經濟,財務,統計學,數理科學與政治評論

Hello there:

  這裡要談的是固定收益證券的信用分析!!

(A) 4C for credit analysis: Character, Covenants (affirmative and negative), Collateral, Capacity to pay

(B) 常用的信用財務比率:

  Profitability(ROE, ROA)

  Debt and Coverage Ratio: 

  1. Short-term solvency tests (the current raio, the acid-test ratio)

  2. Capitalization tests (financial leverage raios)

   a. Long-term debt to capitalization

   = Long-term debt/(Long-term debt + Sh's equity including monority interest and preferred stock)

   note that the PV of operating lease expense is included in the long-term debt

   b. Total debt to capitalization

   = (Current liabilities + Long-term debt)/(Current liabilities + Long-term debt + Sh's equity including monority interest and preferred stock)

  3. Coverage tests

  a. EBIT interest coverage ratio = EBIT/interst expense

    note that interest expense includes capitalized interest from capitalized assets

  b. EBITDA interest coverage ratio = EBITDA/interest expense

  4. Cash Flow analysis

  a. funds from operation/total debt ratio

     funds from operation

     = net income + dep.+ Amort. + deferred income taxes +/- other non-cash items

     = Cash flow from operation + NWCInv

     = Net Income + Non-Cash Charges(NCC) <前面在Equity Valuation中所採用的定義>                   

  b. free operating cash flow/total debt ratio

     free operating cash flow

     = funds from operation - NWCInv - FCInv <前面在Equity Valuation中所採用的定義>

     = FCFF - IntExp*(1 - Tax Rate) <前面在Equity Valuation中所採用的定義>

     = NI + NCC - NWCInv - FCInc <前面在Equity Valuation中所採用的定義>

     discretionary cash flow

     = free operating cash flow - cash dividends

     = NI + NCC - NWCInv - FCInv - cash dividends <前面在Equity Valuation中所採用的定義>

  c. Debt service coverage ratio (數值越大越好,表示企業越能承擔利息與本金支出)

     Debt service coverage ratio

     = (Free operating cash Flow + interest expense)/(interest expense + Annual principal repayment obligation) 

  d. Debt payback period (數值越小越好,表示企業的discretionary cash flow遠大於自身整體債務)

     Debt payback period

   = Total debt/Discretionary cash flow

   = total debt/(NI + NCC - NWCInv - FCInv - Cash dividends)

   值得注意的是,當我們在衡量信評較高的企業時(the long-term viability is more assured),Funds from operation-to-total debt 是比較常用的數值,其中的funds from operation是我們比較常用的概念;同樣的,在衡量信評較低的企業時(e.g. speculative-grade issuers),我們比較重視Debt service overage ratio,其中free operating cash flow是我們比較常用的概念!!