Itau Unibanco Holding Beneish M-Score Calculation
The M-score was created by Professor Messod Beneish. Instead of measuring the bankruptcy risk (Altman Z-Score) or business trend (Piotroski F-Score), M-score can be used to detect the risk of earnings manipulation. This is the original research paper on M-score.
The M-Score Variables:
The M-score of Itau Unibanco Holding for today is based on a combination of the following eight different indices:
| M | = | -4.84 | + | 0.92 * DSRI | + | 0.528 * GMI | + | 0.404 * AQI | + | 0.892 * SGI | + | 0.115 * DEPI |
| = | -4.84 | + | 0.92 * 1.1636 | + | 0.528 * 1 | + | 0.404 * 1.0004 | + | 0.892 * 2.4396 | + | 0.115 * 0.9605 |
| - | 0.172 * SGAI | + | 4.679 * TATA | - | 0.327 * LVGI |
| - | 0.172 * 0.9417 | + | 4.679 * -0.009356 | - | 0.327 * 0.9643 |
| = | -1.07 |
* For Operating Data section: All numbers are indicated by the unit behind each term and all currency related amount are in USD.
* For other sections: All numbers are in millions except for per share data, ratio, and percentage. All currency related amount are indicated in the company's associated stock exchange currency.
| This Year (Dec23) TTM: | Last Year (Dec22) TTM: |
Total Receivables was ARS7,110,811 Mil.
Revenue was 2786223.315 + 2640196.296 + 1926942.333 + 1302170.305 = ARS8,655,532 Mil.
Gross Profit was 2786223.315 + 2640196.296 + 1926942.333 + 1302170.305 = ARS8,655,532 Mil.
Total Current Assets was ARS33,520,218 Mil.
Total Assets was ARS187,366,648 Mil.
Property, Plant and Equipment(Net PPE) was ARS919,924 Mil.
Depreciation, Depletion and Amortization(DDA) was ARS325,846 Mil.
Selling, General, & Admin. Expense(SGA) was ARS3,071,367 Mil.
Total Current Liabilities was ARS14,713,855 Mil.
Long-Term Debt & Capital Lease Obligation was ARS19,510,268 Mil.
Net Income was 646363.729 + 592237.269 + 426182.088 + 278957.93 = ARS1,943,741 Mil.
Non Operating Income was 0 + 0 + 0 + 0 = ARS0 Mil.
Cash Flow from Operations was -1076265.97 + 2439170.078 + 628023.982 + 1705872.304 = ARS3,696,800 Mil.
|
Total Receivables was ARS2,504,874 Mil.
Revenue was 1104839.477 + 912704.01 + 809939.606 + 720409.441 = ARS3,547,893 Mil.
Gross Profit was 1104839.477 + 912704.01 + 809939.606 + 720409.441 = ARS3,547,893 Mil.
Total Current Assets was ARS13,290,834 Mil.
Total Assets was ARS74,184,371 Mil.
Property, Plant and Equipment(Net PPE) was ARS371,710 Mil.
Depreciation, Depletion and Amortization(DDA) was ARS124,713 Mil.
Selling, General, & Admin. Expense(SGA) was ARS1,336,915 Mil.
Total Current Liabilities was ARS5,429,208 Mil.
Long-Term Debt & Capital Lease Obligation was ARS8,623,264 Mil.
|
1. DSRI = Days Sales in Receivables Index
Measured as the ratio of Revenue in Total Receivables in year t to year t-1.
A large increase in DSR could be indicative of revenue inflation.
| DSRI | = | (Receivables_t / Revenue_t) | / | (Receivables_t-1 / Revenue_t-1) |
| = | (7110811.462 / 8655532.249) | / | (2504873.857 / 3547892.534) |
| = | 0.821534 | / | 0.706017 |
| | = | 1.1636 |
2. GMI = Gross Margin Index
Measured as the ratio of gross margin in year t-1 to gross margin in year t.
