Discounted Cash Flow Model for Dam Phu My

Unlevered beta = Asset beta = Equity beta * E/A + Debt beta *D/A
General data
(debt beta is assumed to be 0)
Share price as of last close 32.250,00 --> Asset beta = Equity beta*E/A OR Asset beta*A = Equity beta*E
Latest closing share price date 02/06/2023 With A = E+D*(1-t)
Latest basic share count 391.334.260,000
--> Asset beta = Equity beta*E/(E+D*(1-t))
Case Base case
--> Asset beta = Equity beta*1/(1+(D/E)*(1-t))

Industry average Beta calculation

Observed b Share price Share count Market cap Debt Tax rate Unlev. b Relev. b
DCM 0,99 23.550,00 529.400.000,0 12.467.370.000.000 3.760.418.031.622 20,0% 0,80 0,96
LAS 1,41 10.100,00 112.856.400,0 1.139.849.640.000 594.910.708.655 20,0% 0,99 1,10

DPM 0,63 32.250,00 391.334.260,0 12.620.529.885.000 3.097.689.072.508 20,0% 0,53 0,92

Average Releverage Beta 0,78 Industry average unlevered beta 0,77

CAPM (Capital Asset Pricing Model): Cost of equity kE=Rf+beta*ERP with ERP=Equity Risk Premium=(RM-Rf+CRP) with CRP=Sovereign spr* Multiplier

Cost of equity Calculating ERP for Vietnam, using Damodaran's data & approach:
Observed beta 0,63 Multiplier 3,28
Select beta (observed or industry) Average Equity Risk Premium (RM-Rf) of US 5,9%
Beta selected 0,78 Method 1 Method 2
Risk-Free Rate (Rf) (US) 3,76% Sovereign spread 2,20% 3,13%
Equity Risk Premium 14,69% CRP (Equity Country Risk Premium) 7,22% 10,28%
Cost of equity 15,18% ERP (Equity risk premium) for Vietnam 13,16% 16,22%
ERP average for Vietnam 14,69%
WACC (Weighted Average Cost of Capital): WACC = kE* E/V + kD* (1-t)*D/V

Cost of capital Capital structure

Cost of debt before tax 12,0% Share price as of last close 32.250,00
Tax rate 20,0% Latest basic share count 391.334.260,00 %
Cost of debt after tax 9,6% Market value of equity 12.620.529.885.000 80,3%
Cost of capital (WACC) 14,1% Debt 3.097.689.072.508 19,7%

FCFF=CFO+Int*(1-t)-FCInv. (=Unlevered CFO-FCInv.) Assets = Enterprise Value +

=NI+all NCC-WCInv+Int*(1-t)-FCInv. + Cash (less trapped cash)
=(EBIT-Int)*(1-t)+NCC before EBIT-WCInv.+Int*(1-t)-FCInv. + Marketable securities
=EBIT*(1-t)+NCC-WCInv-FCInv. + Investment in affiliates
=EBIAT+NCC-WCInv-FCInv. Assets = Equity Value +
PV of FCFF = Enterprise Value = Value from core business (not including excess cash and assets for + Debt
+ Minority Interest
Free cash flow buildup
Fiscal year 2020A 2021A 2022A 2023P 2024P 2025P 2026P 2027P
Fiscal year end date 31/12/2020 31/12/2021 31/12/2022 31/12/2023 31/12/2024 31/12/2025 31/12/2026 31/12/2027

EBITDA 1.312 4.235 6.840 7.997 6.800 5.521 5.477 5.433

EBIT 763 3.698 6.325 7.462 6.310 5.077 5.077 5.078
Tax rate 19,7% 15,9% 17,1% 17,1% 18,0% 17,0% 16,0% 15,0%
EBIAT (NOPAT) 613 3.109 5.244 6.186 5.174 4.214 4.265 4.316

