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Список литературы по оценочной деятельности > Показатели свободного денежного потока как инструменты финансового моделирования на примере ПАО Сургутнефтегаз

Показатели свободного денежного потока как инструменты финансового моделирования на примере ПАО Сургутнефтегаз

Бахарева И.В. Показатели свободного денежного потока как инструменты финансового моделирования на примере ПАО Сургутнефтегаз // Научный Альманах ассоциации France-Kazakhstan. 2019. № 2. С. 58-61.

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Фрагмент работы на тему "Показатели свободного денежного потока как инструменты финансового моделирования на примере ПАО Сургутнефтегаз"

BULLETIN ALMANACH SCIENCE ASSOCIATION FRANCE-KAZAKHSTAN, 2019/2 58 УДК: 330.1 Irina Vladimirovna Bakhareva Master student of International Business School and Global Economics Plekhanov Russian University of Economics Russian Federation, 117997, Moscow, Stremyanny lane, 36 E-mail: [email protected] Abstract. The article presents a free cash flow-based valuation methodology for an oil and gas company with the predominance of equity in its capital structure. The model incorporates three stages of development and yields a fairvalue estimate of the company’s equity. It was observed that the company share price was substantially lower than the fair value produced by the model in this article. The article was written under supervision of I.V. Sokolnikova, PhD in Economics, Associate Professor at PRUE. Keywords: free cash flow, financial modelling, company valuation, cost of equity, oil and gas industry. FREE CASH FLOW-BASED METRICS AS TOOLS OF FINANCIAL MODELLING ON THE EXAMPLE OF PJSC SURGUTNEFTEGAS 1. Введение. Free cash flow-based (FCF-based) metrics serve as invaluable tools in evaluating a company’s actual operating performance and cash position with regard to growth-oriented investments and shareholder value. Free Cash Flow to Equity (FCFE) provides insight into how much value can be potentially received by shareholders, free cash flow to debt (FCFD) – by debtholders, and free cash flow to the firm (FCFF) as the overall amount of cash that can be distributed among all stakeholders of the company. FCF-based models have been widely used in company and equity valuation [1, 2]. Although there is no formal consensus on what FCF is and its calculation, analysts offer their own approaches to evaluate what a firm can pay out to stockholders without impairing its sustainable growth, ort he firm’s financial worth. All mentioned above determined the main aim of the article – to study FCF-based models as tools of financial model development for company valuation [3, 4]. 2. Методика. According to the intrinsic valuation approach, the value of a firm can be calculated as a sum of the firm’s future cash flows, during and after the forecast period, discounted to the present at the cost of capital. The enterprise DCF model is based on cash inflows and cash outflows rather. FCF, the measure independent of the company’s capital structure and non-operating activities, serves as the basis for valuation. For the purposes of the current research, FCFF of a firm will be calculated as EBIT – earnings before interest and tax, tmarg –marginal profit tax; D&A –change in depreciation and amortization; CapEx –change in capital expenditure. Future (forecasted) cash flows to investors are discounted at the weighted average cost of capital (WACC),i.e. a blended rate of return required by the company’s debt and equity holders, or the opportunity cost of funds. Then the enterprise value for such a firm equals the summed value of discounted FCFF. BULLETIN ALMANACH SCIENCE ASSOCIATION FRANCE-KAZAKHSTAN, 2019/2 59 g – terminal period growth rate. The firm’s ability to generate positive FCFE means that the firm’s operating activities are enough to cover the firm’s reinvestment needs as well as generate a return to shareholders. For current research purposes, FCFE is calculated as where net CapEx for the period is capital expenditures less D&A, net debt is the newly issued debt less principal repayment less additional preferred stock issues and preferred dividends paid out, and net working capital (NWC) is non-cash. If a company is expected to undergo a temporary accelerated growth period and then grow at a stable rate, then the FCFE model inputs change accordingly. In case of such twophased growth, the FCFE model takes the following form: where ke,hg is the cost of equity during the high growth period, ke,st is the cost of equity at the stable growth period, and gn is the FCFE growth rate in perpetuity. The article is devoted to study practical application of FCFF and FCFE approaches to valuate Russian oil and gas company PJSC Surgutneftegaz. 