Gross margin has deteriorated when this index is above 1. A firm with poorer prospects is more likely to manipulate earnings.
| GMI | = | GrossMargin_t-1 | / | GrossMargin_t |
| = | (GrossProfit_t-1 / Revenue_t-1) | / | (GrossProfit_t / Revenue_t) |
| = | (3547892.534 / 3547892.534) | / | (8655532.249 / 8655532.249) |
| = | 1 | / | 1 |
| | = | 1 |
3. AQI = Asset Quality Index
AQI is the ratio of asset quality in year t to year t-1.
Asset quality is measured as the ratio of non-current assets other than Property, Plant and Equipment to Total Assets.
| AQI | = | (1 - (CurrentAssets_t + PPE_t) / TotalAssets_t) | / | (1 - (CurrentAssets_t-1 + PPE_t-1) / TotalAssets_t-1) |
| = | (1 - (33520218.172 + 919924.487) / 187366647.618) | / | (1 - (13290834.093 + 371710.342) / 74184371.254) |
| = | 0.816189 | / | 0.81583 |
| | = | 1.0004 |
4. SGI = Sales Growth Index
Ratio of Revenue in year t to sales in year t-1.
Sales growth is not itself a measure of manipulation. However, growth companies are likely to find themselves under pressure to manipulate in order to keep up appearances.
| SGI | = | Sales_t | / | Sales_t-1 |
| = | Revenue_t | / | Revenue_t-1 |
| = | 8655532.249 | / | 3547892.534 |
| | = | 2.4396 |
5. DEPI = Depreciation Index
Measured as the ratio of the rate of Depreciation, Depletion and Amortization in year t-1 to the corresponding rate in year t.
DEPI greater than 1 indicates that assets are being depreciated at a slower rate. This suggests that the firm might be revising useful asset life assumptions upwards, or adopting a new method that is income friendly.
| DEPI | = | (Depreciation_t-1 / (Depreciaton_t-1 + PPE_t-1)) | / | (Depreciation_t / (Depreciaton_t + PPE_t)) |
| = | (124712.709 / (124712.709 + 371710.342)) | / | (325846.031 / (325846.031 + 919924.487)) |
| = | 0.251223 | / | 0.261562 |
| | = | 0.9605 |
Note: If the Depreciation, Depletion and Amortization data is not available, we assume that the depreciation rate is constant and set the Depreciation Index to 1.
6. SGAI = Sales, General and Administrative expenses Index
The ratio of Selling, General, & Admin. Expense(SGA) to Sales in year t relative to year t-1.
SGA expenses index > 1 means that the company is becoming less efficient in generate sales.
| SGAI | = | (SGA_t / Sales_t) | / | (SGA_t-1 /Sales_t-1) |
| = | (3071366.723 / 8655532.249) | / | (1336914.926 / 3547892.534) |
| = | 0.354844 | / | 0.376819 |
| | = | 0.9417 |
7. LVGI = Leverage Index
The ratio of total debt to Total Assets in year t relative to yeat t-1.
An LVGI > 1 indicates an increase in leverage
| LVGI | = | ((LTD_t + CurrentLiabilities_t) / TotalAssets_t) | / | ((LTD_t-1 + CurrentLiabilities_t-1) / TotalAssets_t-1) |
| = | ((19510267.766 + 14713855.464) / 187366647.618) | / | ((8623264.447 + 5429208.293) / 74184371.254) |
| = | 0.182659 | / | 0.189426 |
| | = | 0.9643 |
8. TATA = Total Accruals to Total Assets
Total accruals calculated as the change in working capital accounts other than cash less depreciation.
| TATA | = | (IncomefromContinuingOperations_t | - | CashFlowsfromOperations_t) | / | TotalAssets_t |
| = | (NetIncome_t - NonOperatingIncome_t | - | CashFlowsfromOperations_t) | / | TotalAssets_t |
| = | (1943741.016 - 0 | - | 3696800.394) | / | 187366647.618 |
| | = | -0.009356 |
An M-Score of equal or less than -1.78 suggests that the company is unlikely to be a manipulator. An M-Score of greater than -1.78 signals that the company is likely to be a manipulator.
Itau Unibanco Holding has a M-score of -1.07 signals that the company is likely to be a manipulator.
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