Plus: Depreciation and amortization 535 490 445 400 356

Plus: Stock based compensation 0 0 0 0 0
Less: change in Accounts receivable 28 28 28 28 28
Less: change in Inventory -1.096 -1.500 -2.000 -2.500 -2.500
Less: change in Other current assets (inc. non-trade receivables) -7 -7 -7 -7 -7
Less: change in Deferred tax assets (DTAs) -109 -109 -109 -109 -109
Plus: change in Accounts payable 98 98 98 98 98
Plus: change in Other payables & deferred revenues (current & non-current) 550 550 550 550 550
Plus: change in Deferred tax liabilities (DTLs) 0 0 0 0 0
Less: change in Other non current assets -40 -40 -40 -40 -40
Plus: change in Other non current liabilities 0 0 0 0 0
Unlevered CFO (unlevered CFO=CFO+int*(1-t)) 6.146 4.684 3.179 2.685 2.692
Less: Capital expenditures -52 -68 -75 -75 -75
Less: Purchases of intangible assets -1 -1 -1 -1 -1
FCFF (before adjustment for timing factor) 6.093 4.615 3.103 2.610 2.617
% growth (24,2%) (32,8%) (15,9%) 0,3%
Assume the above cash flows are generated at: End of Fiscal Year
Timing adjustment factor (multiply FCFF by) 1,00x
FCFF at End of Fiscal Year 6.093 4.615 3.103 2.610 2.617
Discount number of years 0,58 1,58 2,58 3,58 4,58
Present value of Unlevered FCFF 5.644 3.747 2.209 1.628 1.431

Computing Enterprise Value

Perpetuity approach Exit EBITDA multiple approach
Long term growth rate (g) 3,0% Terminal value EBITDA multiple 4,00x
Normalized FCFFt+1 2.695 Terminal year EBITDA 5.433
Terminal value 24.324 Terminal value 21.734
Present value of terminal value 13.303 Present value of terminal value 11.887
Present value of stage 1 cash flows 14.659 Present value of stage 1 cash flows 14.659
Enterprise value 27.963 Enterprise value 26.546
Implied TV exit EBITDA multiple 4,5x Implied TV perpetual growth rate 1,8%

Options / warrants data Equity Value and Fair Value per share
Number of exercisable options (mm) 0,00 Perpetuity EBITDA
Exercise price - Enterprise value 27.963 26.546
Current market price 32.250,00 Plus: Cash & marketable securities 1.879 1.879
Number of exercisable options in-the-money 0,00 Less: Trapped cash (enter as -) 0 0
Total proceeds ($mm) 0 Plus: Investment in affiliates 29 29
Number of shares repurchased (mm) 0,00 Less: Debt (ST+LT) (enter as -) -3.098 -3.098
Number of shares issued (mm) 0,00 Less: Preferred stock (enter as -) 0 0
Less: Minority Interest (enter as -) -188 -188
Basic shares outstanding 391.334.260,00 Equity value 26.584 25.168
Dilutuve impact of options/warrants 0,00 Diluted shares outstanding 391.334.260,000 391.334.260,000
Dilutive impact of shares from other securities 0 Equity value per share VND 67.932,526 VND 64.312,915
Net diluted shares outstanding 391.334.260,00 Market premium / (discount) to fair value (52,5%) (49,9%)
Net Debt = Debt + Preferred stock + Minority Interest -Cash & marketable securities - Investment in affiliates

Sensitivity analysis

Equity value per share

Long term growth rate (g):
VND67.932,526 2,00% 2,50% 3,00% 3,50% 4,00%
17,1% 54.153,7 53.344,7 53.344,7 54.153,7 55.944,09
16,1% 49.061,1 48.465,3 48.465,3 49.061,1 50.363,7
WACC: 15,1% 46.919,8 46.403,0 46.403,0 46.919,8 48.044,2
14,1% 46.919,8 46.403,0 46.403,0 46.919,8 48.044,2
13,1% 49.061,1 48.465,3 48.465,3 49.061,1 50.363,7
12,1% 54.153,7 53.344,7 53.344,7 54.153,7 55.944,1

Equity value per share

Exit EBITDA Multiple
VND64.312,915 2,00x 3,00x 4,00x 5,00x 6,00x
17,1% 45.676,7 38.934,4 38.934,4 45.676,7 59.161,4
16,1% 43.596,6 37.357,7 37.357,7 43.596,6 56.074,5
WACC: 15,1% 42.615,8 36.611,4 36.611,4 42.615,8 54.624,7
14,1% 42.615,8 36.611,4 36.611,4 42.615,8 54.624,7
13,1% 43.596,6 37.357,7 37.357,7 43.596,6 56.074,5
12,1% 45.676,7 38.934,4 38.934,4 45.676,7 59.161,4

