BDDK Bankacılık ve Finansal Piyasalar Dergisi 1307-5705 1307-945X Bankacılık Düzenleme ve Denetleme Kurumu 10.46520/bddkdergisi.987435 Finance Finans Structuring Key Credit Risk Parameters for Regulated Electric and Gas Utilities under Alternative Moody’s Rating Methodologies: A Case Study for a Natural Gas Distribution Utility Structuring Key Credit Risk Parameters for Regulated Electric and Gas Utilities under Alternative Moody’s Rating Methodologies: A Case Study for a Natural Gas Distribution Utility https://orcid.org/0000-0002-0510-7662 Benli Vahit Ferhan İSTANBUL TİCARET ÜNİVERSİTESİ https://orcid.org/0000-0002-3712-845X Yetgin Feyzullah İSTANBUL TİCARET ÜNİVERSİTESİ 08 31 2021 15 2 227 259 05 20 2021 07 29 2021 Copyright © 2007, BDDK Bankacılık ve Finansal Piyasalar Dergisi 2007 BDDK Bankacılık ve Finansal Piyasalar Dergisi

This paper elaborates the relevancy issue of a rating model in the context of credit rating analysis processof a natural gas distribution company. Against this background, we have analysed the Moody’s Analytics RiskCalc™ v3.1 Emerging Markets and the Regulated Electric and Gas Rating Methodology of Moody’s InvestorServices dated from March the 16th, 2017. Methodologically, the article relies on case studies namely theEnron case and a case from regulated natural gas distribution company in Turkey. In terms of findings, Enroncase highlights the importance of point-in-time rating models over agency based rating models in terms ofdefault prediction. The EDF model provided a PD value of 0.65%, which corresponds to Baa3 level in Moody’srating agency terms. On the other hand, the REGU Model indicates the Company with “Ba” rating, which isa “Speculative Grade”. This result indicates us a severe difference in default probabilities for the same entity.This is consequent and in line with the informational needs of different users and if different models are usedrespective to their needs. In summary, each rating model is developed by rating agencies for different purposesand we need to choose the appropriate rating model to make accurate analysis.

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