3. Основная часть. The choice of a FCF model to apply to Surgutneftegaz valuation depends on several assumptions: 1. The company is expected to grow at a higher rate in the medium term, i.e. the next two to four years. The global oil demand is projected to rise from 96,5mb/d to 102,3 mb/d during the period 2016-2022, increasing on average by 50 million tons of oil per year, with the highest growth to be observed in Asia, Africa and the Middle East [5, 6]. As Surgutneftegaz expands its oil and gas extraction activities and continues with its cost optimization [7], its growth may be accelerated further by oil price increases and ruble appreciation. 2. After the period of high growth, the company may experience a slump in financial performance due to the recessionary cycle and the deceleration of the global annual oil demand growth, caused, among other factors, by higher oil prices, improved technological efficiency, lower population growth and the more pronounced shift to alternative sources of energy and electric vehicles. 3. After the period of high growth and the transition period that follows, the company is expected to remain in stable growth. 4. The company has a stable capital structure with a very low portion of interestbearing debt, with extraordinary gains and losses coming from changes in the external environment (changes in export tariffs, currency fluctuations, political issues, etc.) rather than the company’s operating activity. 5. The company has a high retention rate, a long history of cash accumulation, and the dividends paid out are much lower than they could have been. To include all these factors into the company’s valuation procedure, the author considers it best to apply a FCFE-based DCF model that reflects three distinct stages in the company’s projected growth, i.e. a period of high growth, a period of decline, and then a period of stable growth in perpetuity. The three-phase FCFE model can be written in the following equation form: BULLETIN ALMANACH SCIENCE ASSOCIATION FRANCE-KAZAKHSTAN, 2019/2 60 n1 - high growth period – 3 years; n2 - transition period (decline) – 5 years;stable period - from year 8 to perpetuity;g –growth rate for stable growth period [8]. The cost of equity input for the DCF model is estimated via the capital asset pricing model (CAPM). The 10-year government bond rate at 8.45 percent, the company’s beta of 0.896 and the total equity risk premium of 7.96 percent, i.e. country risk premium added to the mature market premium, yield the return on equity of 15.56 percent, which is higher compared to the average cost of capital of international counterparts of Surgutneftegazin the oil and gas industry [9, 10]. The assumption for post-high-growth period growth rate is that it will decline steadily until it reaches stable growth of 3 percent, since the Russian economy is expected to grow at 2 to 3 percent per annum until 2020. Table 1. FCFE Calculation for Three Periods, billion rubles Year 1 2 3 4 5 6 7 8 9 Growth rate 18,3% 18,3% 18,3% 12% 10% 8% 6% 3% 3% ke 15,6% 15,6% 15,6% 15,2% 14,8% 14,4% 14,0% 13,6% 13,6% Beta 0,896 0,896 0,896 0,91 0,92 0,93 0,94 0,95 0,95 Earnings less Preferred Shares 213,4 254,6 303,4 341,2 363,8 381,3 392,7 392,9 392,8 Adjusted CapEx– D&A 109,8 142,8 185,6 173,3 194,1 217,3 243,4 272,6 140,4 Adjusted Change in NWC 21,2 25,4 30,5 34,1 45,8 61,6 82,8 11,1 149,6 FCFE 82,4 86,5 87,3 133,9 123,9 102,4 66,4 9,0 102,8 PV 71,3 64,7 56,6 76,0 62,2 45,7 26,6 3,2 971,1 Source: according to Surgutneftegaz financial data and author’s calculations The present value of FCFE during the accelerated growth period is 192 550 million rubles, whereas the present value of FCFE during the longer transition period is 406 289 million rubles. The horizon value is 971 135 million rubles, which, discounted at the cumulative cost of equity, yields the present equity value of 282 775 million rubles. The value of the company is the sum of the present values for the three periods and the cash items, such as cash and cash equivalents and deposits previously eliminated from the model, or 1,931 trillion rubles, or 54 rubles of value per share. 