Tài liệu Credit Rating Methodology pptx

Credit Rating Methodology

November 2009

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Contents

Contributors .................................................................................................................................................. 3

Overview of Methodology........................................................................................................................... 5

Business Risk Evaluation............................................................................................................................. 5

Assessing Financial Risk ............................................................................................................................. 6

Modeling Cash Flows.................................................................................................................................. 7

The Morningstar Credit Rating .................................................................................................................... 8

Components of our Credit Ratings............................................................................................................. 9

The Cash Flow Cushion™ ........................................................................................................................... 9

Debt Refinancing Assessment within the Cash Flow Cushion™ ............................................................... 12

Business Risk Factors ............................................................................................................................... 12

Country Risk.......................................................................................................................................... 12

Company Risk ....................................................................................................................................... 13

Morningstar Solvency ScoreTM .................................................................................................................. 16

Distance to Default ................................................................................................................................... 18

Structural Models................................................................................................................................. 18

Assigning Long-Term Issuer Credit Ratings ........................................................................................... 22

Mapping Scores to Preliminary Credit Ratings .......................................................................................... 22

Procedures for Assigning Final Issuer Credit Ratings................................................................................. 24

Rating Assignment for Debt Issuers with Estimated Time to Default ........................................................ 24

Appendices ................................................................................................................................................. 26

Appendix A: Morningstar Solvency ScoreTM Model Development ............................................................. 26

Appendix B: Backtesting........................................................................................................................... 27

Appendix C: Regulatory Score for Utilities................................................................................................. 33

Morningstar’s Standard Adjustments to Key Credit-Relevant Ratios for Non-Financial

Corporations ............................................................................................................................................... 34

Introduction .............................................................................................................................................. 34

Definition of Credit Ratios ......................................................................................................................... 35

Balance Sheet Strength........................................................................................................................ 35

Profitability............................................................................................................................................ 36

Cash Generation ................................................................................................................................... 36

Liquidity and Coverage.......................................................................................................................... 37

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Contributors

Joel Bloomer

Associate Director – Consumer

Heather Brilliant, CFA

Director – Securities Research

Vahid Fathi

Director – Quantitative Equity Research

Adam Fleck

Senior Analyst – Industrials

Brett Horn

Associate Director – Business Services

Haywood Kelly, CFA

Vice President, Securities Research

Travis Miller

Senior Analyst – Energy

Warren Miller

Senior Quantitative Analyst

Brian Nelson, CFA

Director of Methodology and Training

Catherine Odelbo

President, Securities Research

Josh Peters, CFA

Strategist

Dan Rohr, CFA

Senior Analyst

Matthew Warren

Associate Director - Banks

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