Equity value per share

Exit EBITDA Multiple
EBITDA % of plan VND64.312,915 2,00x 3,00x 4,00x 5,00x
80% 4.347 46.088,0 40.013,1 40.013,1 46.088,0
90% 4.890 33.938,1 27.103,8 27.103,8 33.938,1
100% 5.433 18.750,7 11.157,0 11.157,0 18.750,7
110% 5.977 525,8 (7.827,3) (7.827,3) 525,8
120% 6.520 (20.736,6) (29.849,0) (29.849,0) (20.736,6)
130% 7.064 (45.036,4) (54.908,3) (54.908,3) (45.036,4)
Football field LTM EBITDA multiple
LTM calculations
DCF Valuation Summary Operating income 1.151
48,0442
D&A 330
50,00
Stock based compensation
45,00 54,6247 LTM EBITDA 1.481
46,9198 25,200
40,00 42,6158 Market cap 12.620.529.885.000
Enterprise value 15.718.218.957.508
35,00
EV/EBITDA 10613247101,6x
30,00 Comps derived EV/EBITDA 4,0x
31,2
25,00
20,00
15,00
10,00
5,00
,00
DCF Value at 002x-006x Exit DCF Value at 02%-04% 52 Week Market High/Low
EBITDA Range Perpetuity Range

Low Diff. High

DCF Value at 002x-006x Exit EBITDA Range 42,6 0,0 54,6
DCF Value at 02%-04% Perpetuity Range 46,9 1,1 48,0
52 Week Market High/Low 31,2 25,2 56,4
References value website https://valueinvesting.io/DPM.VN/valuation/dcf-ebitda-exit-5y

http://pages.stern.nyu.edu/~adamodar/New_Home_Page/datafile/ctryprem.html
Sửa số multiplier 1.5 ở ô màu vàng trên cùng thành 2.01 cho Việt Nam (số 2.01 này lấy
từ 1 worksheet khác bên cạnh, được tính bằng sigma của VNI return chia sigma trái
phiếu CP VN phát hành bằng tiền $)

CRP Country Risk Premium = Sovereign spread x 2.01

(trong bảng thì Damodaran gọi Sovereign spread là Default spread, nhưng mình sẽ gọi
là sovereign cho rõ nghĩa hơn)

Damodaran tính Sovereign spread theo 2 phương pháp:

Một là bằng hiệu CDS spread của 10 year VN bond trừ 10 year US bond (=2.75%-
0.5518%=2.89%) (cột 7).
Hai là dựa trên rating của TPCP hạng B2, thì spread này được tính trung bình là 5,5%
(cột 4), chênh khá nhiều với phương pháp 1.

Sau đó Cost of equty = Rf + beta x (Rm-Rf+CRP) trong đó (Rm-Rf) là 5% (của US)

Rf là risk free rate của US, khoảng 2,4% (10 year T bond).

Vậy theo phương pháp 1 thì cost of equity của 1 cổ phiếu có beta=1 (market) là:
2.4%+1x(5%+(3.35%-0.46%)x2.01)=13.2%

Theo phương pháp 2 thì là 2.4%+1x(5%+5.5%x2.01)=18.5%

10 year T bond của VN khoảng 8%:

http://asianbondsonline.adb.org/vietnam.php
http://www.investing.com/rates-bonds/vietnam-10-year-bond-yield
 For g changes Diff:
Min 46.403,0 46.403,0
25% 46.403,0 -
50% 46.919,8 516,81
75% 47.482,0 562,19
Max 48.044,2 562,19
48.044,2 For drawing football field chart with
percentile rankings, but it's not clearer
and more informative, so it's not
For EBITDA multiple recommended.
Diff:changes
Min 36.611,4 36.611,4
25% 36.611,4 -
50% 42.615,8 6.004,46
75% 48.620,3 6.004,46
Max 54.624,7 6.004,46
54.624,7