Метод расчета финансового рычага конкурентов
В качестве конкурентов ОАО «Уралкалий» были выбраны следующие компании: Mosaic Company, K+S Group, Potash Corp, Compass Minerals и Yara International. Все эти компании, как и «Уралкалий», занимаются производством удобрений, имеют сходные деловые риски.
Расчитанные значения финансового рычага представлены в таблице:
|
|
Капитализация |
Долг |
Рычаг |
|
K+S |
10 800 000 000,00 |
786 600 000,00 |
0,0728 |
|
Mosaic |
15 757 104 636,00 |
2 252 000 000,00 |
0,1429 |
|
Potash Corp |
44 197 926 630,00 |
5 584 106 000,00 |
0,1263 |
|
Compass Minerals |
11 390 852 000,00 |
528 300 000,00 |
0,0464 |
|
Yara International |
89 047 012 500,00 |
13 287 000 000,00 |
0,1492 |
Mosaic Corp. Метод расчета wacc
В качестве компании для сравнения была выбрана компания Mosaic Corp. Она сопоставима с ОАО «Уралкалий», так как обе компании находятся на одной стадии жизненного цикла (зрелость) и имеют сходные деловые риски.
Рассчитаем затраты на заемный и собственный капитал. Ставка по заемному капиталу, рассчитанная как отношение процентов к уплате к сумме долга, равна 4,5%. Затраты на собственный капитал рассчитаем по модели САРМ:
Для текущего уровня долга (D/E=0,15) ставка затрат на собственный капитал составила 12,94% (β=1,65).
Расчет значений WACC представлен в приложении 1. Минимальное значение средневзвешенных затрат на собственный капитал достигается при уровне финансового рычага 50%.
|
Приложение 1. Минимизация WACC |
|
||||||||||||||||||||
|
D/(D+E) |
0% |
5% |
10% |
15% |
20% |
25% |
30% |
35% |
40% |
45% |
50% |
55% |
60% |
65% |
70% |
75% |
80% |
85% |
90% |
95% |
|
|
D/E |
0% |
5% |
11% |
18% |
25% |
33% |
43% |
54% |
67% |
82% |
100% |
122% |
150% |
186% |
233% |
300% |
400% |
567% |
900% |
1900% |
|
|
Долг |
0 |
13328.1 |
26656.2 |
39984.3 |
53312.4 |
66640.5 |
79968.6 |
93296.7 |
106624.8 |
119952.9 |
133281 |
146609.1 |
159937.2 |
173265.3 |
186593.4 |
199921.5 |
213249.6 |
226577.7 |
239905.8 |
253233.9 |
|
|
Проценты |
0 |
718.38 |
1436.77 |
2155.15 |
2953.51 |
3925.13 |
4710.15 |
5588.47 |
6386.83 |
7784.94 |
11515.48 |
14866.16 |
16217.63 |
22333.90 |
24051.89 |
29768.31 |
36017.86 |
38268.97 |
40520.09 |
42771.21 |
|
|
EBIT |
20450 |
20450 |
20450 |
20450 |
20450 |
20450 |
20450 |
20450 |
20450 |
20450 |
20450 |
20450 |
20450 |
20450 |
20450 |
20450 |
20450 |
20450 |
20450 |
20450 |
|
|
ICR |
∞ |
28.467 |
14.233 |
9.489 |
6.924 |
5.210 |
4.342 |
3.659 |
3.202 |
2.627 |
1.776 |
1.376 |
1.261 |
0.916 |
0.850 |
0.687 |
0.568 |
0.534 |
0.505 |
0.478 |
|
|
Синтет. рейтинг |
ААА |
ААА |
ААА |
ААА |
АА |
A |
A |
A- |
A- |
BBB |
B+ |
B- |
B- |
CCC |
CCC |
CC |
C |
C |
C |
C |
|
|
Kd |
5.39% |
