Altman Z-Score+ mobile, wearable, web, PC-based Apps, web service and Bloomberg Terminal app provides the client with timely assessments of the credit risk and probability of default of companies on a global basis based on the famed and well tested Altman Z-Score family of models. Business Compass LLC has teamed up with the creator of the Z-Score model, the international global expert on credit risk, Dr. Edward I. Altman, Max L. Heine Professor of Finance at the NYU Stern School of Business and Director of the NYU Salomon Center’s Credit and Debt Markets Program, to provide this important tool for corporate credit analysis. This product makes analysis of 70,000+ companies trading worldwide over 130+ exchanges. Our web site address is altmanzscoreplus.com.
2. Agenda
• What
is
Altman
Z-‐Score+
• Benefits,
Features
&
Audience
• Credit
Scoring
Methodology
• Credit
Scoring
Systems
• Altman
Z-‐Score+
Bloomberg
Power
App
• Desktop,
Mobile,
Web
&
Web
Service
• Web
Service
• Live
analysis
using
Bloomberg
Power
App
• Live
analysis
using
Web
App
• Summary
• Q&A
• Appendix
hJp://www.altmanzscoreplus.com
2
3. What
is
Altman
Z-‐Score+
Altman
Z-‐Score+
is
a
corporate
credit
scoring
system
developed
in
collaboraPon
with
Dr.
Ed
Altman,
Professor
of
Finance
at
NYU
Stern
School
of
Business.
Classic
Enhancements
• Generate
Z,
Z’
&
Z”
Scores
for
public
&
private
firms
• EsPmate
Bond
RaPng
Equivalent
(BRE)
• Predict
1-‐10
years
of
Probability
of
Default
(PD)
ExisPng
bond/loan
New
Bond/loan
• Rank
firms
within
and
across
industry
Insights
beyond
the
tradi5onal
Z-‐Score!
hJp://www.altmanzscoreplus.com
3
4. Benefits,
Features
and
Audience
Benefits
Features
• Analyze
credit
risk
• Spot
investment
opportuniPes
• Develop
trading
strategy
• IdenPfy
turnaround
opportuniPes
• Use
BRE
for
loan
pricing
and
valuaPon
• Monitor
long-‐term
solvency
• MiPgate
supply
chain
risk
• MiPgate
account
receivables
risk
• Analyze
credit
risk
of
a
public
company
• Analyze
historical
trend
of
public
companies
• Compare
2
or
more
public
companies
• Analyze
credit
risk
of
companies
in
a
por`olio
• Enter
data
or
upload
file
to
analyze
both
private
and
public
companies
Target
Audience
• Common
stock
and
corporate
bond
investors
• SecuriPzaPon
specialists
• Financial
Advisors
• Credit
officers
at
financial
insPtuPons
• Turnaround
pracPPoners
• Bankruptcy
and
Restructuring
Lawyers
• Corporate
officers
and
Auditors
hJp://www.altmanzscoreplus.com
4
5. Agenda
hJp://www.altmanzscoreplus.com
5
• What
is
Altman
Z-‐Score+
• Benefits,
Features
&
Audience
• Credit
Scoring
Methodology
• Credit
Scoring
Systems
• Altman
Z-‐Score+
Bloomberg
Power
App
• Desktop,
Mobile,
Web
&
Web
Service
• Web
Service
• Live
analysis
using
Bloomberg
Power
App
• Live
analysis
using
Web
App
• Summary
• Q&A
• Appendix
6. Credit
Scoring
Methodology
BRE
1-‐10
years
ExisPng
Bond/Loan
PD
1-‐10
years
New
Bond/
Loan
PD
US
Public
MFG
Z”
Z’
Z
NWC
=
CA-‐CL
BV
LiabiliPes
Retained
Earnings
Total
Assets
MV
of
EquiPes
BV
EquiPes
LTM
EBIT
Intangibles
(if
available)
LTM
Sales
PercenPle
Ranking
within
Industry
PercenPle
Ranking
Across
Industry
Industry
Z-‐Series
Score
Z/Z’
Z
Z’/Z”
CLASSIFICATION
DATA
ANALYSIS
YES
NO
YES
YES
NO
NO
hJp://www.altmanzscoreplus.com
6
7. Z-‐Series
Score
Formula
hJp://www.altmanzscoreplus.com
7
Note:
If
intangible
assets
is
available,
Net
Tangible
Assets
is
used
instead
of
Total
Assets
8. Data
ObservaPons
–
zero
and
negaPve
values
• Net
Working
Capital
(NWC)
can
be
–ve
– Firm
using
vendor
financing
• EBIT
can
be
–ve
– Reflects
a
net
loss
• Retained
Earning
can
be
–ve
– Ending
R/E=Beginning
R/E
+
NI
–
Dividend
• Net
loss
• Or,
dividend
paid
is
higher
than
Net
Income
hJp://www.altmanzscoreplus.com
8
9. ExisPng
vs.
