J.P. 摩根-亚太地区-房地产行业-新加坡REITs：使用基于资本回报的估值方法来识别错误定价-2019.4.2-72页.pdf

Asia Pacific Equity Research02 April 2019Magic Multiples and Singapore REITsUsing return on capital-based valuation methodologies to identify mispricingSingaporeConglomerates and PropertyFraser Smith AC(65)6882-J.P.Morgan Securities Singapore Private LimitedTerence M Khi AC(65)6882-Bloomberg JPMA TKHI J.P.Morgan Securities Singapore Private LimitedCusson Leung,CFA(852)2800-J.P.Morgan Securities(Asia Pacific)LimitedAjay Mirchandani(65)6882-J.P.Morgan Securities Singapore Private LimitedSee page 70 for analyst certification and important disclosures,including non-US analyst disclosures.J.P.Morgan does and seeks to do business with companies covered in its research reports.As a result,investors should be aware that the firm may have a conflict of interest that could affect the objectivity of this report.Investors should consider this report as only a single factor in making their investment decision.Historically,SREITs trade more on returns of capital rather than underling asset values,with P/Bs vs ROEs showing average historical correlation of 0.95 and R2 of 0.91.This implies SREITs trade more like Banks with the most efficient user of capital being awarded the highest valuation.In this report,we use return-on-capital based valuation methodologies to identify potential mispricing.Based on our analysis we move AREIT to top pick,reiterate our preference for CCTKREIT/SUN and highlight potential outperformance for CT.Using return on capital-based methodologies.Stocks with the most implied upside to current share prices using a return-on-capital based methodology are CT(N)and AREIT(OW).Most downside is for MCT(OW)and MLT(OW).Our back-testing analysis shows average one-year outperformance vs FSTREI of 8.1%if we invested in the stock with most implied upside in each of the pastfive years.This suggests potential outperformance/upside for CT.However,on fundamentals,we think weaker-than-expected performance for Funan could weigh on CTs performance.We are more bullish on the fundamental outlook for AREIT.This methodology is poorer at predicting under performance,potentially as it does not factor in accretion from anticipated acquisitions/portfolio rejuvenation etc.,key drivers for OW ratings on MCT/MLT.Implied growth rates support our preference for AREIT and CCT.From our FY21 ROE estimates,we have derived the long-term growth rate implied by each SREITs current share price.The results point to more attractive valuations for CCT(OW)SUN(N)&KREIT(OW),CT(N)MCT(OW)and AREIT(OW)MLT(OW).Whats the index worth?Our ROE/P/B analysis suggests index inclusion could be worth+6%/32%to FCT(N)/FEHT(N).In our recent Note(see here),we opined FCT could achieve inclusion with the acquisition of Waterway Pointbut FEHT is unlikely to gain inclusion soon.Index inclusion looks partially priced in for KDCREIT(OW)(S$57m additional free float market cap needed).Macro environment remains favorable for SREITs.The primary drivers of SREITs valuations/outperformance are all moving in the right direction,including:(i)declining 10Y bond yields(ii)flattening yield curve and(iii)SGD appreciation(multivariable correlation 0.82).Hence,we see limited downside to SREITs stretched valuations(fwd.yield spread 367bps,1.0.s.d.mean)without a significant improvement in the growth outlook.The last time the yield curve was this flat in 2006,yield/spreads remained materially lower for a prolonged period.Hence,recommend staying selectively invested in SREITs with stock specific catalysts and healthy organic growth-AREIT,CCT,KDCREIT.AREIT Top Pick on acquisition catalysts from sponsors S$1.5b Singapore pipeline,rent escalations and back-filling of vacant space on the back of slower industrial supply and divestments/redevelopment of older assets.We also update our estimates and Dec-19 PTs for S-REITs after:(i)lowering our risk-free rate by 25bps to 2.5%and(ii)reducing our FY19-21 3M-SOR estimates to 2%.Figure 1:Return on capital implied upside based on FY21E ROEs;Source:J.P.Morgan estimates.Figure 2:Implied upside to current share price from index inclusionSource:J.P.Morgan estimates.