Santander Consumer USA Holdings 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 Santander Consumer USA Holdings 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 * 0.712 | + | 0.528 * 1 | + | 0.404 * 0.9724 | + | 0.892 * 1.0681 | + | 0.115 * 1.1989 |
| - | 0.172 * SGAI | + | 4.679 * TATA | - | 0.327 * LVGI |
| - | 0.172 * 0.7498 | + | 4.679 * -0.057209 | - | 0.327 * 0.9187 |
| = | -2.87 |
* 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 (Sep21) TTM: | Last Year (Sep20) TTM: |
Total Receivables was $479 Mil.
Revenue was 1709.073 + 1775.354 + 1897.934 + 1722.444 = $7,105 Mil.
Gross Profit was 1709.073 + 1775.354 + 1897.934 + 1722.444 = $7,105 Mil.
Total Current Assets was $2,676 Mil.
Total Assets was $49,074 Mil.
Property, Plant and Equipment(Net PPE) was $15,923 Mil.
Depreciation, Depletion and Amortization(DDA) was $1,760 Mil.
Selling, General, & Admin. Expense(SGA) was $2,199 Mil.
Total Current Liabilities was $555 Mil.
Long-Term Debt & Capital Lease Obligation was $38,432 Mil.
Net Income was 763.324 + 1058.202 + 741.655 + 521.461 = $3,085 Mil.
Non Operating Income was 0 + 0 + 0 + 0 = $0 Mil.
Cash Flow from Operations was 1314.537 + 1755.921 + 2061.117 + 760.547 = $5,892 Mil.
|
Total Receivables was $630 Mil.
Revenue was 1728.477 + 1621.431 + 1751.322 + 1550.291 = $6,652 Mil.
Gross Profit was 1728.477 + 1621.431 + 1751.322 + 1550.291 = $6,652 Mil.
Total Current Assets was $831 Mil.
Total Assets was $48,449 Mil.
Property, Plant and Equipment(Net PPE) was $16,676 Mil.
Depreciation, Depletion and Amortization(DDA) was $2,260 Mil.
Selling, General, & Admin. Expense(SGA) was $2,745 Mil.
Total Current Liabilities was $525 Mil.
Long-Term Debt & Capital Lease Obligation was $41,369 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) |
| = | (478.917 / 7104.805) | / | (629.752 / 6651.521) |
| = | 0.067407 | / | 0.094678 |
| | = | 0.712 |
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) |
| = | (6651.521 / 6651.521) | / | (7104.805 / 7104.805) |
| = | 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 - (2676.01 + 15922.995) / 49074.45) | / | (1 - (831.034 + 16675.602) / 48448.921) |
| = | 0.621004 | / | 0.638658 |
| | = | 0.9724 |
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 |
| = | 7104.805 | / | 6651.521 |
| | = | 1.0681 |
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)) |
| = | (2259.859 / (2259.859 + 16675.602)) | / | (1760.258 / (1760.258 + 15922.995)) |
| = | 0.119345 | / | 0.099544 |
| | = | 1.1989 |
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) |
| = | (2198.7 / 7104.805) | / | (2745.223 / 6651.521) |
| = | 0.309467 | / | 0.412721 |
| | = | 0.7498 |
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) |
| = | ((38431.858 + 554.581) / 49074.45) | / | ((41369.347 + 524.816) / 48448.921) |
| = | 0.794435 | / | 0.864708 |
| | = | 0.9187 |
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 |
| = | (3084.642 - 0 | - | 5892.122) | / | 49074.45 |
| | = | -0.057209 |
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.
Santander Consumer USA Holdings has a M-score of -2.87 suggests that the company is unlikely to be a manipulator.
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