Credit Suisse Group AG 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 Credit Suisse Group AG 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 * 0.9983 | + | 0.528 * 1 | + | 0.404 * 1.1074 | + | 0.892 * 0.8299 | + | 0.115 * 1.4931 |
| - | 0.172 * SGAI | + | 4.679 * TATA | - | 0.327 * LVGI |
| - | 0.172 * 1.1089 | + | 4.679 * -0.038472 | - | 0.327 * 1.2936 |
| = | -2.83 |
* 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 (Dec22) TTM: | Last Year (Dec21) TTM: |
Total Receivables was $17,605 Mil.
Revenue was 3161.228 + 3588.822 + 3615.749 + 4733.161 = $15,099 Mil.
Gross Profit was 3161.228 + 3588.822 + 3615.749 + 4733.161 = $15,099 Mil.
Total Current Assets was $93,444 Mil.
Total Assets was $570,371 Mil.
Property, Plant and Equipment(Net PPE) was $7,438 Mil.
Depreciation, Depletion and Amortization(DDA) was $1,824 Mil.
Selling, General, & Admin. Expense(SGA) was $11,970 Mil.
Total Current Liabilities was $30,305 Mil.
Long-Term Debt & Capital Lease Obligation was $171,376 Mil.
Net Income was -1495.277 + -4144.662 + -1641.929 + -293.738 = $-7,576 Mil.
Non Operating Income was 0 + 0 + 0 + 0 = $0 Mil.
Cash Flow from Operations was 9084.371 + 8829.754 + 1451.247 + -4997.848 = $14,368 Mil.
|
Total Receivables was $21,250 Mil.
Revenue was 4695.983 + 5924.361 + 4734.523 + 2839.32 = $18,194 Mil.
Gross Profit was 4695.983 + 5924.361 + 4734.523 + 2839.32 = $18,194 Mil.
Total Current Assets was $202,733 Mil.
Total Assets was $820,666 Mil.
Property, Plant and Equipment(Net PPE) was $7,932 Mil.
Depreciation, Depletion and Amortization(DDA) was $3,303 Mil.
Selling, General, & Admin. Expense(SGA) was $13,008 Mil.
Total Current Liabilities was $40,290 Mil.
Long-Term Debt & Capital Lease Obligation was $184,025 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) |
| = | (17605.195 / 15098.96) | / | (21249.729 / 18194.187) |
| = | 1.165987 | / | 1.167941 |
| | = | 0.9983 |
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) |
| = | (18194.187 / 18194.187) | / | (15098.96 / 15098.96) |
| = | 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 - (93443.538 + 7437.742) / 570371.404) | / | (1 - (202732.899 + 7931.596) / 820665.581) |
| = | 0.823131 | / | 0.7433 |
| | = | 1.1074 |
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 |
| = | 15098.96 | / | 18194.187 |
| | = | 0.8299 |
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)) |
| = | (3302.837 / (3302.837 + 7931.596)) | / | (1823.628 / (1823.628 + 7437.742)) |
| = | 0.293992 | / | 0.196907 |
| | = | 1.4931 |
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) |
| = | (11969.874 / 15098.96) | / | (13007.712 / 18194.187) |
| = | 0.792761 | / | 0.714938 |
| | = | 1.1089 |
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) |
| = | ((171376.127 + 30304.852) / 570371.404) | / | ((184024.973 + 40289.902) / 820665.581) |
| = | 0.353596 | / | 0.273333 |
| | = | 1.2936 |
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 |
| = | (-7575.606 - 0 | - | 14367.524) | / | 570371.404 |
| | = | -0.038472 |
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.
Credit Suisse Group AG has a M-score of -2.83 suggests that the company is unlikely to be a manipulator.
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