Moody s RiskCalc External Model Specification:

Transcription

1 Moody s RiskCalc External Model Specification: Last Updated: March 27, 2003 Contact Phone South Bend Robert Weiss Copyright 2002 by Moody s Investors Service, Inc., 99 Church Street, New York, New York, All rights reserved. ALL INFORMATION CONTAINED HEREIN IS COPYRIGHTED IN THE NAME OF MOODY S INVESTORS SERVICE, INC. ( MOODY S ), AND NONE OF SUCH INFORMATION MAY BE COPIED OR OTHERWISE REPRODUCED, REPACKAGED, FURTHER TRANSMITTED, TRASFERRED, DISSEMINATED, REDISTRIBUTED OR RESOLD, OR STORED FOR SUBSEQUENT USE FOR ANY SUCH PURPOSE, IN WHOLE OR IN PART, IN ANY FORM OR MANNER OR BY ANY MEANS WHATSOEVER, BY ANY PERSON WITHOUT MOODY S PRIOR WRITTEN CONSENT. All information contained herein is obtained by MOODY S from sources believed by it to be accurate and reliable. Because of the possibility of human or mechanical error as well as other factors, however, such information is provided as is without warranty of any kind and MOODY S, in particular, makes no representation or warranty, express or implied, as to the accuracy, timeliness, completeness, merchantability or fitness for any particular purpose of any such information. Under no circumstances shall MOODY S have any liability to any person or entity for (a) any loss or damage in whole or in part caused by, resulting from, or relating to, any error (negligent or otherwise) or other circumstance or contingency within or outside the control of MOODY S or any of its directors, officers, employees or agents in connection with the procurement, collection, compilation, analysis, interpretation, communication, publication or delivery of any such information, or (b) any direct, indirect, special, consequential, compensatory or incidental damages whatsoever (including without limitation, lost profits), even if MOODY S is advised in advance of the possibility of such damages, resulting from the use of or inability to use, any such information. The credit ratings, if any, constituting part of the information contained herein are, and must be construed solely as, statements of opinion and not statements of fact or recommendations to purchase, sell or hold any securities. NO WARRANTY, EXPRESS OR IMPLIED, AS TO THE ACCURACY, TIMELINESS, COMPLETENESS, MERCHANTABILITY OR FITNESS FOR ANY PARTICULAR PURPOSE OF ANY SUCH RATING OR OTHER OPINION OR INFORMATION IS GIVEN OR MADE BY MOODY S IN ANY FORM OR MANNER WHATSOEVER. Each rating or other opinion must be weighed solely as one factor in any investment decision made by or on behalf of any user of the information contained herein, and each such user must accordingly make its own study and evaluation of each security and of each issuer and guarantor of, and each provider of credit support for, each security that it may consider purchasing, holding or selling. Pursuant to Section 17(b) of the Securities Act of 1933, MOODY S hereby discloses that most issuers of debt securities (including corporate and municipal bonds, debentures, notes and commercial paper) and preferred stock rated by MOODY S have, prior to assignment of any rating, agreed to pay to MOODY S for appraisal and rating services rendered by it fees ranging from $1,000 to $1,500,000. RiskCalc External Model Specification 1 of 5 Last Updated 27-Mar-03

2 Introduction This document describes the functions and their associated parameters available in the RiskCalc for Australian Private Companies model. This document works in conjunction with the document, RiskCalc External Integration Specification to describe how to access RiskCalc directly via its integration interface. The interface uses Extensible Markup Language (XML) as its communication protocol. The RiskCalc External Integration Specification describes the XML protocol and this document describes the functions and parameters specific to this particular model. Description This model is used for analyzing middle market private companies in Australia. It is beyond the scope of this document to describe how the RiskCalc models work or to give detailed definitions of their various inputs and outputs. For technical information about the RiskCalc for Australian Private Companies model, please refer to the following document(s) available from the RiskCalc web site: RiskCalc For Private Companies II: More Results and the Australian Model Rating Methodology Model IDs Model ID: PRV SubModel ID: AUST Supported Currencies: AUD Australian Dollars For those models that support multiple currencies, the currency is specified in the CURRENCY= attribute of the <OPERATION> tag in the XML data stream. If not specified, by default this model will interpret the inputs as Australian Dollars. RiskCalc External Model Specification 2 of 5 Last Updated 27-Mar-03