4. Заключение. The model yields the fair common share price of 54 rubles, which is two times the current market price of common shares of Surgutneftegaz [11]. This means that, based on its reinvestment history, the company possesses significant growth potential. The model could serve as a potential valuation tool for companies that have no or insubstantial amounts of interestbearing debt on their balance sheets and that are expected to undergo severaldistinct stages of development. However, the model possesses substantial limitations in that it relies on subjective estimates of macroeconomic and internal growth. Литература. 1. Журавская, Г.С., Сокольникова, И.В. Эффективность российских нефтяных компаний: налоговый аспект // Актуальные проблемы финансового менеджмента: сб. Межд. научно-практической конференции (Бургас, Болгария, 25-29 июля, 2016г.). BULLETIN ALMANACH SCIENCE ASSOCIATION FRANCE-KAZAKHSTAN, 2019/2 61 – Болгария: Институт гуманитарных наук, экономики и информационных наук (Бургас), 2016 - с. 294-303. 2. Семенова Г. Н., Чайковская Л. А. Налоги и налогообложение в Российской Федерации: учебное пособие. М.: ФГБОУ ВПО РЭУ, 2011. 3. Семенова Г.Н. Инновационное развитие экономики России // Вестник Московского государственного областного университета. 2011. № 1. С. 233-237. 4. Понкратов В.В. Налоговый маневр в нефтедобывающей промышленности России - попытка гармонизации фискальных систем в рамках таможенного союза // Белорусский экономический журнал. – 2014. – №3. – С. 76-85. 5. Государственное антикризисное управление в нефтяной отрасли: монография / А. З. Бобылева [и др.]; под ред. А. З. Бобылевой, О. А. Львовой. — М. : Издательство Юрайт, 2019. — 326 с. — (Серия: Актуальные монографии). — ISBN 978-5-534- 06501-5. 6. Павлова Л.Н. Бюджетное финансирование и проблема государственного долга // Экономист. 1996. № 4. С. 71-76. 7. Турищева Т.Б. Учет расчетов по заграничным командировкам: теоретические и практические аспекты // В сборнике: The International Scientific and Practical Congress of Economists and Lawyers “The genesis of genius” ISAE "Consilium". 2014. С. 256-271. 8. Юхимов Я.И., Иванова Я.Я. 10-летие НДПИ: основные проблемы и пути совершенствования // Горный журнал. 2012. № 9. С. 59-63. 9. Агеев, А.И. Управление цифровым будущим // МИР НОВОЙ ЭКОНОМИКИ. – 2018. – №12. – С. 6–23. – DOI: 10.26794/2220-6469- 2018-12-3-6-23. 10. Балихина Н.В. Косов М.Е. Финансы и налогообложение организаций: учебник. - Электрон. текстовые данные. -М.: ЮНИТИ-ДАНА, 2013. -623 c. -Режим доступа: -ЭБС «IPRbooks», по паролю. 11. Понкратов В.В. Цена на нефть. В поисках дна // Мир новой экономики. – 2016. – №1. – С. 32-37. Ирина Владимировна Бахарева магистрант, Международная Школа Бизнеса и Мировой Экономики Российский Экономический Университет имени Г.В. Плеханова Российская Федерация, г. Москва, 117997, Стремянный пер., 36 E-mail: [email protected] Аннотация. В статье представлена методология оценки свободного денежного потока нефтегазовой компании с преобладанием собственного капитала над заемным. Трехэтапная оценочная модельдает оценку справедливой стоимости капитала и компании в целом. Было выявлено, что цена акций компании существенно ниже, чем справедливая стоимость, которая была получена автором модели. Статья выполнена под научным руководством И.В. Сокольниковой, к.э.н., доцент, кафедра финансового менеджмента РЭУ им. Г.В. Плеханова. Ключевые слова: свободный денежный поток, финансовое моделирование, оценка компании, стоимость собственного капитала, нефтегазовая отрасль ПОКАЗАТЕЛИ СВОБОДНОГО ДЕНЕЖНОГО ПОТОКА КАК ИНСТРУМЕНТЫ ФИНАНСОВОГО МОДЕЛИРОВАНИЯ НА ПРИМЕРЕ ПАО СУРГУТНЕФТЕГАЗ

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