New
Bond/Loan
PD
hJp://www.altmanzscoreplus.com
9
PD
1-‐10
years
into
the
future
New
Bond/Loan
PD
Historical
experience
of
over
2,500
defaulPng
firms
over
the
period
1971-‐2010
as
aggregated
by
Professor
Altman
in
his
highly
acclaimed
"mortality
rate"
approach.
This
approach
analyzes
firm
incidence
of
default
in
a
manner
similar
to
an
insurance
actuary's
assessment
of
"new-‐born"
human
beings.
Newly
issued
securiPes
Type
Methodology
Usage
ExisPng
Bond/Loan
PD
Historical
incidence
of
default
1-‐10
years
for
issues/
firms
with
a
certain
bond
raPng
as
of
some
point
in
Pme.
Accounts
Receivable
Accounts
Payable
ExisPng
bonds/loans
10. IMPROVEMENTS
BRE
and
PD
offer
deeper
analysis
hJp://www.altmanzscoreplus.com
10
Year
CumulaPve
ExisPng
Bond/Loan
PD
%
CumulaPve
New
Bond/Loan
PD
%
1
0.03
0.01
2
0.05
0.05
3
0.37
0.25
4
0.59
0.41
5
0.76
0.51
6
0.93
0.59
7
1.01
0.62
8
1.13
0.83
9
1.27
0.90
10
1.51
0.95
Z-‐Score
4.47
BRE
A1/A+
3.0
1.81
GREEN
GRAY
RED
Z-‐Score
Band
1
2
3
PercenPle
Ranking
within
industry
PercenPle
Ranking
across
manufacturing
sector
76%
75%
11. Some
applicaPons
of
BRE
hJp://www.altmanzscoreplus.com
11
BRE
+
MRP
+
Spread
Investment
Strategy
Discount
Rate
Loan
Pricing
PUT
OpPon
UnderwriPng
ValuaPon
Premium
12. ValuaPon
–
BRE
can
serve
as
discount
rate
hJp://www.altmanzscoreplus.com
12
FCF1
FCF2
FCF3
FCF4
FCF5
Terminal
Value
T=0
Horizon
period
• Enterprise
Value
=
Net
Present
Value
(NPV)
of
Free
Cash
Flow
(FCF)
+
Present
Value
(PV)
of
Terminal
Value
+
Net
Debt
(Debt
–
Cash)
• BRE
+
Market
Risk
Premium
(MRP)
can
serve
as
discount
rate
15. Agenda
hJp://www.altmanzscoreplus.com
15
• What
is
Altman
Z-‐Score+
• Benefits,
Features
&
Audience
• Credit
Scoring
Methodology
• Credit
Scoring
Systems
• Altman
Z-‐Score+
Bloomberg
Power
App
• Desktop,
Mobile,
Web
&
Web
Service
• Web
Service
• Live
analysis
using
Bloomberg
Power
App
• Live
analysis
using
Web
App
• Summary
• Q&A
• Appendix
16. Credit
Scoring
Systems
Web
Bloomberg
Power
App
Mobile
App
Desktop
Web
Service
SYSTEMS
Bankers
Traders
Por`olio
Managers
Risk
Officers
Hedge
Fund
Managers
A/R
Managers
Supply
Chain
Managers
Controllers
Auditors
Lawyers
Credit
Officers
Insurance
Underwriters
Consultants
Internal
Corporate
Users
Financial
Franchises
ERP
Systems
UnderwriPng
Systems
Approval
Systems
Travellers
AUDIENCE
Heavy
Financial
Analysis
Convenience
Office
Use
Enterprise
Systems
USAGE
hJp://www.altmanzscoreplus.com
16
17. Agenda
hJp://www.altmanzscoreplus.com
17
• What
is
Altman
Z-‐Score+
• Benefits,
Features
&
Audience
• Credit
Scoring
Methodology
• Credit
Scoring
Systems
• Altman
Z-‐Score+
Bloomberg
Power
App
• Desktop,
Mobile,
Web
&
Web
Service
• Web
Service
• Live
analysis
using
Bloomberg
Power
App
• Live
analysis
using
Web
App
• Summary
• Q&A
• Appendix
18. • Provides
