Basics of Credit Analysis 信贷风险分析基础

Presentation on theme: "Basics of Credit Analysis 信贷风险分析基础"— Presentation transcript:

1 Basics of Credit Analysis 信贷风险分析基础
Alexandru Cebotari

2 Sources and Types of Risks 风险来源及种类
Type or Nature（种类） International 国际环境 Exchange Rate Changes (汇率波动） Host Government Regulations （政策变动） Political Unrest （政局动荡） Expropriation of Assets （财产没收） Domestic 国内环境 Recession （经济衰退） Inflation or Deflation （通货膨胀或紧缩） Interest Rate Changes （利率波动） Demographic Changes （人口变动） Political Changes （政局变 Industry 行业 Technology （技术更新） Competition （竞争加剧） Availability of Raw Materials and Labor （原料及劳动力稀缺） Unionization （行业整合） Firm-Specific 公司主体 Management Competence （管理能力） Strategic Direction （战略方向） Lawsuits （法律诉讼）

3 A firm should continually monitor each of these and other type of risks
公司必须持续监控以上各种及其他类型的风险 A loan officers task is to understand how a firm monitors its risks 信贷员的任务是了解公司是如何掌控其所面临的风险的； Analysis of the financial consequences of these elements of risk using financial statements is an important tool 通过财务报表分析这些风险带来的财务影响是一种重要的方法； Various financial reporting standards require firms to discuss in notes to financial statements how important elements of risk affect a particular firm and the actions it takes to manage its risks 不同的财务报告准则都要求公司在财务报表附注中披露各种风险对公司的影响程度以及公司为控制这些风险所采取的行动； In addition to using information about risk disclosed in the notes to financial statements, loan officers typically assess the dimensions of risk using ratios of various items in the financial statements 除了使用报表附注中已经披露的信息以外，信贷员还可以根据报表中不同科目的比例来衡量风险程度。

4 Profitability, Growth, Risk 盈利能力，增长率，风险
Product-Market Strategies 产品策略 Financial-Market Strategies 财务策略 Operating Decisions 经营决策 Financing Decisions 财务决策 Dividend Decisions 股利政策 Investment and Asset Management Decisions 投资和资产管理决策 Managing Revenue & Expenses 收入及费用控制 Managing Working Capital & Fixed Assets 经营资金及固定资产管理 Managing Liabilities and Equity 负债及权益管理 Managing Dividend Payout 股利支付管理 Profit Margin Ratios 利润率 Efficiency Ratios 效率比率 Capital Structure Ratios 资本结构 Payout Ratios 股利支付比例

5 Most financial statement-based risk analysis focuses on a comparison of the supply of cash and demand for cash 通常财务报表风险分析关注现金的供求比 Risk analysis using financial statement data typically examines 财务报表风险分析主要考察的风险有： (1) short-term liquidity risk, the near term ability to generate cash to service working capital needs and debt service requirements, and (1) 短期流动风险，即短期内现金流入满足经营现金需要及偿还债务的能力 (2) long-term solvency risk, the longer-term ability to generate cash internally or from external sources to satisfy plant capacity and debt repayment needs (2)长期流动风险，即长期现金产出或外部融资满足经营所需及偿还债务的能力 The field of finance identifies two types of risks: 财务风险有两种： (1) credit risk, a firm’s ability to make payments on interest and principle payments, and (1) 信用风险，即企业偿还利息和本金的能力 (2) bankruptcy risk, the likelihood that a firm will be liquidated (2) 破产风险，即企业面临破产的可能性

6 Framework for Financial Statement Analysis of Risk 财务报表风险分析架构
Activity 企业活动 Ability to Generate Cash 现金产出能力 Need to Use Cash 现金需求 Financial Statement Analysis Performed 财务报表分析 Operations 日常经营 Profitability of Goods and Services Sold 销售的产品及服务的获利能力 Working Capital Requirements 营运资金需求 Short-Term Liquidity Risk 短期流动性风险 Investing 投资 Sales of Existing Plant Assets or Investments 销售所有资产及投资获利能力 Plant Capacity Requirements 生产需求 Long-Term Solvency Risk 长期偿债能力风险 Financing 融资 Borrowing Capacity 融资能力 Debt Service Requirements 偿债需求

