Managing South Africa's Exposure to Eskom : How to Evaluate the Credit Risk from the Sovereign Guarantees?

Bachmair, Fritz Florian ; Aslan, Cigdem ; Maseko, Mkhulu

World Bank, Washington, DC

关键词: CREDIT RISK;    RISK MANAGEMENT;    CONTINGENT LIABILITIES;    SOVEREIGN DEBT;    EXPORT CREDIT INSURANCE;   

DOI  :  10.1596/1813-9450-8703
RP-ID  :  WPS8703

学科分类：社会科学、人文和艺术（综合）

来源: World Bank Open Knowledge Repository

【 摘 要 】

The South African government offersvarious support mechanisms to support Eskom, the state-ownedelectric utility, and the independent power producers inproviding low-cost electricity, including credit and paymentguarantees. Guarantees constitute contingent liabilities tothe government and pose risks to government finances. Thisnote illustrates the methodologies explored by South Africato assess the credit risk from guarantees extended to Eskom.To manage and closely monitor this risk, a dedicated CreditRisk directorate in the Asset and Liability Managementdivision at the National Treasury of South Africa hasimplemented a risk assessment and management framework,supported by the World Bank Treasury. The team developed asector-specific internal credit rating methodology to assessEskom's creditworthiness. Additionally, the teamdeveloped a scenario analysis methodology to assessEskom's ability to service debt from cash flows andcash reserves. The scenario analysis tool is currently usedon an ad hoc basis to feed into the various scenarios thatare considered for the budget process. Risk assessments arereported to the Fiscal Liabilities Committee on a quarterlybasis for risk monitoring and to support recommendations fortaking on new contingent liabilities, such as governmentguarantees. The Fiscal Liabilities Committee advises theminister of finance and is responsible for the determinationof the processes and policies for approving guarantees andguarantee-like transactions. The Fiscal LiabilitiesCommittee is generally mandated to promote the optimummanagement of the government's contingent liabilities,including guarantees. The implementation of further riskmitigation and monitoring tools, such as risk-basedguarantee fees, budget allocations, and a contingencyreserve account, is under discussion.