Abstract

The debate on government debt in the context of possible reforms of the international financial architecture has thus far focused on crisis resolution. This paper seeks to broaden this debate. It asks how government debt could be structured to pursue other objectives, including crisis prevention, international risk-sharing, and facilitating the adjustment of fiscal variables to changes in domestic economic conditions. To that end, the paper considers recently developed analytical approaches to improving sovereign debt structure using existing instruments, and reviews a number of proposals--including the introduction of explicit seniority and GDP-linked instruments--in the sovereign context.

Appendix Investors’ Attitudes Toward Growth-Linked and Other Innovative Financial Instruments for Sovereign Borrowers: Results of a Survey

IMF researchers, in collaboration with the Emerging Markets Traders Association (EMTA) and the Emerging Markets Creditors Association (EMCA), conducted a survey study of market participants’ attitudes toward innovation in emerging markets’ debt instruments. The survey focused on growth-linked bonds, but also included questions about commodity-indexed and local-currency securities. The survey was distributed among the members of EMTA and EMCA, thus reaching a broad range of bond market participants, including participants from both the “buy side,” such as asset managers and proprietary trading desk managers, and the “sell side,” such as research strategists and analysts, as well as both “crossover” investors, who hold emerging market bonds only occasionally, in response to perceived profit opportunities, and emerging-market-dedicated investors.

Sample and Distribution Method

A link to the web-based survey was distributed via e-mail by EMTA and EMCA intermediaries to about 1,000 potential respondents at EMTA and 30 at EMCA, indicating that it had been designed by IMF researchers, who would not have access to respondent names or other individual information. Individual passwords allowed each respondent to fill out the survey only once.1 An option was also provided to fill out the survey and return it via e-mail or fax, and a few respondents chose to do so.

Research Strategy and Response Rate

In designing a survey of this type—to be sent without any incentives to busy financial market participants—there is a trade-off between length and the likely response rate. The design was somewhat more comprehensive and complex in both presentation of background information and seeking of potential answers. Growth-linked bonds in particular are more complicated than other existing instruments and needed to be presented clearly to financial market participants who were not familiar with them. Fewer responses based on a clearly formulated setup were considered to be preferable to more responses based on relatively limited information. Similarly, a key objective was considered to assess the relative importance of a fairly large number of potential obstacles to financial innovation.

Consequently, the number of responses turned out relatively low, at 28. This response rate should be viewed bearing in mind that the main questions covered uncharted territory and required considerable analysis by the respondents. An alternative interpretation of the low response rate is that potential respondents may have been generally dismissive of the idea of growth-linked bonds and decided that completing the survey was not worth their time. According to that interpretation, the results reported below would reflect selection bias in favor of growth-linked bonds, that is, they would provide an excessively optimistic picture of investors’ views regarding growth-linked bonds.

Respondents were asked to indicate their profession and areas of expertise, for example, buy side versus sell side, or dedicated investor versus crossover investor. Despite its small size, the set of actual respondents spans a broad range of professions and areas of expertise. In presenting the results, we highlight any systematic differences in the responses that seem to depend on the type of respondent, though such results need to be interpreted with special caution owing to the small sample size.

Survey Results

Overall Attitudes Toward Growth-Linked Bonds

Questions 1 and 2 sought to assess respondents’ overall attitudes toward growth-linked bonds. They presented two alternative designs for growth-linked bonds, and asked respondents to price such bonds.

Question 1 asked respondents to consider the case of an emerging market sovereign borrower (“EmergingLand,” EL) that had successfully tapped international financial markets for a number of years, was currently not experiencing major problems, but whose bonds were trading at substantial spreads above U.S. treasuries. In the example, EL had experienced real GDP growth of 3 percent on average over the past 15 years, with a maximum of 7 percent, and a minimum of negative 8 percent; and average growth and volatility of GDP could be expected to be similar in the next decade. Respondents were asked to assume that 10-year eurobonds (U.S. dollar-denominated) issued by EL (“plain vanilla bonds,” PV bonds) with a coupon of 7 percent currently trade at a spread of 400 basis points above U.S. treasuries. EL was said to be contemplating issuance of a growth-indexed bond (“Growth Bond”) with a 10-year maturity and with a coupon of 7 percent plus the difference between real GDP growth during that year and 3 percent. However, coupon payments were restricted to be non-negative:

Coupon = 7 percent + (real GDP growth–3 percent), with a minimum of zero.

Respondents were asked what premium they would require to hold a growth-linked bond rather than the plain vanilla bonds offering the same expected coupon payment. The growth-linked bond was designed to pay higher coupons in years when growth was higher than average, and lower coupons in years when growth was lower than average, with a minimum of zero. Respondents were given the following options: (1) spreads more than 50 basis points lower than PV bonds; (2) spreads 10–50 basis points lower than PV bonds; (3) same spreads as PV bonds; (4) spreads 10–50 basis points higher than PV bonds; (5) spreads 50–100 basis points higher than PV bonds; (6) spreads 100–200 basis points higher than PV bonds; (7) spreads 200–300 basis points higher than PV bonds; (8) spreads more than 300 basis points higher than PV bonds; and (9) unwilling to purchase regardless of the spreads.

As Figure A1 shows, there was a wide variety of answers: some respondents said that they would accept spreads that were lower or the same as those on PV bonds, whereas others said that they would be unwilling to purchase such bonds regardless of the spreads. The median answer was a premium of between 100 and 200 basis points. Buy-side respondents indicated somewhat higher premiums on average than sell-side respondents, as did “dedicated” emerging market investors compared to those who identified themselves as “crossover” investors.

