20171116-三星证券-Annual_dividend_to_rise_again_8页_661kb

Summary of Derivatives Spot Report

Core Content

This report provides an analysis of the dividend trends and futures spread valuations for the Kospi 200 and Kosdaq 150 indices in 2017. It is authored by analysts Soomyung Kim and Gyun Jun from Samsung Securities, dated November 16, 2017.

Key Findings

Kospi 200 Dividend Outlook

• Annual Dividend Increase: The total annual dividend for Kospi 200 stocks is expected to rise by 26% year-over-year (y-y) from KRW11.43t to KRW14.4t.
• Dividend Yield Decline: Despite the increase in dividends, the dividend yield is expected to fall from 1.81% to 1.58% due to the index's strong gains and the increase in market capitalization.
• 4Q17 Dividend Decline: The 4Q17 dividend portion for the Kospi 200 is likely to decrease slightly y-y as large-cap companies like Samsung Electronics (SEC), Posco, and SK Innovation have expanded their quarterly dividends, reducing the 4Q share of total annual dividends.
• SEC's Dividend Changes: SEC raised its quarterly DPS from KRW1,000 in 2016 to KRW21,000 in 2017. As of 4Q17, it is expected to pay KRW14,000 in the fourth quarter, reflecting a significant increase.
• Dividend Index and Spread Estimates: The estimated dividend index for March Kospi 200 futures is 4.21pts, while the theoretical December-March spread is at -3.16pts, slightly lower than the consensus estimate of -3.18pts.

Kosdaq 150 Dividend Outlook

• Annual Dividend Growth: The total annual dividend for Kosdaq 150 stocks is projected to increase by 12% y-y from KRW304.2b to KRW340b.
• Dividend Yield Decline: The dividend yield for the Kosdaq 150 is expected to fall from 0.50% to 0.43%, due to a rise in the index's market cap.
• Spread Valuation: The adequate theoretical December-March spread for Kosdaq 150 is estimated at -1.11pts, but the current spread is not actively traded, leading to potential overvaluation.

Main Views

• Dividend Trends: Both indices are expected to see a rise in total dividends in 2017, but the dividend yield will decline due to market capitalization growth.
• Futures Spread Analysis: The December-March spread for Kospi 200 futures is overvalued, as it is trading between -2.5pts and -2.7pts, above the theoretical spread of -3.16pts.
• Market Dynamics: The spread levels are heavily influenced by supply and demand dynamics, and the lack of active spread trading contributes to overvaluation.
• Investor Behavior: Investors tend to prefer direct rollover of futures contracts rather than spread trading, which has become more common in recent quarters.

Key Information

Dividend Data for 2016 and 2017

Spread Data

Market Cap and Dividend Changes

• Kospi 200 Market Cap: Increased by 30% y-y due to Kakao's transfer to the Kospi.
• Kosdaq 150 Market Cap: Rose by 39% ytd, contributing to the rise in dividend yield.

Conclusion

The report highlights that while dividend payouts are expected to increase in 2017, dividend yields will likely decline for both the Kospi 200 and Kosdaq 150 indices. The December-March spread for Kospi 200 futures is considered overvalued, and the same is expected for the Kosdaq 150 futures due to lack of active spread trading and increased demand from leverage and inverse ETFs. The analysis also notes that Samsung Electronics and Kepco are expected to see a decline in 4Q17 dividends due to changes in their payout schedules.