-4%-2%0%1%1%3%3%6%10%-5%0%5%10%15%MLTMCTKREITSUNMINTCCTCDREITAREITCT3%6%32%0%20%40%KDCREITFCTFEHT2Asia Pacific Equity Research02 April 2019Fraser Smith(65)6882-Equity Ratings and Price TargetsMkt CapPriceRatingPrice TargetCompanyTicker($mn)CCYPriceCurPrevCurEnd DatePrevEnd DateAscendas REITAREIT SP6,700.35SGD2.92OWn/c3.10Dec-192.90n/cCapitaLand Commercial TrustCCT SP5,413.50SGD1.96OWn/c2.10Dec-192.05n/cCapitaLand Mall TrustCT SP6,529.42SGD2.40Nn/c2.50Dec-192.45n/cCapitaLand Retail China TrustCRCT SP1,141.63SGD1.55OWn/c1.70Dec-191.60n/cCDL Hospitality TrustsCDREIT SP1,486.13SGD1.67UWn/c1.48Dec-191.35n/cFar East Hospitality TrustFEHT SP954.31SGD0.69Nn/c0.68Dec-190.62n/cFrasers Centrepoint TrustFCT SP1,628.89SGD2.38Nn/c2.40Dec-192.30n/cKeppel DC REITKDCREIT SP1,495.84SGD1.50OWn/c1.60Dec-191.55n/cKeppel REITKREIT SP3,239.24SGD1.29OWn/c1.35Dec-19n/cn/cMapletree Commercial TrustMCT SP4,049.87SGD1.90OWn/c1.97Dec-191.85n/cMapletree Industrial TrustMINT SP3,145.64SGD2.11UWn/c1.89Dec-191.75n/cMapletree Logistics TrustMLT SP3,981.18SGD1.49OWn/c1.55Dec-191.45n/cSuntec REITSUN SP3,875.38SGD1.96Nn/c1.90Dec-191.80n/cSource:Company data,Bloomberg,J.P.Morgan estimates.n/c=no change.All prices as of 01 Apr 19.Table 1:SREITs comparison tableJPMSharePricePriceAnalystYield20 DayYTD ShSREITsRatingMkt Cap29-Mar-19TargetUpsideP/B1FY2FYADTVGearingPerf(US$m)(S$)(S$)(%)(x)(%)(%)(US$m)(%)(%)Ascendas REITOW6,7082.923.106.2%Terence Khi1.405.5%5.7%20.237%13.6%CAPL Commercial TrustOW5,4271.962.107.1%Terence Khi1.074.6%4.6%24.635%12.0%CAPL Mall TrustN6,5372.402.504.2%Terence Khi1.194.9%5.2%19.834%6.2%CAPL Retail China TrustOW1,1431.551.709.7%Terence Khi0.996.6%6.8%1.336%14.0%CDL Hospitality TrustUW1,4881.671.48-11.4%Fraser Smith1.125.5%5.6%1.734%14.4%Far East Hospitality TrustN9650.690.68-1.4%Fraser Smith0.805.9%6.1%1.240%14.0%Frasers Centrepoint TrustN1,6312.382.400.8%Fraser Smith1.145.2%5.4%2.329%9.7%Keppel DC REITOW1,4981.501.606.7%Terence Khi1.405.5%5.6%4.131%11.1%Keppel REITOW3,2431.291.354.7%Terence Khi0.924.4%4.6%8.136%13.2%Mapletree Commercial TrustOW4,0551.901.973.7%Fraser Smith1.284.8%5.0%12.635%15.2%Mapletree Industrial TrustUW3,1492.111.89-10.2%Fraser Smith1.435.8%5.8%8.135%10.5%Mapletree Logistics TrustOW3,9861.491.554.0%Fraser Smith1.325.3%5.6%13.439%18.3%Suntec REITN3,8801.961.90-3.1%Fraser Smith0.935.1%5.1%7.737%10.1%Total/Wtd Avg45,6192.3%1.185.2%5.3%35%12.0%Source:J.P.Morgan estimates,Company data.3Asia Pacific Equity Research02 April 2019Fraser Smith(65)6882-Table of ContentsExecutive Summary.4REITS trade like Banks.12Index vs non index SREITs.14Who is close to the Index.15Main Drivers of returns on capital.16Using Return-on-capital-based valuations methodologies20Identifying relative mispricing.20Back testing our methodology.22Implied long-term growth rate.24Earnings vs Yield.25SREIT sector valuations and performance.27What drives SREITs sector valuations.27Where are SREITs trading now?.29Conditions remain favorable for SREITs.31Appendix.32EV vs ROIC.32Dividend Yield on book vs P/B.33AFFO yield on book vs P/B.34Ascendas REIT.35CapitaLand Commercial Trust.38CapitaLand Mall Trust.41CapitaLand Retail China Trust.44CDL Hospitality Trusts.46Far East Hospitality Trust.48Frasers Centrepoint Trust.50Keppel DC REIT.53Keppel REIT.56Mapletree Commercial Trust.59Mapletree Industrial Trust.62Mapletree Logistics Trust.65Suntec REIT.674Asia