7 Analysis of Short-Term Liquidity Risk 短期流动性风险分析
The analysis of short-term liquidity risk requires an understanding of the operating cycle of a firm! 短期流动性风险分析需要了解一家企业的经营过程 Current Ratio: mainly used to give an idea about the company’s ability to pay back its short-term liabilities and a sense of the efficiency of the firm’s operating cycle and its ability to turn its products into cash (ratio ≥ 1.0 preferred) 流动比率：主要用于分析公司短期偿债能力，经营效率及变现能力（比率应大于等于1.0） Quick Ratio: known as acid test, measures the firm’s ability to pay off its short-term debt from current liquid assets; draws a more realistic picture (trend towards 0.5) 速动比率：也叫酸性测试，考量企业用速动资产偿还短期债务的能力，比流动比率更真实（接近0.5） Operating Cash Flow Ratio: using cash flow as opposed to accounting items provides a better indication of liquidity (40%ntypical of a healthy firm) 营运现金流动比率：使用实际的现金流量比科目余额更好的衡量企业流动性（良好的企业的比率通常为40%） Short-term liquidity problems also arise from longer-term solvency difficulties! 长期流动性困难也会导致短期流动性问题

8 Financial Ratio 财务比率 Formula 公式 Measurements 分析 Current Ratio 流动比率 Current Assets / Current liabilities 流动资产/流动负债 A measure of short-term liquidity. Indicates the ability of entity to meet its short-term debts from its current assets 衡量短期流动性，指出企业用流动资产偿还短期债务的能力 Quick Ratio 速动比率 Current Assets less inventory / Current liabilities （流动资产-存货）/流动负债 A more rigorous measure of short-term liquidity. Indicates the ability of the entity to meet unexpected demands from liquid current asses 衡量短期流动性更严格的方法，指出企业用流动资产满足突发现金需求的能力 Operating Cash Flow Ratio 营运现金流动比率 Cash Flows from Operations/Average Current Liabilities 经营现金流入/平均流动负债 Measures a company's ability to pay its short term liabilities. Indicates whether the company has generated enough cash over the year to pay off short term liabilities as at the year end 衡量企业偿还短期债务的能力，指出企业是否通过经营获得足够的现金以支付年底的短期债务

9 Analysis of Long-Term Solvency Risk 长期偿债能力风险分析
Increasing the proportion of debt in the financial structure intensifies the risk that the firm cannot pay interest and repay the principle on the amount borrowed 增加债务在资本结构中的比例会增加企业无法到期还本付息的风险 Analysis of long-term solvency risk must begin with an analysis of short-term liquidity risk 长期偿债能力风险分析必须从短期流动性风险分析出发 Firms must survive in the short-term if they are to survive in the long-term! 企业必须在短期经营中生存才能够在长期经营中生存 Interest Coverage Ratio: gives a sense of how far earnings can fall before a firm will start defaulting on its payments (risky if ≤ 2.0) 已获利息倍数：表示企业盈利对需要支付利息的保障（如果小于等于2就存在风险） Long-Term Debt to Long-Term Capital Ratio: way of looking at the debt structure and determine what portion of total capitalization is comprised of long-term debt (what if ≥ 1?) 长期债务/长期资本比率：衡量总资本中长期债务所占的比例（如果大于等于1，说明什么？） Types of loan repayment methods

10 Formula 公式 Measurements 分析
Financial Ratio 财务比率 Formula 公式 Measurements 分析 Debt ratio 债务比率 Total Liabilities / Total assets 负债总额/资产总额 Measures percentage of assets provided by creditors and extent of using gearing 衡量总资产中由债务人承担的比例及财务杠杆运用程度 Capitalization ratio 权益乘数 Total assets / Total shareholders’ equity 资产总额/所有者权益 Measures percentage of assets provided by shareholders and the extent of using gearing 衡量总资产中由权益人承担的比例及财务杠杆运用程度 Debt to Capital Ratio 资本负债率 Total Debt/(Total Shareholders’ Equity + Total Debt) 长期负债总额/（所有者权益+长期负债总额） The debt-to-capital ratio gives users an idea of a company‘s financial structure, or how it is financing its operations, along with some insight into its financial strength. 用于衡量的财务结构及融资能力 Times interest earned 已获利息乘数 Operating profit before income tax + Interest expense / Interest expense + Interest capitalized 息税前利润/（利息费用+资本化利息） Measures the ability of the entity to meet its interest payments out of current profits. 衡量企业用当期利润支付利息的能力