5.39% |
5.39% |
5.39% |
5.54% |
5.89% |
5.89% |
5.99% |
5.99% |
6.49% |
8.64% |
10.14% |
10.14% |
12.89% |
12.89% |
14.89% |
16.89% |
16.89% |
16.89% |
16.89% |
|
|
Kd(AT) |
4.55% |
4.55% |
4.55% |
4.55% |
4.68% |
4.98% |
4.98% |
5.06% |
5.06% |
5.48% |
7.30% |
8.57% |
8.57% |
10.89% |
10.89% |
12.58% |
14.27% |
14.27% |
14.27% |
14.27% |
|
|
Beta |
1.53 |
1.60 |
1.68 |
1.76 |
1.86 |
1.96 |
2.09 |
2.23 |
2.39 |
2.59 |
2.83 |
3.11 |
3.47 |
3.94 |
4.55 |
5.42 |
6.71 |
8.87 |
13.18 |
26.13 |
|
|
Tax rate |
15.5% |
15.5% |
15.5% |
15.5% |
15.5% |
15.5% |
15.5% |
15.5% |
15.5% |
15.5% |
15.5% |
15.5% |
15.5% |
15.5% |
15.5% |
15.5% |
15.5% |
15.5% |
15.5% |
15.5% |
|
|
Rf |
4.89% |
4.89% |
4.89% |
4.89% |
4.89% |
4.89% |
4.89% |
4.89% |
4.89% |
4.89% |
4.89% |
4.89% |
4.89% |
4.89% |
4.89% |
4.89% |
4.89% |
4.89% |
4.89% |
4.89% |
|
|
RP |
6.03% |
6.03% |
6.03% |
6.03% |
6.03% |
6.03% |
6.03% |
6.03% |
6.03% |
6.03% |
6.03% |
6.03% |
6.03% |
6.03% |
6.03% |
6.03% |
6.03% |
6.03% |
6.03% |
6.03% |
|
|
Ke |
14.13% |
14.54% |
14.99% |
15.50% |
16.08% |
16.73% |
17.47% |
18.33% |
19.33% |
20.51% |
21.93% |
23.67% |
25.84% |
28.62% |
32.34% |
37.54% |
45.35% |
58.36% |
84.38% |
162.43% |
|
|
WACC $ |
14.13% |
14.04% |
13.95% |
13.86% |
13.80% |
13.79% |
13.72% |
13.69% |
13.62% |
13.75% |
14.62% |
15.36% |
15.48% |
17.10% |
17.33% |
18.82% |
20.49% |
20.88% |
21.28% |
21.68% |
|
|
WACC руб |
22.34% |
22.24% |
22.15% |
22.05% |
21.98% |
21.97% |
21.90% |
21.86% |
21.80% |
21.93% |
22.86% |
23.66% |
23.78% |
25.52% |
25.76% |
27.37% |
29.15% |
29.58% |
30.01% |
30.43% |
|
Приложение 2. Расчет оптимального долга
|
|
|
2011 |
2012 |
2013 |
2014 |
2015 |
2016 |
2017 |
2018 |
2019 |
|
||
|
Темп прироста |
0.3 |
0.2 |
0.15 |
0.1 |
0.1 |
0.1 |
0.1 |
0.1 |
0.05 |
||||
|
прогнозный FCFF |
19635.42 |
23562.51 |
27096.88 |
29806.57 |
32787.23 |
36065.95 |
39672.54 |
43639.80 |
45821.79 |
||||
|
D/(D+E) |
WACC |
Приведенный FCFF |
TCF |
Value |
|||||||||
|
0% |
22.34% |
16050.49 |
15744.09 |
14800.06 |
13307.73 |
11965.88 |
10759.34 |
9674.45 |
8698.95 |
264325.71 |
365326.70 |
||
|
5% |
22.24% |
16062.92 |
15768.50 |
14834.49 |
13349.03 |
12012.31 |
10809.45 |
9727.04 |
8753.02 |
265777.85 |
367094.61 |
||
|
10% |
22.15% |
16075.38 |
15792.96 |
14869.02 |
13390.48 |
12058.96 |
10859.84 |
9779.97 |
8807.47 |
267246.03 |
368880.11 |
||
|
20% |
21.98% |
16096.76 |
15835.00 |
14928.44 |
13461.87 |
12139.38 |
10946.81 |
9871.39 |
8901.63 |
269799.24 |
371980.51 |
||
|
30% |
21.90% |
16107.42 |
15855.99 |
14958.12 |
13497.57 |
12179.63 |
10990.38 |
9917.25 |
8948.90 |
271087.96 |
373543.22 |
||
|
35% |
21.86% |
16112.76 |
15866.49 |
14972.99 |
13515.46 |
