART, SEIBro, &amp; FnGuide</td></tr>
</tbody>
</table><p>It is a 1.8% div yield at the current price (ord). Well, it is not too bad for two weeks of holding.</p><p>Then, the problem is, of course, hedging.</p><p>Samsung's single-stock futures are plenty in circulation, easily over 0.6x spot. But F 202001 is currently in severe backwardation at -1,300~-1,500, which is pretty much in line with the market consensus DPS to cancel each other.</p><table class="table table-striped">
<colgroup>
<col width="100">
<col width="100">
<col width="100">
<col width="100">
</colgroup>
<tbody>
<tr>
<td data-sheets-value='{"1":2,"2":"Date"}'>Date</td>
<td style="text-align: right;" data-sheets-value='{"1":2,"2":"Spot"}'>Spot</td>
<td style="text-align: right;" data-sheets-value='{"1":2,"2":"F 202101"}'>F 202101</td>
<td style="text-align: right;" data-sheets-value='{"1":2,"2":"Basis"}'>Basis</td>
</tr>
<tr>
<td data-sheets-value='{"1":3,"3":44182}' data-sheets-numberformat='[null,5,"m\"/\"d\"/\"yy"]'>12/17/20</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":72800}' data-sheets-numberformat='{"1":2,"2":"#,##0"}'>72,800</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":71300}' data-sheets-numberformat='{"1":2,"2":"#,##0"}'>71,300</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":-1500}' data-sheets-numberformat='{"1":2,"2":"#,##0"}' data-sheets-formula="=R[0]C[-1]-R[0]C[-2]"><strong>-1,500</strong></td>
</tr>
<tr>
<td data-sheets-value='{"1":3,"3":44181}' data-sheets-numberformat='[null,5,"m\"/\"d\"/\"yy"]'>12/16/20</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":73800}' data-sheets-numberformat='{"1":2,"2":"#,##0"}'>73,800</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":72500}' data-sheets-numberformat='{"1":2,"2":"#,##0"}'>72,500</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":-1300}' data-sheets-numberformat='{"1":2,"2":"#,##0"}' data-sheets-formula="=R[0]C[-1]-R[0]C[-2]"><strong>-1,300</strong></td>
</tr>
<tr>
<td data-sheets-value='{"1":3,"3":44180}' data-sheets-numberformat='[null,5,"m\"/\"d\"/\"yy"]'>12/15/20</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":73800}' data-sheets-numberformat='{"1":2,"2":"#,##0"}'>73,800</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":72500}' data-sheets-numberformat='{"1":2,"2":"#,##0"}'>72,500</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":-1300}' data-sheets-numberformat='{"1":2,"2":"#,##0"}' data-sheets-formula="=R[0]C[-1]-R[0]C[-2]"><strong>-1,300</strong></td>
</tr>
<tr><td colspan="4" rowspan="1" data-sheets-value='{"1":2,"2":"Source: KRX"}'>Source: KRX</td></tr>
</tbody>
</table>

No concrete saying on Samsung's year-end special dividend yet.That means we should still expect an additional ₩6.5T to fill up to meet the 3-yr 50% FCF target, which then translates into a ₩1,304 year-end DPS (ord) based on the current street consensus.





Special &amp; interim div-adjusted div yield

Common DPS (incl. special div)
₩1,304


: Price
₩72,800


: Dividend yield
1.79%


1P DPS (incl. special div)
₩1,306


: Price
₩68,700


: Dividend yield
1.90%


Difference
0.10%p


- 1P div. yield premium
6.13%

Source: DART, SEIBro, &amp; FnGuide

It is a 1.8% div yield at the current price (ord). Well, it is not too bad for two weeks of holding.Then, the problem is, of course, hedging.Samsung's single-stock futures are plenty in circulation, easily over 0.6x spot. But F 202001 is currently in severe backwardation at -1,300~-1,500, which is pretty much in line with the market consensus DPS to cancel each other.








Date
Spot
F 202101
Basis


12/17/20
72,800
71,300
-1,500


12/16/20
73,800
72,500
-1,300


12/15/20
73,800
72,500
-1,300

Source: KRX



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