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

WPIEA2005137 Image
Price:  $15.00

Author/Editor: Jeromin Zettelmeyer, Federico Sturzenegger
Release Date: © July, 2005
ISBN : 978-1-45186-156-3
Stock #: WPIEA2005137
Stock Status: On back-order

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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.


Bond markets , Capital markets , Financial crisis , Financial institutions and markets , International financial system

More publications in this series: Working Papers

More publications by: Jeromin Zettelmeyer ; Federico Sturzenegger