Pacific Equity Research02 April 2019Fraser Smith(65)6882-Executive SummarySREITS have traded on returns on capitaljust like BanksOur analysis shows that SREITs have tended to trade more on returns of capital than underling asset values.The historical relationship between P/B and one-year fwd.recurring ROE is statistically significant and meaningful,with average correlation of 0.95 and R2 of 0.91.When including SREITs not included in the EPRA NAREIT Developed index,the relationship weakens as these stocks have traded at a discount to their peers in the index.Figure 3:EPRA NAREIT developed index Singapore REITS current P/B vs FY19E recurring ROE Source:J.P.Morgan estimates,Company dataFigure 4:Singapore REITS current P/B vs FY19E recurring ROE orange=non-indexed stocksSource:J.P.Morgan estimates,Company dataP/B vs ROE has consistently showed the strongest relationship.Figure 5:R2 of various valuation metrics vs relevant returns on capital-indexed stocks only Source:J.P.Morgan estimates,Company data.AREITCCTCTCDREITKREITMLTMCTMINTSUNy=9.4951x+0.6627R=0.9509 0.60 0.70 0.80 0.90 1.00 1.10 1.20 1.30 1.40 1.501.0%3.0%5.0%7.0%9.0%P/BROEAREITCCTCTCDREITKREITMLTMCTMINTSUNCRCTFCTFCOTFEHTMAGICKDCREITFLTy=10.758x+0.514R=0.678 0.60 0.70 0.80 0.90 1.00 1.10 1.20 1.30 1.40 1.502.0%3.0%4.0%5.0%6.0%7.0%8.0%9.0%P/BROE0.750.850.840.480.720.870.730.730.740.880.830.760.880.950.790.630.760.880.960.880.910.990.880.930.930.950.930.930.810.910.850.760.000.100.200.300.400.500.600.700.800.901.00EV/IC vs ROICP/B vs ROEP/B vs Div Yield on BookP/B vs AFFO Yield on Book201320142015201620172018currentAverage5Asia Pacific Equity Research02 April 2019Fraser Smith(65)6882-The analysis helps solve key questions such as why has CCT traded at a P/B premium to KREIT?The consensus view is that CCTs book is undervalued but wealso believe this is partially due to CCTs favorable management fee structure vs KREIT,which drives significantly better returns on capital.It also helps explain why REITs with higher yield spreads and therefore ROEs trade at a P/B premium to REITs with lower yields spreads,such as office REITs.Figure 6:SREITs Management fees as%of EBIT Source:J.P.Morgan estimates,Company data.Identifying mispricing:Valuations appear most attractive for CT and AREITBased on the current P/B vs ROE relationship,we calculate implied share prices using our FY20/21 ROE estimates.The most implied upside among indexed stocks is for CT(N)and AREIT(OW)and most downside is for MCT(OW)and MLT(OW).This suggests potential outperformance for CT.However,we think weaker-than-expected performance for Funan could weigh on CTs share price in the near-to mid-term.We are more bullish on the outlook for AREIT,with FY20/21E DPU growth of 4/3%from rental escalations and back-filling of vacant space,with further upside from acquisitions and asset recycling.The most upside is for stocks not in the EPRA NAREIT developed index,with 6%/32%upside for FCT/FEHT if they gain index inclusion.Index inclusion looks partially priced in for KDCREIT,while CRCT is ineligible.Figure 7:Upside to current share price implied from 2020 ROEs;orange=non indexed stocks Source:J.P.Morgan estimates,Bloomberg.Figure 8:Upside to current share price implied from 2021 ROEs;orange=non indexed stocks Source:J.P.Morgan estimates,Bloomberg.22%20%17%16%15%15%14%12%12%12%11%10%10%9%9%7%0%5%10%15%20%25%32%7%6%4%3%3%2%2%1%0%-3%-4%-10%-5%0%5%10%15%20%25%30%35%32%10%7%6%6%3%3%1%1%0%-2%-4%-10%-5%0%5%10%15%20%25%30%35%6Asia Pacific Equity Research02 April 2019Fraser Smith(65)6882-Back Testing:Our methodology would have generated outperformance of 8.1%If we had used the above methodology over the past five years based on consensus estimates at the time,it would have led to average 1-year forward