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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