Golub Capital BDC 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 Golub Capital BDC 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 * 0.7619 | + | 0.528 * 1 | + | 0.404 * 1.0003 | + | 0.892 * 2.4836 | + | 0.115 * 1 |
| - | 0.172 * SGAI | + | 4.679 * TATA | - | 0.327 * LVGI |
| - | 0.172 * 0.4617 | + | 4.679 * 0.000482 | - | 0.327 * 0.9889 |
| = | -1.28 |
* 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 $54.5 Mil.
Revenue was 82.342 + 109.05 + 78.443 + 62.285 = $332.1 Mil.
Gross Profit was 82.342 + 109.05 + 78.443 + 62.285 = $332.1 Mil.
Total Current Assets was $131.2 Mil.
Total Assets was $5,699.9 Mil.
Property, Plant and Equipment(Net PPE) was $0.0 Mil.
Depreciation, Depletion and Amortization(DDA) was $0.0 Mil.
Selling, General, & Admin. Expense(SGA) was $15.1 Mil.
Total Current Liabilities was $70.4 Mil.
Long-Term Debt & Capital Lease Obligation was $3,065.3 Mil.
Net Income was 75.776 + 101.564 + 72.983 + 58.503 = $308.8 Mil.
Non Operating Income was 0 + 0 + 0 + 0 = $0.0 Mil.
Cash Flow from Operations was 163.629 + 64.123 + 48.544 + 29.785 = $306.1 Mil.
|
Total Receivables was $28.8 Mil.
Revenue was 32.979 + 13.534 + 19.375 + 67.835 = $133.7 Mil.
Gross Profit was 32.979 + 13.534 + 19.375 + 67.835 = $133.7 Mil.
Total Current Assets was $132.0 Mil.
Total Assets was $5,665.8 Mil.
Property, Plant and Equipment(Net PPE) was $0.0 Mil.
Depreciation, Depletion and Amortization(DDA) was $0.0 Mil.
Selling, General, & Admin. Expense(SGA) was $13.2 Mil.
Total Current Liabilities was $67.6 Mil.
Long-Term Debt & Capital Lease Obligation was $3,084.4 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) |
| = | (54.494 / 332.12) | / | (28.797 / 133.723) |
| = | 0.164079 | / | 0.215348 |
| | = | 0.7619 |
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) |
| = | (133.723 / 133.723) | / | (332.12 / 332.12) |
| = | 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 - (131.152 + 0) / 5699.88) | / | (1 - (132.004 + 0) / 5665.751) |
| = | 0.97699 | / | 0.976701 |
| | = | 1.0003 |
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 |
| = | 332.12 | / | 133.723 |
| | = | 2.4836 |
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)) |
| = | (0 / (0 + 0)) | / | (0 / (0 + 0)) |
| = | | / | |
| | = | 1 |
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) |
| = | (15.08 / 332.12) | / | (13.152 / 133.723) |
| = | 0.045405 | / | 0.098353 |
| | = | 0.4617 |
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) |
| = | ((3065.284 + 70.447) / 5699.88) | / | ((3084.416 + 67.624) / 5665.751) |
| = | 0.55014 | / | 0.556332 |
| | = | 0.9889 |
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 |
| = | (308.826 - 0 | - | 306.081) | / | 5699.88 |
| | = | 0.000482 |
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.
Golub Capital BDC has a M-score of -1.28 signals that the company is likely to be a manipulator.
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