outperformance(vs FSTREI)of 8.1%,if we invested in the stock with the most implied upside each year.Table 2:Back Testing Analysis-Using the implied ROE to P/B method based on consensus estimates,average 1 year outperformance vs the index since 2013 would have been 8.1%for the top 1 stock,3.9%for the top 2 stocks and 3.2%for the top 3 stocksRelative outperformanceFY14FY15FY16FY17FY18AverageStock with most implied upsideSUNMINTKREITCDREITCCTStock with 2ndmost implied upsideMINTCDREITCDREITMLTCDREITStock with 3rdmost implied upsideCDREITKREITCCTKREITCTTop 1 stock24.9%2.0%9.1%29.1%-8.0%11.4%FSTREI10.1%-11.3%3.5%20.6%-6.0%3.4%Out/under performance14.8%13.3%5.6%8.6%-2.0%8.1%Top 2 stocks18.4%-11.1%6.1%30.6%-7.9%7.2%FSTREI10.1%-11.3%3.5%20.6%-6.0%3.4%Out/under performance8.3%0.3%2.6%10.0%-1.9%3.9%Top 3 stocks13.8%-15.3%8.1%28.6%-2.3%6.6%FSTREI10.1%-11.3%3.5%20.6%-6.0%3.4%Out/under performance3.7%-3.9%4.6%8.0%3.8%3.2%Source:J.P.Morgan estimates,Bloomberg.However,this methodology is weaker at predicting downside performance(0.3%average underperformance vs FSTREI)potentially as it does not factor in ROE accretion from anticipated acquisitions,AEI and/or portfolio rejuvenation etc.,hence,we maintain our OW rating on MCT/MLT.KDCREIT,MUST and FCT closest to index inclusionFCT could gain index inclusion by combing its acquisition of PGIM Real Estate AsiaRetail fund with the acquisition of Waterway Point(see here).Although MAGICs free float market cap is already sufficient,it is not currently eligible for index inclusion due to SUN&KREIT(2)CTMCT(3)AREITMLT.Valuations also look attractive for MINT we think but this could be impacted by its short land-lease tenure.Figure 10:Implied Long-term growth rate based on FY21 ROE;orange=non index stocks Source:Bloomberg estimates.SREITs absolute sector valuations and outperformance(vs STI)are driven by three factors:1.Long end of the yield curve:Falling 10Y bond yields lead to higher valuations2.10Y-2Y yield curve:Flatter yield curve leads to higher valuations 3.Singapore dollar:SGD appreciation leads to higher valuations/outperformance Table 3:Correlations for SREITs performance vs macro drivers-since Jan-13SectorIndividual correlationsMultivariate correlationsMASB 10Y bondsMASB 10-2Y bond yieldsSGD Spot/forward pointCombined correlationCombined R2All metrics statistically significant(P value0.01)Absolute dividend yield valuation0.520.320.490.820.66Yes6M change in dividend yield0.660.500.580.720.52Yes6M outperformance vs STI0.680.41-0.070.780.61YesAverage0.620.410.330.770.60Source:J.P.Morgan estimates,Bloomberg.Conditions likely to remain favorable for SREITsIn our view,favorable conditions for SREITs are likely to continue for some time as muted inflation data(see here)and slowing economic growth(see here)weigh on the growth outlook,keeping the yield curve flat and 10Y bond yields low.In addition JPM expects further appreciation of the SGD.Hence,we do not expect SREITs to de-rate any time soon despite lofty valuations with yield spreads 367bps(1.0.s.d.0.9)and R2(0.8)between ROE vs P/B,EV/IC vs ROIC andDividend Yield on Book vs P/B over the past 7 years.P/B vs ROE is consistently the most accurate driver of valuations.Figure 17:Correlation of various valuation metrics vs relevant returns on capital-indexed stocks only Source:J.P.Morgan estimates,Company data.Figure 18:R2 of various valuation metrics vs relevant returns on capital-indexed stocks only Source:J.P.Morgan estimates,Company data.Figure 19:EPRA NAREIT Developed index Singapore REITS FY18P/B vs FY19E ROESource:J.P.Morgan estimates,Company data.Figure 20:EPRA NAREIT Singapore Developed index REITS FY17P/B vs FY18 ROESource:J.P.Morgan estimates,Company data.0.860.920.920.690.850.930.860.850.860.940.910.870.940.970.8