12199.82 |
11012.24 |
9940.27 |
8972.65 |
271736.95 |
374329.63 |
||
|
40% |
21.80% |
16121.70 |
15884.09 |
14997.91 |
13545.47 |
12233.68 |
11048.93 |
9978.92 |
9012.53 |
272829.77 |
375653.00 |
||
|
45% |
21.93% |
16103.68 |
15848.61 |
14947.69 |
13485.02 |
12165.48 |
10975.06 |
9901.12 |
8932.27 |
270634.13 |
372993.07 |
||
|
50% |
22.86% |
15981.94 |
15609.89 |
14611.24 |
13081.84 |
11712.53 |
10486.55 |
9388.90 |
8406.14 |
256559.88 |
355838.91 |
||
|
60% |
23.78% |
15863.13 |
15378.68 |
14287.81 |
12697.17 |
11283.62 |
10027.44 |
8911.10 |
7919.05 |
243989.67 |
340357.67 |
||
|
70% |
25.76% |
15612.83 |
14897.19 |
13622.09 |
11914.55 |
10421.06 |
9114.78 |
7972.24 |
6972.91 |
220672.19 |
311199.84 |
||
Приложение 3. Расчет APV
|
APV |
||||||||||||||||||||
|
D/(D+E) |
0% |
5% |
10% |
15% |
20% |
25% |
30% |
35% |
40% |
45% |
50% |
55% |
60% |
65% |
70% |
75% |
80% |
85% |
90% |
95% |
|
V unlevered |
365326.70 |
365326.70 |
365326.70 |
365326.70 |
365326.70 |
365326.70 |
365326.70 |
365326.70 |
365326.70 |
365326.70 |
365326.70 |
365326.70 |
365326.70 |
365326.70 |
365326.70 |
365326.70 |
365326.70 |
365326.70 |
365326.70 |
365326.70 |
|
V lev |
365326.70 |
378654.80 |
391982.90 |
405311.00 |
418639.10 |
431967.20 |
445295.30 |
458623.40 |
471951.50 |
485279.60 |
498607.70 |
511935.80 |
525263.90 |
538592.00 |
551920.10 |
565248.20 |
578576.30 |
591904.40 |
605232.50 |
618560.60 |
|
Синт.рейтинг |
ААА |
ААА |
ААА |
ААА |
АА |
A |
A |
A- |
A- |
BBB |
B+ |
B- |
B- |
CCC |
CCC |
CC |
C |
C |
C |
C |
|
Вероятность банкротства |
0.07% |
0.07% |
0.07% |
0.07% |
0.51% |
0.66% |
0.66% |
2.50% |
2.50% |
7.54% |
25.00% |
45.00% |
45.00% |
59.01% |
59.01% |
70.00% |
85.00% |
85.00% |
85.00% |
85.00% |
|
BC=25%V |
91331.67 |
94663.70 |
97995.72 |
101327.75 |
104659.77 |
107991.80 |
111323.82 |
114655.85 |
117987.87 |
121319.90 |
124651.92 |
127983.95 |
131315.97 |
134648.00 |
137980.02 |
141312.05 |
144644.07 |
147976.10 |
151308.12 |
154640.15 |
|
PV BC |
1186.13 |
1229.40 |
1272.67 |
1315.94 |
9634.74 |
12100.95 |
12474.32 |
47853.03 |
49243.69 |
140947.93 |
360682.65 |
567976.11 |
582763.20 |
616414.15 |
631668.06 |
664327.97 |
727930.51 |
744699.14 |
761467.77 |
778236.40 |
|
PV TS |
0.00 |
2065.86 |
4131.71 |
6197.57 |
8263.42 |
10329.28 |
12395.13 |
14460.99 |
16526.84 |
18592.70 |
20658.56 |
22724.41 |
24790.27 |
26856.12 |
28921.98 |
30987.83 |
33053.69 |
35119.54 |
37185.40 |
39251.25 |
|
APV |
357140.57 |
360163.16 |
361185.74 |
363208.32 |
358955.38 |
363555.03 |
365247.51 |
331934.66 |
332609.86 |
242971.47 |
25302.60 |
-179925.00 |
-192646.24 |
-224231.33 |
-237419.38 |
-268013.44 |
-329550.13 |
-344252.90 |