3 Functions Available: PDCLC Calculate PD for a private company Note: All arguments are optional except Fiscal Year. If any optional argument is omitted, the model will assume a mean value for that argument. Values should be entered in thousands of Australian Dollar units. Input Arguments Argument Type FirmID Description Identifier used for obligor-based subscriptions. When scoring companies using an obligor-based agreement, this field should contain the FirmID provided from a previous RiskCalc operation. If empty RiskCalc will generate a unique FirmID identifier consuming one obligor of the subscription. Verbose Determines the amount of data that is returned. The default is 0 (terse) if this argument is omitted. Valid values are 0 through 3. The arguments that are returned for a given verbosity level or higher are indicated in the V column in the Output Values table. FiscalYear CashEquivalents Inventory CurrAssets TotalAssets CurrLiabilities TotalLiabilities RetainedEarnings Sales PrevYrSales NetIncome ExtraItems Fiscal year Cash & Equivalents Inventory Current Assets Total Assets Current Liabilities Total Liabilities Retained Earnings Sales Prev. Year's Sales Net Income Extraordinary Items RiskCalc External Model Specification 3 of 5 Last Updated 27-Mar-03

4 Output Values Output Type Description V FirmID Returns the RiskCalc FirmID for obligor based subscriptions, 0 otherwise returns empty. 1YrPD 1-Year PD 0 Custom1Yr 1-Year Custom PD Rate Mapping 0 If no custom mappings are defined, this parameter is omitted 5YrPD 5-Year PD 1 Custom5Yr 5-Year Custom PD Rate Mapping 1 If no custom mappings are defined, this parameter is omitted 5YrBondDefaultRateMapping Moody s 5-Year Bond Default Rate Mapping 1 Percentile1YrPD 1-yr PD Percentile 1 Percentile5YrPD 5-yr PD Percentile 1 Percentile5YrRateMapping 5-yr Percentile Rate Mapping 1 RiskCalcOrdinal RiskCalc Ordinal 1 SizeOrdinal Size Ordinal 1 CapitalStructureOrdinal Capital Structure Ordinal 1 ProfitabilityOrdinal Profitability Ordinal 1 LiquidityOrdinal Liquidity Ordinal 1 TradingAccountsOrdinal Trading Accounts Ordinal 1 SalesGrowthOrdinal Sales Growth Ordinal 1 Assets Current Assets 1 InventoriesSales Inventories / Sales 1 LiabilitiesAssets Liabilities / Assets 1 NetIncomeAssets Net Income / Assets 1 SalesGrowth Sale Growth 1 CashAssets Cash / Assets 1 RetainedEarningsAssets Retained Earnings / Assets 1 CurrentRatio Current Ratio 1 PrvError Error value 1 PercentileAssets Current Assets Percentile 2 PercentileInventoriesSales Inventories / Sales Percentile 2 PercentileLiabilitiesAssets Liabilities / Assets Percentile 2 PercentileNetIncomeAssets Net Income / Assets Percentile 2 PercentileSalesGrowth Sale Growth Percentile 2 PercentileCashAssets Cash / Assets Percentile 2 PercentileRetEarningsAssets Retained Earnings / Assets Percentile 2 PercentileCurrentRatio Current Ratio Percentile 2 1YrRelativeContributionAssets 1-yr Relative Contribution: Current Assets 3 1YrRelativeContributionInventoriesSales 1-yr Relative Contribution: Inventories / Sales 3 1YrRelativeContributionLiabilitiesAssets 1-yr Relative Contribution: Liabilities / Assets 3 1YrRelativeContributionNetIncomeAssets 1-yr Relative Contribution: Net Income / Assets 3 1YrRelativeContributionSalesGrowth 1-yr Relative Contribution: Sale Growth 3 1YrRelativeContributionCashAssets 1-yr Relative Contribution: Cash / Assets 3 1YrRelativeContributionRetEarningsAssets 1-yr Relative Contribution: Retained Earnings / Assets 3 1YrRelativeContributionCurrentRatio 1-yr Relative Contribution: Current Ratio 3 5YrRelativeContributionAssets 5-yr Relative Contribution: Current Assets 3 5YrRelativeContributionInventoriesSales 5-yr Relative Contribution: Inventories / Sales 3 5YrRelativeContributionLiabilitiesAssets 5-yr Relative Contribution: Liabilities / Assets 3 5YrRelativeContributionNetIncomeAssets 5-yr Relative Contribution: Net Income / Assets 3 5YrRelativeContributionSalesGrowth 5-yr Relative Contribution: Sale Growth 3 5YrRelativeContributionCashAssets 5-yr Relative Contribution: Cash / Assets 3 5YrRelativeContributionRetEarningsAssets 5-yr Relative Contribution: Retained Earnings / Assets 3 5YrRelativeContributionCurrentRatio 5-yr Relative Contribution: Current Ratio 3 RiskCalc External Model Specification 4 of 5 Last Updated 27-Mar-03

5 Revision History 27-Mar-03 Changed RiskCalc to Moody s Riskcalc on title page. Added legal disclaimers to title page Change contact from Kurt Schweitzer to Robert Weiss Changed from MRMS logo to MKMV logo Added information for supported and default currencies 05-Jun-02 First version of this document dedicated to the. This information was previously contained in the document, RiskCalc External Model Specification, which is now obsolete. RiskCalc External Model Specification 5 of 5 Last Updated 27-Mar-03