11 Models of Bankruptcy Prediction

12 破产预测模型 经营现金流量分析 净利润分析 资产负债率分析 流动资产总资产率分析 流动资产流动负债率分析 周转率分析 1）现金流动负债比
1）销售现金比例 2）总资产现金比例 3）净资产现金比例 4）总负债现金比例 净利润分析 1）销售净利率 2）总资产净利率 3）净资产净利率 4）总负债净利率 资产负债率分析 1）流动负债总资产率 2）长期负债总资产率 3）总负债总资产率 4）总负债优先股总资产率 流动资产总资产率分析 1）现金总资产比 2）速动资产总资产比 3）流动资产总资产比 4）经营现金总资产比 流动资产流动负债率分析 1）现金流动负债比 2）速动资产流动负债比 3）流动资产流动负债比 周转率分析 1）现金周转率 2）应收帐款周转率 3）存货周转率 4）速动资产周转率 5）流动资产周转率 6）经营现金周转率 7）净资产周转率 8）总资产周转率 9）现金区间 （现金/经营现金支出） 10) 防御区间 (防御性资产/经营现金支出) 11）无信贷间隔天数 (防御性资产-流动债务)/经营现金支出 附注：经营现金流量=净利润+折旧+损耗+摊销；净资产=所有者权益+递延税项资产；现金=现金+可出售债券；经营现金=流动资产-流动负债；经营现金支出=经营支出-折旧-损耗-摊销；防御性资产=速动资产。

13 Univariate Analysis 单变量分析
The six ratios with the best discriminating power (and the nature of the risk each ratio measures) were as follows: 六个主要的变量及所衡量的风险如下： Net Income plus Depreciation, Depletion, and Amortization/Total Liabilities (long-term solvency risk) (净收入+折旧+损耗+摊销)/总负债 长期流动性风险 Net Income/Total Assets (profitability) 净收入/总资产 盈利能力 Total Debt/total Assets (long-term solvency risk) 总负债/总资产 长期偿债能力风险 Net Working Capital/Total Assets (short-term liquidity risk) 净经营现金/总资产 短期流动性风险 Current Assets/Current Liabilities (short-term liquidity risk) 流动资产/流动负债 短期流动性风险 Cash, Marketable Securities, Accounts Receivable/Operating Expenses excluding Depreciation, Depletion and Amortization (short-term liquidity risk) (现金+可出售证券+应收帐款)/(除去折旧、损耗、摊销的经营费用) 短期流动性风险

14 Multivariate Bankruptcy Prediction Models 多变量预测模型
Altman’s Z-Score:（Altman’s Z-积分模型）

15 Multivariate Bankruptcy Prediction Models 多变量预测模型
We can convert the Z-score into a probability of bankruptcy using the normal density function within Excel. The formula is: =NORMSDIST(1-Z score). Altman developed this model so that higher positive Z-scores mean lower probability of bankruptcy. 我们可以用Excel的功能将Z-score变成企业破产的概率。公式是=NORMSDIST*(1-Z-score)。Altman的模型指出Z-score为正数且越大，企业破产的概率越低。 The principle strengths of MDA are as follows: 多变量模型的优点在于 It incorporates multiple financial ratios; 它综合了多个财务指标 It provides the appropriate coefficients for combining the independent variables; 它给每个独立的变量合适的系数 It is easy to apply once the initial model has been developed. 当最初的模型更新时仍可以方便的使用

