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 * 1.2515 | + | 0.528 * 1 | + | 0.404 * 1.0363 | + | 0.892 * 1.0533 | + | 0.115 * 0.9618 |
| - | 0.172 * SGAI | + | 4.679 * TATA | - | 0.327 * LVGI |
| - | 0.172 * 0.7249 | + | 4.679 * -0.016512 | - | 0.327 * 0.9582 |
| = | -2.21 |
* 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 $19,698 Mil.
Revenue was 7694.804 + 7523.842 + 8007.911 + 6574.127 = $29,801 Mil.
Gross Profit was 7694.804 + 7523.842 + 8007.911 + 6574.127 = $29,801 Mil.
Total Current Assets was $76,242 Mil.
Total Assets was $519,021 Mil.
Property, Plant and Equipment(Net PPE) was $2,548 Mil.
Depreciation, Depletion and Amortization(DDA) was $1,137 Mil.
Selling, General, & Admin. Expense(SGA) was $10,549 Mil.
Total Current Liabilities was $39,887 Mil.
Long-Term Debt & Capital Lease Obligation was $54,216 Mil.
Net Income was 1790.481 + 1692.348 + 1775.759 + 1412.088 = $6,671 Mil.
Non Operating Income was 0 + 0 + 0 + 0 = $0 Mil.
Cash Flow from Operations was -2981.346 + 6970.053 + 2616.767 + 8635.142 = $15,241 Mil.
|
Total Receivables was $14,943 Mil.
Revenue was 8336.638 + 6552.369 + 6712.958 + 6691.182 = $28,293 Mil.
Gross Profit was 8336.638 + 6552.369 + 6712.958 + 6691.182 = $28,293 Mil.
Total Current Assets was $78,193 Mil.
Total Assets was $442,948 Mil.
Property, Plant and Equipment(Net PPE) was $2,217 Mil.
Depreciation, Depletion and Amortization(DDA) was $935 Mil.
Selling, General, & Admin. Expense(SGA) was $13,817 Mil.
Total Current Liabilities was $32,378 Mil.
Long-Term Debt & Capital Lease Obligation was $51,436 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) |
| = | (19697.539 / 29800.684) | / | (14942.807 / 28293.147) |
| = | 0.660976 | / | 0.528142 |
| | = | 1.2515 |
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) |
| = | (28293.147 / 28293.147) | / | (29800.684 / 29800.684) |
| = | 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 - (76241.684 + 2548.267) / 519021.185) | / | (1 - (78193.083 + 2217.181) / 442948.107) |
| = | 0.848195 | / | 0.818466 |
| | = | 1.0363 |
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 |
| = | 29800.684 | / | 28293.147 |
| | = | 1.0533 |
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)) |
| = | (935.319 / (935.319 + 2217.181)) | / | (1136.808 / (1136.808 + 2548.267)) |
| = | 0.296691 | / | 0.30849 |
| | = | 0.9618 |
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) |
| = | (10549.033 / 29800.684) | / | (13816.51 / 28293.147) |
| = | 0.353986 | / | 0.488334 |
| | = | 0.7249 |
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) |
| = | ((54215.682 + 39886.934) / 519021.185) | / | ((51436.115 + 32377.893) / 442948.107) |
| = | 0.181308 | / | 0.189219 |
| | = | 0.9582 |
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 |
| = | (6670.676 - 0 | - | 15240.616) | / | 519021.185 |
| | = | -0.016512 |
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 -2.21 suggests that the company is unlikely to be a manipulator.
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