-358955.67 |
-373658.44 |
Приложение 4. Рейтинговые показатели
|
If interest coverage ratio is |
||||
|
> |
≤ to |
Rating is |
Spread is |
Bankruptcy Probability |
|
-100000 |
0.199999 |
D |
15.00% |
100% |
|
0.2 |
0.649999 |
C |
12.00% |
85% |
|
0.65 |
0.799999 |
CC |
10.00% |
70.00% |
|
0.8 |
1.249999 |
CCC |
8.00% |
59.01% |
|
1.25 |
1.499999 |
B- |
5.25% |
45.00% |
|
1.5 |
1.749999 |
B |
5.00% |
36.80% |
|
1.75 |
1.999999 |
B+ |
3.75% |
25.00% |
|
2 |
2.2499999 |
BB |
3.35% |
16.63% |
|
2.25 |
2.49999 |
BB+ |
3.00% |
10.00% |
|
2.5 |
2.999999 |
BBB |
1.60% |
7.54% |
|
3 |
4.249999 |
A- |
1.10% |
2.50% |
|
4.25 |
5.499999 |
A |
1.00% |
0.66% |
|
5.5 |
6.499999 |
A+ |
0.85% |
0.60% |
|
6.5 |
8.499999 |
AA |
0.65% |
0.51% |
|
8.50 |
100000 |
AAA |
0.50% |
0.07% |
Приложение 5. Расчет WACC для Mosaic Company
|
Market Cap |
15757104636 |
15757104636 |
15757104636 |
15757104636 |
15757104636 |
1,5757E+10 |
1,5757E+10 |
15757104636 |
1,5757E+10 |
|
D/E |
0% |
10% |
15% |
20% |
30% |
40% |
50% |
60% |
70% |
|
Долг |
0 |
1575710464 |
2363565695 |
3151420927 |
4727131391 |
6302841854 |
7878552318 |
9454262782 |
1,103E+10 |
|
Проценты |
0 |
70906970,86 |
106360456,3 |
141813941,7 |
229265872,5 |
321444935 |
401806168 |
874519307,3 |
1323596789 |
|
EBIT |
1270800000 |
1270800000 |
1270800000 |
1270800000 |
1270800000 |
1270800000 |
1270800000 |
1270800000 |
1270800000 |
|
ICR |
∞ |
17,9220743 |
11,94804953 |
8,961037149 |
5,542909577 |
3,95339874 |
3,16271899 |
1,453141159 |
0,96011112 |
|
Синтет. рейтинг |
ААА |
ААА |
ААА |
AAA |
A+ |
A- |
A- |
B- |
CCC |
|
Kd |
4,50% |
4,50% |
4,50% |
4,50% |
4,85% |
5,10% |
5,10% |
9,25% |
12,00% |
|
Kd(AT) |
3,20% |
3,20% |
3,20% |
3,20% |
3,44% |
3,62% |
3,62% |
6,57% |
8,52% |
|
Beta |
1,45 |
1,55 |
1,60 |
1,65 |
1,75 |
1,86 |
1,96 |
2,06 |
2,16 |
|
Tax rate |
29,0% |
29,0% |
29,0% |
29,0% |
29,0% |
29,0% |
29,0% |
29,0% |
29,0% |
|
Rf |
3,29% |
3,29% |
3,29% |
3,29% |
3,29% |
3,29% |
3,29% |
3,29% |
3,29% |
|
RP |
6,03% |
6,03% |
6,03% |
6,03% |
6,03% |
6,03% |
6,03% |
6,03% |
6,03% |
|
Ke |
12,01% |
12,63% |
12,94% |
13,25% |
13,87% |
14,49% |
15,10% |
15,72% |
16,34% |
|
WACC $ |
12,01% |
11,69% |
11,48% |
11,24% |
10,74% |
10,14% |
9,36% |
10,23% |
10,87% |
1 Сайт А. Дамодарана, режим доступа: [http://damodaran.com]
2 По данным сайта Forexpros – financial markets worldwide, режим доступа:[http://www.forexpros.com/indices/uk-100-historical-data]
3 Новостной портал Бизнес-Финансы: http://www.bfm.ru/news/2011/01/11/infljacija-v-rossii-v-2010-godu-sostavila-8-8.html
4 Новостной портал РБК: http://top.rbc.ru/economics/14/01/2011/527562.shtml
5 Сайт Дамодарана. - http://pages.stern.nyu.edu/~adamodar/