16 Each ratio captures a different dimension of profitability or risk:
每个指标都包含着不同程度的风险 Net Working Capital/Total Assets: the proportion of total assets comprising relatively liquid net current assets (current assets minus current liabilities). It is a measure of short-term liquidity risk. 净经营现金/总资产：净流动资产占总资产的比例,用于衡量短期流动性风险 Retained Earnings/Total Assets: accumulated profitability. 累积盈余/总资产：衡量累积盈利能力 EBIT/Total Assets: this ratio measures current profitability. 息税前利润/总资产：衡量当期盈利能力 Market Value of Equity/Book Value of Liabilities: this is a form of debt/equity ratio, but it incorporates the market’s assessment of the value of the firm’s shareholders’ equity. This ratio measures long-term solvency risk and the market’s overall assessment of the profitability and risk of the firm. 所有者权益市价/负债帐面价值:这是负债/所有者权益比一中形式,但它综合了市场对所有者权益的估值。该指标考量了长期流动性风险和市场对公司盈利能力和风险的总体评估。 Sales/Total Assets: this ratio is similar to the total assets turnover ratio and indicates the ability of a firm to use assets to generate sales. 销售收入/总资产：这个指标类似于总资产周转率，表示了企业利用资产的能力。 In applying this model, Altman found that Z-scores of less than 1.81 indicated a high probability of bankruptcy, while Z-scores higher than 3.00 indicates a low probability of bankruptcy. Scores between 1.81 and 3.00 were in the gray area. 运用该模型， Altman发现Z-score小于1.81时，预示企业有很高的破产风险，而当Z-score大于3.00时，预示着较低的破产风险，介于1.81和3.00之间为灰色区域。

17 Logit Analysis 概率模型 Probability of Bankruptcy of a Firm: 企业的破产概率：
y = – 0.407*SIZE *TLTA – 1.43*WCTA *CLCA – 2.37*NITA – 1.83*FUTL *INTWO – 1.72*OENEG – 0.521*CHIN, SIZE = ln (Total Assets/GNP Deflator) 规模= ln (总资产/国民生产总值平减指数） TLTA = Total Liabilities/Total Assets TLTA=总负债/总资产 WCTA = (CA-CL)/Total Assets WCTA=（流动资产-流动负债）/总资产 CLCA = Current Liabilities/Current Assets CLCA= 流动负债/流动资产 NITA = Net Income/Total Assets NITA=净收入/总资产 FUTL = Funds (Working Capital) from Operations/Total Liabilities FUTL=经营现金/总负债 INTWO = one if Net Income (NI) was negative in the last two years and zero otherwise INTWO=如果净收入小于0，即等于1；否则等于0 OENEG = one if owners’ equity is negative and zero otherwise OENEG=如果所有者权益小于0，即等于1；否则等于0 CHIN = [NI (this year) – NI (last year)]/[|NI (this year)| + |NI (last year)|] CHIN =(今年净收入-去年净收入)/(今年净收入+去年净收入)

18 Earnings Manipulation 利润操纵
Beneish developed a probit model to identify the financial characteristics of firms likely to engage in earnings manipulation Beneish发明了一种概率模型来考量公司参与利润操纵的财务特征 Probit converts y into a probability using standardized normal distribution. The command NORMSDIST within Excel, when applied to a particular value of y, converts it to the appropriate probability value Excel中的NORMSDIST公式可以将一个Y值变成合适的概率值

19 Beneish’s eight factors and the rationale for their inclusion are as follows: Beneish’s八个因素及理论依据如下：
Index 指数 Rationale 理论依据 Days Sales in Receivables Index (DSRI) 应收帐款收入比 A large increase in accounts receivables as a percentage of sales might indicate an overstatement of accounts receivables and sales to boost earnings该比例大幅增长可能暗示企业在虚增收入 Gross Margin Index (GMI)毛利率 Firms with weaker profitability a more likely to engage in earnings manipulation；毛利率越低，操纵利润的可能越大 Asset Quality Index (AQI)资产质量率 An increase in the proportion indicates an increased efforts to defer costs；资产质量率提高意味递延成本的能力增强 Sales Growth Index (SGI)收入增长率 The need for low-cost external financing might motivate sales manipulation；管理层可能为了以更低的成本融资而虚增收入 Depreciation Index (DEPI)折旧率 Slowing of the rate of depreciation and thereby increasing earnings 折旧率越低，盈余越大 Selling and Administrative Expense Index (SAI)销售及管理费用率 ≥ 1 indicates increased marketing expenditures and expected increased sales；该比例大等于1意味着销售费用增加从而预期收入增加 Leverage Index (LVGI) 财务杠杆 Increase in the proportion of debt might entail a violation of debt covenants；债务比例的提高增加了违背债务条款的可能 Total Accruals to Total Assets (TATA)利润总资产率 Indicates the volume of earnings resulting from accruals instead of from cash flows；利润取决于获利而不是现金

