Haircuts: Estimating Investor Losses in Sovereign Debt Restructurings, 1998-2005

 
Author/Editor: Sturzenegger, Federico ; Zettelmeyer, Jeromin
 
Publication Date: July 01, 2005
 
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Disclaimer: This Working Paper should not be reported as representing the views of the IMF. The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate
 
Summary: This paper estimates bond-by-bond "haircuts"-realized investor losses-in recent debt restructurings in Russia, Ukraine, Pakistan, Ecuador, Argentina, and Uruguay. We consider both external and domestic retructurings. Haircuts are computed as the percentage difference between the present values of old and new instruments, discounted at the yield prevailing immediately after the exchange. We find average haircuts ranging from 13 percent (Uruguay external exchange) to 73 percent (2005 Argentina exchange). We also find within-exchange variations in haircuts, depending on the instrument tendered. With exceptions, domestic residents do not appear to have been treated systematically better (or worse) than foreign residents.
 
Series: Working Paper No. 05/137
Subject(s): Debt restructuring | Russian Federation | Ukraine | Pakistan | Ecuador | Argentina | Uruguay | Bond markets | Sovereign Debt Restructuring Mechanism | Financial crisis

Author's Keyword(s): Sovereign Debt | Debt Restructuring | Defaults | Financial Crises
 
English
Publication Date: July 01, 2005
ISBN/ISSN: 1934-7073 Format: Paper
Stock No: WPIEA2005137 Pages: 67
Price:
US$15.00 (Academic Rate:
US$15.00 )
 
 
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