财务报表分析与证券估值全套配套课件英文PPT中文PPT案例教学建议Chap020.ppt 25页

ChapterTwentyMcGraw-Hill/IrwinCopyright©2013byTheMcGraw-HillCompanies,Inc.Allrightsreserved. Chapter20Preparedby:StephenH.Penman–ColumbiaUniversityWithcontributionsbyNirYehuda–NorthwesternUniversityMingcherngDeng–UniversityofMinnesotaPeterD.EastonandGregoryA.Sommers–NotreDameandSouthernMethodistUniversitiesLuisPalencia–UniversityofNavarra,IESEBusinessSchool20-2TheAnalysisofCreditRiskandReturn WhatYouWillLearnfromthisChapterHowdefaultriskdeterminesthepriceofcredit(thecostofdebtcapital)WhatdeterminesdefaultriskHowdefaultriskisanalyzedHowcreditscoringmodelsworkThedifferencebetweenTypeIandTypeIIerrorsispredictingdefaultsHowproformaanalysisaidsinassessingdefaultriskHowvalue-at-riskanalysisisusedtoassessdefaultriskHowfinancialstrategyworks20-3 DefaultRiskandDefaultPremiumsRequiredReturnonDebt=Risk-freeRate+DefaultPremiumThedefaultpremiumisdeterminedbytheriskthatthedebtorcoulddefaultSimilarterms:RequiredreturnondebtCostofdebtPriceofcredit20-4 TheSuppliersofCreditPublicdebtmarketinvestorswhoinclude(long-term)bondholdersand(short-term)commercialpaperholders.Commercialbanksthatmakeloanstofirms.Otherfinancialinstitutionssuchasinsurancecompanies,financehousesandleasingfirmsmakeloans,muchlikebanks,butusuallywithspecificassetsservingascollateral.Supplierstothefirmwhogrant(usuallyshort-term)creditupondeliveryofgoodsandservices.20-5 RatioAnalysisforDefaultEvaluationSteps:ReformulatefinancialstatementsCalculateratios20-6 ReformulatingtheBalanceSheetforCreditAnalysisThekeyideainthereformulationofthebalancesheetistoorderassetsbyliquidityandliabilitiesbymaturity.Annotateasyoureformulate.Issues:Detailondifferentclassesofdebtandtheirvaryingmaturitiesisavailableinthedebtfootnotes;thisdetailcanbebroughtontothefaceofreformulatedstatements.Debtofunconsolidatedsubsidiaries(wheretheparentownslessthat50%,buthaseffectiveobligations)shouldberecognized.Long-termmarketablesecuritiesaresometimesavailableforsaleintheshort-termifaneedforcasharises.Long-termdebt(ofsimilarmaturity)canbepresentedonanetbasis.Removedeferredtaxliabilitiesthatareunlikelytoreverse,fromliabilitiestoshareholders’equity.AddtheLIFOreservetoinventoryandtoshareholder’sequitytoconvertLIFOtoaFIFObasis.Off-balance-sheetdebtshouldberecognizedonthefaceofthestatement.Contingentliabilitiesthatcanbeestimatedshouldbeincludedinthereformulatedstatements.Theriskinderivativesandotherfinancialinstrumentsshouldbenoted.20-7 Off-Balance-SheetFinancingOff-balance-sheetfinancingtransactionsarearrangementstofinanceassetsandcreateobligationsthatdonotappearonthebalancesheet.Examples:OperatingleasesAgreementsandcommitments:third-partyagreementsthrough-putagreementstake-or-payagreementsrepurchaseagreementssalesofreceivableswithrecourseSpecialpurposeentitiesnotconsolidatedUnfundedpensionliabilitiesnotbookedGuaranteesofthird-partyorrelated-partydebtPositionsinderivativesoffbalancesheet20-8 ReformulatedIncomeStatementsandCashFlowStatementsIncomeStatement:Distinguishincomefromoperationsthat“covers”netfinancialexpenseThereformulationfollowsthatforprofitabilityanalysisinChapter10CashFlowStatement:Distinguish(unlevered)cashflowfromoperationsthatcanbeusedtomakepaymentsondebtThereformulationfollowsthatinChapter1120-9 RatioAnalysis:Short-TermLiquidityRatiosLiquidityStockMeasures20-10 RatioAnalysis:Short-TermLiquidityRatiosLiquidityFlowMeasures20-11 RatioAnalysis:Long-termSolvencyRatiosSolvencyStockMeasures20-12 RatioAnalysis:Long-termSolvencyRatiosSolvencyFlowMeasures20-13 RatioAnalysis:OperatingRatiosPoorprofitabilityincreasesthelikelihoodofdefault.SotheprofitabilityanalysisofChapter11andtheriskanalysisofChapter18areinputsintocreditanalysis.WatchparticularlyfordeclinesinRNOAOperatingprofitmarginsAssetturnoversSalesgrowth20-14 ForecastingandCreditRiskThePrelude:KnowthebusinessAppreciatethe“moralhazard”problemofdebtUnderstandthefinancingstrategyUnderstandthecurrentfinancingarrangementsUnderstandthequalityofthefirm’saccountingUnderstandtheauditor’sopinion,particularlyanyqualificationtotheopinion20-15 ForecastingDefaultwithCreditScoringCreditscorescombineanumberofindicatorsintoonescorethatestimatestheprobabilityofdefault.CreditScoringMethods:MultipleDiscriminateAnalysis(MDA)LogitAnalysis20-16 MultipleDiscriminateAnalysis(Z-scoring)OriginalAltmanModel:20-17 LogitScoringModelOriginalOhlsonModel:20-18 CreditScoring:PredictionErrorAnalysisTypeIerror:ClassifyingafirmasnotlikelytodefaultwhenitactuallydoesdefaultTypeIIerror:ClassifyingafirmaslikelytodefaultwhenitdoesnotdefaultTradeoffTypeIandTypeIIerrors:chooseacut-offscorethatminimizesthecostoferrors20-19 FullInformationForecasting:UsingProFormaAnalysisforDefaultForecastingPPEInc.20-20 UsingProFormaAnalysisforDefaultForecastingPPEInc.20-21 DefaultPointsDefaultoccurswhencashavailablefordebtserviceislessthanthedebtservicerequirement.20-22 Value-at-RiskProfilesforDefaultForecastingSteps:GenerateprofilesofcashavailablefordebtserviceforafullsetofscenariosfromproformaanalysisEstablishthedebtservicerequirementIdentifythedefaultpointwherecashavailablefordebtserviceisbelowthedebtservicerequirement,andsoidentifythedefaultscenariosAssesstheprobabilityofthesetofdefaultscenariosoccurring20-23 Value-at-RiskProfile20-24 LiquidityPlanningandFinancialStrategyAdefaultstrategyisastrategytoavoiddefaultProformaanalysisofdefaultpointscanbeusedasaplanningtooltoavoiddefaultModifyplanstoincreaseliquidityinordertoavoiddefaultandbuildthoseplansintothefinancialstrategyproforma20-25