20 Profitability Analysis 盈利能力分析
The analysis of profitability addresses two broad questions: 盈利能力分析带来以下两个问题： How much risk economic and strategic factors pose for the operations of a firm, its profitability and long-term solvency ? We use the Rate of Return on Assets (ROA) to answer this question. 经济及战略因素给企业经营、盈利及长期流动性所带来的风险，我们用资产回报率来回答这个问题。 Can the firm generate the expected return on the capital invested by the lenders and shareholders without compromising the future of the firm? That is, how much of ROA is left to shareholders (owners) after subtracting the amounts owed to lenders. 企业是否能在不牺牲企业未来的情况下，达到债务人及股东所期望的回报？也就是在偿还债务人以后留给股东的回报有多少。

21 Rate of Return on Assets 资产回报率

22 Average Median ROA, Profit Margin for ROA, and Assets Turnover for 23 industries for 1990 to 2004

23 1999年到2004年23个行业资产回报率，利润率及资产周转率比较 （注释）
Airlines 航空业 Industrial equipment 工业 Transportation equipment 运输业 Restaurants 餐饮业 Wholesalers-Non Durables 批发-快速消费品 Wholesalers-Durables批发-耐用消费品 Retailing-General Merchandise 零售业-普通商品 Retailing-Apparel零售业-服装 Grocery store 杂货店 Utilites 电力 Oil&Gas extraction 油气开采 Hotels 宾馆 Petropleum 石油 Paper 造纸业 Printing and publishing 印刷出版业 Personal service 服务业 Amusements 娱乐业 Lumber 伐木业 Food products 食品业 Agricultural 农业 Health service 健康服务业 Metals 金属业 Communications 通讯业

24 Economic Factors Affecting the Profit Margin/Assets Turnover Mix 经济因素对利润率及资产周转率的影响
Area in Exhibit 相关区域 Capital Intensity 资本密度 Competition 市场竞争度 Strategic Focus 战略重点 A High 高 Monopoly 完全垄断 Profit Margin for ROA 资产回报率 B Medium 中 Oligopoly 寡头垄断 Both 两者兼顾 C Low 低 Pure 完全竞争 Assets Turnover 资产周转 利润率 竞争约束 产量约束 资产周转率

25 Profitability Ratios 盈利率
Financial Ratio 财务比率 Formula 公式 Measurements 分析 Return on Total Assets 总资产回报率 Operating profit before income tax + interest expense/ Average total assets 息税前利润/平均总资产 Measures rate of return earned through operating total assets provided by both creditors and owners 衡量总资产回报率，包括股东和债权人 Return on ordinary shareholders’ equity 普通股股东回报率 Operating profit & extraordinary items after income tax minus Preference dividends /  Average ordinary shareholders’ equity 税后净利润扣除优先股股利/平均普通股股东权益 Measures rate of return earned on assets provided by owners 衡量股东回报率 Gross Profit Margin 毛利率 Gross Profit / Net Sales 毛利润/净收入 Profitability of trading and mark-up 衡量毛盈利能力 Profit Margin 净利率 Operating profit after income tax / Net Sales Revenue 税后净利润/净收入 Measures net profitability of each dollar of sales 衡量净盈利能力

26 Total Assets Turnover 总资产周转率
Financial Ratio 财务比例 Formula 公式 Measurements 分析 Receivables turnover 应收帐款周转率 Net sales revenue / Average receivables balance 净收入/平均应收帐款余额 Measures the effectiveness of collections; used to evaluate whether receivables balance is excessive 考量应收帐款回收能力 Inventory turnover 存货周转率 Cost of goods sold / Average inventory balance 销售成本/平均存货余额 Indicates the liquidity of inventory. Measures the number of times inventory was sold on the average during the period 考量存货的流动性 Total Asset turnover ratio 总资产周转率 Net sales revenue / Average total assets 净收入/平均总资产 Measures the effectiveness of an entity in using its assets during the period. 考量企业使用资产的效率 Turnover of Fixed Assets 固定资产周转率 Net Sales / Fixed Assets 净收入/固定资产 Measure the efficiency of the usage of fixed assets in generating sales 考量企业使用固定资产的效率

27 Return on Common Shareholders’ Equity (ROCE) 普通股股东回报率
Return on Assets 资产回报率 Return to Creditors 债权人回报率 Return to Preferred Shareholders 优先股股东回报率 Return to Common Shareholders 普通股股东回报率 普通股股东回报率=普通股股东利润率*总资产周转率*权益乘数 普通股股东利润率=普通股股东净收入/总收入