Moody s RiskCalc External Model Specification:

Transcription

1 Moody s RiskCalc External Model Specification: Last Updated: October 31, 2007 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 6 Last Updated 31-Oct-07

2 Introduction This document describes the functions and their associated parameters available in the RiskCalc for Australian Private Companies Model version 1.5. 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, please refer to the following document(s) available from the RiskCalc web site: Moody s RiskCalc Model For Australian Private Firms: Version 1.5 Rating Methodology Model IDs Model ID: PRV SubModel ID: AU 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 6 Last Updated 31-Oct-07

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, with the exception of IndustryCode, which should use the four digit ANZ sic code. Input Arguments Argument Type FirmID Verbose FiscalYear TotalAssets PrevYrAssets CurrAssets IntangibleAssets CurrLiabilities Inventory TotalLiabilities NetIncome PrevYrNetIncome RetainedEarnings Sales PrevYrSales CashEquivalents EBIT InterestExpense ExtraItems IndustryCode IndustryClassification IndustryGroup 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. 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. Fiscal year Assets Previous Year s Assets Current Assets Intangible Assets Current Liabilities Inventory Total Liabilities Net Income Previous Year s Net Income Retained Earnings Sales Previous Year's Sales Cash and Marketable Securities EBITDA Interest Expense Extraordinary Items ANZ sic code represents the complete four digit ANZ sic code. This optional field may be used by client applications that deal with multiple industry code systems. Its purpose is to negatively acknowledge those code systems not compatible with this model. Any value other than ANZ SIC will result in an error message. For example, this parameter would be defined as: <ARGUMENT TYPE="IndustryClassification">ANZ SIC</ARGUMENT> This field may be optionally used by client applications to define a generic industry (as opposed to supplying a specific industry code). Acceptable values for this argument include: Construction Mining Services Manufacturing Other Transportation RiskCalc External Model Specification 3 of 6 Last Updated 31-Oct-07

4 Trade Agriculture Any value other than those defined above will result in an error message. RiskCalc External Model Specification 4 of 6 Last Updated 31-Oct-07

5 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. 1YrBondDefaultRateMapping Moody s 1-Year Bond Default Rate Mapping 1 5YrBondDefaultRateMapping Moody s 5-Year Bond Default Rate Mapping 1 Percentile1YrPD 1-yr PD Percentile 1 Percentile5YrPD 5-yr PD Percentile 1 Assets Ratios or Level: Assets (in 1990 Australian Dollars) 1 NISales Ratios or Level: Net Income less extraordinary items to sales 1 Current Ratio Ratios or Level: Current Ratio 1 CashAssets Ratios or Level: Cash / Assets 1 RetainedEarningsAssets Ratios or Level: Retained Earnings / Assets 1 EBITDAInterest Ratios or Level: EBITDA / Interest Expense 1 InventoriesSales Ratios or Level: Inventory / Sales 1 SalesGrowth Ratios or Level: Sales Growth 1 TangNetWorthTangNetAssets Ratios or Level: Tangible Net Worth / Tangible Assets 1 ChangeROA Ratios or Level: Change ROA 1 PrevNISales Ratios or Level: Previous Yr Net Income / Sales 1 PercentileAssets Percentile: Assets (in 1990 Australian Dollars) 2 PercentileNISales Percentile: Net Income less extraordinary items to sales 2 PercentileCurrent Ratio Percentile: Current Ratio 2 PercentileCashAssets Percentile: Cash / Assets 2 PercentileRetEarningsAssets Percentile: Retained Earnings / Assets 2 PercentileEBITDAInterest Percentile: EBITDA / Interest Expense 2 PercentileInventoriesSales Percentile: Inventory / Sales 2 PercentileSalesGrowth Percentile: Sales Growth 2 PercentileTangNetWorthTangNetAssets Percentile: Tangible Net Worth / Tangible Assets 2 PercentileChangeROA Percentile: Change ROA 2 PercentilePrevNISales Percentile: Previous Yr Net Income / Sales 2 1YrRelativeContributionAssets 1Yr Relative Contribution: Assets (in 1990 Australian Dollars) 3 1YrRelativeContributionNISales 1Yr Relative Contribution: Net Income less extraordinary 3 items to sales 1YrRelativeContributionCurrent Ratio 1Yr Relative Contribution: Current Ratio 3 1YrRelativeContributionCashAssets 1Yr Relative Contribution: Cash / Assets 3 1YrRelativeContributionRetEarningsAssets 1Yr Relative Contribution: Retained Earnings / Assets 3 1YrRelativeContributionEBITDAInterest 1Yr Relative Contribution: EBITDA / Interest Expense 3 1YrRelativeContributionInventoriesSales 1Yr Relative Contribution: Inventory / Sales 3 1YrRelativeContributionSalesGrowth 1Yr Relative Contribution: Sales Growth 3 1YrRelativeContributionTangNetWorthTangNetAssets 1Yr Relative Contribution: Tangible Net Worth / Tangible 3 Assets 1YrRelativeContributionChangeROA 1Yr Relative Contribution: Change ROA 3 1YrRelativeContributionPrevNISales 1Yr Relative Contribution: Previous Yr Net Income / Sales 3 5YrRelativeContributionAssets 5 Yr Relative Contribution: Assets (in 1990 Australian Dollars) 3 5YrRelativeContributionNISales 5 Yr Relative Contribution: Net Income less extraordinary 3 items to sales 5YrRelativeContributionCurrent Ratio 5 Yr Relative Contribution: Current Ratio 3 5YrRelativeContributionCashAssets 5 Yr Relative Contribution: Cash / Assets 3 5YrRelativeContributionRetEarningsAssets 5 Yr Relative Contribution: Retained Earnings / Assets 3 5YrRelativeContributionEBITDAInterest 5 Yr Relative Contribution: EBITDA / Interest Expense 3 5YrRelativeContributionInventoriesSales 5 Yr Relative Contribution: Inventory / Sales 3 5YrRelativeContributionSalesGrowth 5 Yr Relative Contribution: Sales Growth 3 5YrRelativeContributionTangNetWorthTangNetAssets 5 Yr Relative Contribution: Tangible Net Worth / Tangible 3 Assets 5YrRelativeContributionChangeROA 5 Yr Relative Contribution: Change ROA 3 5YrRelativeContributionPrevNISales 5 Yr Relative Contribution: Previous Yr Net Income / Sales 3 RiskCalc External Model Specification 5 of 6 Last Updated 31-Oct-07

6 Revision History 31-Oct-07 Added new input argument IndustryGroup to Input Arguments table. 07-Apr-03 (Applicable to versions going forward from 1.7) Added new input argument IndustryClassification to Input Arguments table. 18-Mar-2003 Corrections made to Output Values table. The following arguments incorrectly contained an embedded space. 07-Nov YrRelativeContribution TangNetWorthTangNetAssets 1YrRelativeContribution ChangeROA 1YrRelativeContribution PrevNISales 5YrRelativeContribution TangNetWorthTangNetAssets 5YrRelativeContribution ChangeROA 5YrRelativeContribution PrevNISales First version of this document dedicated to the Australian Private Companies Model version 1.5. RiskCalc External Model Specification 6 of 6 Last Updated 31-Oct-07