Apollo Commercial Real Estate Finance 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 Apollo Commercial Real Estate Finance 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 * 2.0094 | + | 0.528 * 1 | + | 0.404 * 1.0157 | + | 0.892 * 0.6344 | + | 0.115 * 1 |
| - | 0.172 * SGAI | + | 4.679 * TATA | - | 0.327 * LVGI |
| - | 0.172 * 1.5408 | + | 4.679 * -0.033923 | - | 0.327 * 1.0346 |
| = | -2.13 |
* 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 (Mar24) TTM: | Last Year (Mar23) TTM: |
Total Receivables was €78.3 Mil.
Revenue was 77.848 + 76.563 + 72.971 + 15.709 = €243.1 Mil.
Gross Profit was 77.848 + 76.563 + 72.971 + 15.709 = €243.1 Mil.
Total Current Assets was €226.6 Mil.
Total Assets was €8,487.0 Mil.
Property, Plant and Equipment(Net PPE) was €0.0 Mil.
Depreciation, Depletion and Amortization(DDA) was €8.2 Mil.
Selling, General, & Admin. Expense(SGA) was €27.6 Mil.
Total Current Liabilities was €5,258.0 Mil.
Long-Term Debt & Capital Lease Obligation was €1,289.9 Mil.
Net Income was -96.162 + 42.677 + 43.169 + -76.978 = €-87.3 Mil.
Non Operating Income was 0 + 0 + 0 + 0 = €0.0 Mil.
Cash Flow from Operations was 48.616 + 28.285 + 78.179 + 45.533 = €200.6 Mil.
|
Total Receivables was €61.4 Mil.
Revenue was 81.834 + 47.612 + 159.254 + 94.508 = €383.2 Mil.
Gross Profit was 81.834 + 47.612 + 159.254 + 94.508 = €383.2 Mil.
Total Current Assets was €371.1 Mil.
Total Assets was €8,880.7 Mil.
Property, Plant and Equipment(Net PPE) was €0.0 Mil.
Depreciation, Depletion and Amortization(DDA) was €3.7 Mil.
Selling, General, & Admin. Expense(SGA) was €28.3 Mil.
Total Current Liabilities was €5,104.7 Mil.
Long-Term Debt & Capital Lease Obligation was €1,517.8 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) |
| = | (78.266 / 243.091) | / | (61.399 / 383.208) |
| = | 0.321962 | / | 0.160224 |
| | = | 2.0094 |
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) |
| = | (383.208 / 383.208) | / | (243.091 / 243.091) |
| = | 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 - (226.561 + 0) / 8486.993) | / | (1 - (371.051 + 0) / 8880.686) |
| = | 0.973305 | / | 0.958218 |
| | = | 1.0157 |
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 |
| = | 243.091 | / | 383.208 |
| | = | 0.6344 |
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)) |
| = | (3.723 / (3.723 + 0)) | / | (8.226 / (8.226 + 0)) |
| = | 1 | / | 1 |
| | = | 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) |
| = | (27.618 / 243.091) | / | (28.257 / 383.208) |
| = | 0.113612 | / | 0.073738 |
| | = | 1.5408 |
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) |
| = | ((1289.933 + 5257.953) / 8486.993) | / | ((1517.819 + 5104.743) / 8880.686) |
| = | 0.77152 | / | 0.745726 |
| | = | 1.0346 |
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 |
| = | (-87.294 - 0 | - | 200.613) | / | 8486.993 |
| | = | -0.033923 |
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.
Apollo Commercial Real Estate Finance has a M-score of -2.13 suggests that the company is unlikely to be a manipulator.
Apollo Commercial Real Estate Finance (FRA:9A1) Business Description
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Address
c/o Apollo Global Management, Inc, 9 West 57th Street, 42nd Floor, New York, NY, USA, 10019
Apollo Commercial Real Estate Finance Inc is a real estate investment trust that primarily originates, invests in, acquires, and manages commercial first-mortgage loans, subordinate financings, commercial mortgage-backed securities, and other real estate-related debt investments. The subordinate loans and first-mortgage loans account for the vast majority of the portfolio on a cost basis. Property types include residential, retail, healthcare, office, mixed-use, hotel, industrial, multifamily, securities, and other, with residential properties and hotels representing the highest property value. More than a third of the properties are located in New York City, with the other properties located across other regions of the United States, as well as other countries.
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