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

Jeromin Zettelmeyer and Federico Sturzenegger

No 2005/137, IMF Working Papers from International Monetary Fund

Abstract: 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.

Keywords: WP; U.S. dollar; discount rate; secondary market; yield to maturity; par bond; Sovereign Debt; Debt Restructuring; Defaults; Financial Crises; Brady bond; cash payment; coupon bond; maturity date; Bonds; Options; Discount rates; Public expenditure review; Currencies; Global (search for similar items in EconPapers)
Pages: 67
Date: 2005-07-01
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (171)

Downloads: (external link)
http://www.imf.org/external/pubs/cat/longres.aspx?sk=18271 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:imf:imfwpa:2005/137

Ordering information: This working paper can be ordered from
http://www.imf.org/external/pubs/pubs/ord_info.htm

Access Statistics for this paper

More papers in IMF Working Papers from International Monetary Fund International Monetary Fund, Washington, DC USA. Contact information at EDIRC.
Bibliographic data for series maintained by Akshay Modi ().