20180817-法国巴黎银行-Turkey__External_vulnerability_and_rollover_risk_10页_433kb

Summary of Turkey: External Vulnerability and Rollover Risk

Core Content

This document from Banco BNP Paribas Brasil S.A. analyzes Turkey's external vulnerability and rollover risk, particularly focusing on the potential for systemic risk and exposure from cross-border financial claims. It also examines the maturity profile of hard currency obligations in both the government and corporate sectors up to Q4 2019.

Key Findings

• Cross-Border Claims:
  Cross-border claims, as a proxy for systemic risk, are relatively high in Turkey, totaling USD 193.5bn, or 21.9% of GDP as of 31 March 2018. This places Turkey among the top 3 countries in terms of exposure adjusted by GDP.

• Exposure Measures:
  Two main databases are used to measure international banking activity:

  • Locational Banking Statistics (LBS): Measures claims based on the location of the bank, not the parent company. It captures 95% of all cross-border banking activity.
  • Consolidated Banking Statistics (CBS): Measures claims based on the nationality of the bank group, focusing on the parent country. It provides insights into the national banking systems most exposed to Turkey.

• Country Risk Exposure:
  The concept of ultimate risk is used to determine the true exposure of a financial claim, identifying the country where the guarantee or head office resides, rather than the counterparty's location.

• Rollover Risk:
  Despite relatively low government leverage, rollover risk has increased. As of late, USD 3.5bn of corporate sector debt and USD 13.3bn of government sector debt mature in the short term (until December 2018 and 2019 respectively).

• Total Hard Currency Maturities:
  The total hard currency maturities for both the corporate and government sectors in Turkey are USD 23.9bn until December 2019. This is identified as the most critical source of potential stress in the coming months.

Main Points

• Corporate Leverage and Rollover Risk:
  Corporate leverage and rollover risk are highlighted as the primary sources of stress for Turkey’s financial system. The corporate sector has significant hard currency obligations due to mature debt.

• Comparative Exposure:
  The consolidated data from CBS shows the following:

  • France is the largest creditor to Turkey, with 4.3% of claims.
  • Germany and Spain also have notable exposure, at 1.9% and 9.3% respectively.
  • Brazil has 0.0% exposure, indicating minimal involvement in Turkey's cross-border financial system.

• Sectoral Breakdown:
  The exposure is further broken down by sector:

  • Banks: Represent a significant portion of cross-border claims.
  • Official Sector: Also contributes to the exposure, though less than banks.
  • Non-Bank Private Sector: Accounts for a smaller portion of cross-border claims.

• Other Potential Exposures:
  In addition to claims, the document also mentions other potential exposures such as net risk transfers, derivatives contracts, and guarantees extended, which are not included in the claims data.

Key Information

• Methodology:
  The analysis is based on data from the Bank of International Settlements (BIS), specifically Locational Banking Statistics (LBS) and Consolidated Banking Statistics (CBS).

• Timeframe:
  The data covers up to Q4 2019, with some figures as of 31 March 2018.

• Purpose:
  The document aims to map potential sources of contagion and systemic risk from Turkey and to highlight the importance of monitoring rollover risk and leverage in the corporate sector.

• Disclaimer:
  This document is a marketing communication and not independent research. It is intended for Professional Clients and Eligible Counterparties under MiFID II and is not investment research. It does not constitute an offer to sell or purchase financial instruments and should not be relied upon for investment decisions.

Conclusion

The analysis underscores the high level of external vulnerability in Turkey due to significant cross-border claims and increased rollover risk, particularly in the corporate sector. While the government has relatively low leverage, the overall systemic risk is driven by corporate debt maturities and the potential for contagion from the Turkish financial system. The use of consolidated banking statistics helps to better understand the national exposure and ultimate risk associated with Turkey's financial obligations.