Impact of the Debt Sustainability of State-Owned Companies on Russia’s Corporate External Debt under Sanctions

Abstract

The subject of the research is the influence of the debt burden of state-owned companies on the dynamics of Russia’s corporate external debt. The relevance is due to the unprecedented combination of sanctions in 2022, which created default risks of national companies. The goal of the article is to identify factors influencing changes in the amount of external debt. Based on a quarterly sample for 2010–2019 (37 observations), using the least squares method (LSM), a regression model was built for the dependence of corporate debt dynamics on micro– and macroeconomic factors (debt service ratio and credit rating of companies, foreign assets, ACRA financial stress index, rate changes of USD/RUB, credit default swap (CDS), export volume, balance of payments). An analysis of their credit risk was carried out by comparing the dynamics of the debt sustainability ratio (DSR) with the rating and cost of CDS, and the quarterly income support of debt was calculated. As a result of testing the hypotheses, a positive relationship was revealed between DSR and ratings of state-owned companies for changes in banks’ external debt, while for enterprises they do not play a key role. It was concluded that the growth of loan premiums in 2014–2015 was due to political factors, and by the new crisis, the companies had accumulated reserves for absorbing the shock. Measures are proposed to reduce debt risks – coordination of debt policy, debt «import substitution», monitoring of new financial indicators of companies, control of cross-border capital flow, etc.