20181219-法国巴黎银行-Euro_STOXX_50_dividend_monitor_19页_1mb

报告摘要

FOCUS | SX5E Dividends Summary

Core Content

This document provides an analysis of the Euro STOXX 50 dividend expectations and the implications for dividend futures contracts (DEDZ), particularly focusing on the DEDZ8 and DEDZ9 contracts. It outlines the current dividend outlook, the impact of market conditions on dividend yield expectations, and the potential for investment returns (IRR) in the context of the dividend curve and beta hedging.

Key Messages

DEDZ8 Settles at 125.62: All dividends for the DEDZ8 contract have gone ex, and the contract will settle at 125.62 points.
DEDZ9 IRR Attractive: More than 80% of 2019 dividends are expected to be announced within the next ten weeks, making the DEDZ9 contract an attractive IRR opportunity.
SX5E Dividend Curve Shift: The SX5E dividend curve has shifted lower in the last month, with beta to the underlying index spiking above historical averages. This suggests that mid-term carry could still be attractive when beta is hedged.
Long-term Dividends as Hedge: Long-term dividends may offer an attractive hedge for mid-term dividend beta, as the long-term implied dividend yield has pulled back closer to the long-term regression level but remains slightly above the long-term trend line.
2020 and 2021 Maturities: These are highlighted as the sweet spot for 1y expected return based on the current base case scenarios and the dividend risk premium term structure.

Main Points and Key Information

Dividend Estimates

2018 Base Case: The SX5E dividend is expected to settle at 125.62.
2019 Base Case: The base case for 2019 is 122.1, with an upside of 2.5%.
2020 Base Case: The base case for 2020 is 129.8, showing a 7.64% upside from 2019.
2021 Base Case: The base case for 2021 is 133, with an expected 12.1% upside from 2020.

Sector Analysis

Sector	2018 Base	2018 YoY	2018 P/o (%)	2019 Base	2019 YoY	2019 P/o (%)	2020 Base	2020 YoY	2020 P/o (%)
Basic Materials	7.3	8.2	0.82	8.0	-0.16	-2%	8.3	0.30	4%
Consumer Goods	18.0	19.4	1.38	18.4	-0.98	-5%	19.4	0.97	5%
Consumer Services	2.8	3.2	0.39	4.3	1.04	32%	4.0	-0.24	-6%
Banks	21.8	22.8	0.93	23.2	0.40	2%	23.7	0.55	2%
Insurance	9.7	10.2	0.53	11.0	0.80	8%	11.9	0.86	8%
Real Estate	2.0	2.1	0.12	2.2	0.13	6%	2.3	0.10	4%
Health Care	10.2	10.5	0.33	10.7	0.22	2%	11.1	0.35	3%
Industrials	11.5	12.3	0.84	13.1	0.79	6%	13.9	0.82	6%
Oil & Gas	11.9	14.5	2.59	10.1	-4.40	-30%	12.8	2.66	26%
Technology	4.5	5.1	0.62	5.7	0.55	11%	6.2	0.54	10%
Telecommunications	7.1	7.5	0.37	7.9	0.37	5%	8.1	0.22	3%
Utilities	6.7	7.1	0.39	7.6	0.57	8%	8.1	0.51	7%

Revised 2019 Base Case

Daimler: A 40% dividend payout, resulting in a EUR3 dividend.
Ahold Delhaize: An additional interim dividend due to shift from annual to semi-annual payments.
Kering: A higher estimate for FY18 dividend due to interim announcement.
Axa: Revised upwards due to a new dividend payout range of [50%; 60%].

Beta Hedging

Mid-term carry appears attractive when beta is hedged, with three-month beta spiking above 130% on long-term maturities.
Long-term dividends could still be used to hedge for mid-term dividend beta.

Dividend Risk Premium

The 2020 and 2021 maturities are identified as the sweet spot for 1y expected return based on current base case scenarios and the dividend risk premium term structure.

Key Figures and Charts

Fig. 1: SX5E dividend overview, showing the dividend index points and expected upside.
Fig. 2: Long-term dividend yield back to historical levels versus European bond yields.
Fig. 3: Constant maturity implied dividend growth (y/y & 5y percentile).
Fig. 4: Earnings and dividend overview.

Disclaimer

The document is non-independent research and may be subject to conflicts of interest.
It is a marketing communication and not intended for use by persons who are not professional clients or eligible counterparties.
The information and opinions are based on public sources and may not have been independently verified.
BNP Paribas does not accept responsibility or liability for the accuracy or completeness of the information.