Haircuts: Estimating Investor Losses in Sovereign Debt Restructurings, 1998-2005
IMF Working Papers, July 1, 2005
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- Haircuts: Estimating Investor Losses in Sovereign Debt Restructurings, 1998-2005
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Bibliographic details
- Authors: Jeromin Zettelmeyer, Federico Sturzenegger
- Published: July 1, 2005
- Series: IMF Working Papers
- DOI: https://doi.org/10.5089/9781451861563.001
Scope and methodology
- Estimates bond-by-bond "haircuts"—realized investor losses—in recent debt restructurings in Russia, Ukraine, Pakistan, Ecuador, Argentina, and Uruguay.
- Considers both external and domestic restructurings.
- 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.
Key empirical findings
- Average haircuts range from 13 percent (Uruguay external exchange) to 73 percent (2005 Argentina exchange).
- There are 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.
Thematic coverage and keywords
- Subjects: Bonds, Currencies, Discount rates, Expenditure, Financial institutions, Financial services, Money, Options, Public expenditure review
- Keywords: Bonds, Brady bond, cash payment, coupon bond, Currencies, Debt Restructuring, Defaults, discount rate, Discount rates, Financial Crises, Global, maturity date, Options, par bond, Public expenditure review, secondary market, Sovereign Debt, U.S. dollar, WP, yield to maturity
Publication metadata (from source)
- Authors: Jeromin Zettelmeyer, Federico Sturzenegger
- Date: July 1, 2005
- Pages: 67
- Volume: 2005
- Issue: 137
- Series: Working Paper No. 2005/137
- DOI: https://doi.org/10.5089/9781451861563.001
- Stock No: WPIEA2005137
- ISBN: 9781451861563
- ISSN: 1018-5941
Source: Haircuts: Estimating Investor Losses in Sovereign Debt Restructurings, 1998-2005 (IMF Working Papers, 2005/137).