access
to
public
firms
worldwide
• Offers
value
beyond
AZS
command
– BRE
– PercenPle
Ranking
– PD
• Requires
Bloomberg
Terminal
• Access
via
APPS
ALTMAN
<GO>
hJp://www.altmanzscoreplus.com
18
Altman
Z-‐Score+
Bloomberg
Power
App
20. Mobile,
Desktop,
Web
Apps
&
Web
Service
Processing
Engine
Desktop
Mobile
Web
Web
Service
• Analyze
public
industrial
firms
listed
in
the
United
States
and
Canada
– 6,000+
industrial
companies
available
– Three
years
history
is
available
hJp://www.altmanzscoreplus.com
20
Excel
Plug-‐in
21. Agenda
hJp://www.altmanzscoreplus.com
21
• What
is
Altman
Z-‐Score+
• Benefits,
Features
&
Audience
• Credit
Scoring
Methodology
• Credit
Scoring
Systems
• Altman
Z-‐Score+
Bloomberg
Power
App
• Desktop,
Mobile,
Web
&
Web
Service
• Web
Service
• Live
analysis
using
Bloomberg
Power
App
• Live
analysis
using
Web
App
• Summary
• Q&A
• Appendix
22. Web
Service
Modularity
Produc5vity
Portability
• Pla`orm
agnosPc
• SOAP/REST
Protocol
• Java,
C#,
VB,
PHP,
HTML
• Faster
Time-‐To-‐Market
• Minimal
learning
curve
• Client
stubs
available
• Plug-‐N-‐Play
across
applicaPons
• Select
any
funcPon
KEY
BENEFITS
KEY
FEATURES
• Integrate
with
enterprise
systems
• Perform
the
analysis
seamlessly
without
switching
applicaPons
hJp://www.altmanzscoreplus.com
22
23. How
does
Web
Service
work?
hJp://www.altmanzscoreplus.com
23
AltmanZScoreService
Web
Service
APIs
Enterprise
ApplicaPon
User
clicks
a
buJon
ApplicaPon
sends
a
request
in
the
background
Result
displayed
ApplicaPon
receives
a
response
Request
Response
1
3
4
2
24. Web
Service
APIs
Analyze
Data
Analyze
US
and
Canada
listed
public
companies
analyzeCompany
fetchAllIndustries
analyzeCompanies
fetchAllManufacturingIndustries
analyzeCompanyQuarterly
fetchAllNonManufacturingIndustries
analyzeCompaniesQuarterly
fetchAnalysisOfMulPpleCompanies
analyzeUSPublicManufacturingCompany
fetchBRE
analyzeUSPrivateManufacturingCompany
fetchCompanyAnalysis
analyzeUSNonManufacturingAndNonUSCompany
fetchCompanyList
calculateZScore
fetchHistoricalAnalysisOfMulPpleCompanies
calculateZPrimeScore
fetchHistoricalCompanyAnalysis
calculateZDoublePrimeScore
fetchIndustryTitle
esPmateBRE
fetchPD
predictPD
fetchPDForYearN
esPmateStaPsPcalPD
fetchPercenPleRanking
fetchSICCodes
fetchZDoublePrimeScore
fetchZScore
predictPDForYearN
scan
scanForCompanyList
hJp://www.altmanzscoreplus.us:8080/api/services/AltmanZScoreService?wsdl
24
25. Live
analysis
using
Altman
Z-‐Score+
Bloomberg
Power
App
hJp://www.altmanzscoreplus.com
25
26. Live
analysis
using
Altman
Z-‐Score+
Web
App
hJp://www.altmanzscoreplus.com
26
27. Summary
• Apps
offers
insight
beyond
tradiPonal
Z-‐Score
• BRE,
Percen5le
Ranking
and
PD
• Apps
offers
trending
and
predicPve
capabiliPes
• Apps
are
simple
and
easy
to
use
hJp://www.altmanzscoreplus.com
27