Figure A1.
Figure A1.

Question 1: Premium over Plain Vanilla Bonds

(In basis points)

Source: IMF staff.

Question 2 asked for the required premium when the growth-linked bond had a different specification, which ensured a minimum positive coupon payment regardless of the economic performance of the borrowing country at any given time. The yearly coupon had a minimum of 3.5 percent, and an extra payoff in years of positive growth, according to the following formula:

Coupon = 3.5 percent + real GDP growth, with a minimum of 3.5 percent.

Respondents were told that this bond carried the same expected coupon as the bond in question 1. Respondents displayed greater propensity to hold the bond in question 2, with the mean premium over a plain vanilla bond being just over 100 basis points (Figure A2). This compares with a mean of just above 150 basis points for the bond in question 1. Again, sell-side participants and crossover investors appeared more willing to hold this bond than did buy-side market participants and dedicated investors.

Figure A2.
Figure A2.

Question 2: Premium over Plain Vanilla Bonds

(In basis points)

Source: IMF staff.

Main Obstacles to Growth-Linked Bonds

Questions 3 and 4 sought to gauge the relative importance of a number of obstacles to the introduction of growth-linked bonds or, equivalently, the sources of premiums that investors would demand to hold growth-linked bonds rather than plain vanilla bonds.

Question 3 asked respondents whether any of a set of five hypothetical changes to the status quo would lead them to reduce the premiums they required to hold growth-linked bonds. The hypothetical changes as well as the corresponding mean and median answers are reported in Table A1: 1 is very important and would lead respondents to reduce the spreads by 50 basis points or more; 2 would lead respondents to reduce the spreads by 20–50 basis points; 3 would lead respondents to reduce the spreads by 10–20 basis points; and 4 is irrelevant.

Table A1.

Question 3: Obstacles to Growth-Linked Bonds

article image

As shown in Table A1, among the factors that would make respondents more willing to hold growth-linked bonds, they highlighted the issuance of a large volume of growth-linked bonds in the context of a debt restructuring operation and methods aimed at buttressing the integrity of the GDP data.

Question 4 was of a qualitative nature and asked respondents to consider which obstacles made them reluctant to hold growth-linked bonds. The potential obstacles as well as the corresponding mean and median answers are reported in Table A2: 1 is very important, 4 is not important.

Table A2.

Question 4: Obstacles to Growth-Linked Bonds

article image

Among the factors that made investors reluctant to hold growth-linked bonds, respondents pointed most often to uncertainty about future liquidity in markets for these bonds and concerns about the integrity of GDP data that must be provided by the issuing sovereign. Those concerns were less important for dedicated emerging markets investors than they were for crossover investors. These results are consistent with the answers to question 2, and highlight the importance of both data reliability and market liquidity for potential investors in growth-linked bonds.

Commodity-Indexed Bonds

Question 5 sought to identify the reasons why commodity-indexed bonds have not been used more frequently. It asked respondents to consider the case of an emerging market that was heavily dependent on exports of a single commodity and sought to issue commodity-indexed bonds, that is, bonds whose return was indexed to the price of that commodity. Again, the question asked respondents to identify which potential obstacles made them reluctant to invest in commodity-indexed bonds. The potential obstacles as well as mean and median answers are reported in Table A3: 1 is very important, 4 is not important.

Table A3.

Question 5: Obstacles to Commodity-Indexed Bonds

article image

Respondents indicated that difficulties in forecasting commodity prices beyond a three-to-five-year horizon and a preference to obtain exposure to commodity prices directly through commodity derivatives made them reluctant to hold commodity-indexed bonds. In additional comments, some fund managers noted that they lacked a mandate to invest in commodities.

Domestic-Currency Bonds

Finally, respondents were asked to indicate the relative weight they attached to possible obstacles to holding domestic-currency-denominated bonds.

Question 6 asked respondents to indicate which obstacles made them reluctant to invest in bonds denominated in EL’s currency. The potential obstacles as well as the corresponding mean and median answers are reported in Table A4: 1 is very important, 4 is not important.

Table A4.

Question 6: Obstacles to Domestic-Currency Bonds

article image

Thus the factors that seem to make respondents more reluctant to invest in domestic-currency bonds include concerns about exchange rate manipulation and an unexpected rise in inflation. In additional comments, some respondents also cited concerns regarding the convertibility of the domestic currency (with the Russian GKOs case being recalled) and the domestic legal jurisdiction of local currency bonds. Interestingly, crossover investors seemed more willing to invest in local-currency instruments: their responses revealed uniformly less concern with all the possible factors that were suggested as deterrents to undertaking such investment.

Note: The authors of this appendix are Eduardo Borensztein and Paolo Mauro.

1

This protected the integrity of the survey against the possibility of a single individual providing multiple entries. The selection of passwords for individual respondents was conducted by intermediaries. This information was not available to the researchers.

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  • International Monetary Fund, 2002b, “The Design of the Sovereign Debt Restructuring Mechanism—Further Considerations.Available via the Internet: http://www.imf.org/external/np/pdr/sdrm/2002/112702.htm.

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  • International Monetary Fund, 2003a, “Sustainability Assessments—Review of Application and Methodological Refinements.Available via the internet: www:imf.org/external/np/pdr/sustain/2003/061003.htm.

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  • International Monetary Fund, 2003b, “Crisis Resolution in the Context of Sovereign Debt Restructuring—A Summary of Considerations.Available via the Internet: www.imf.org/external/np/pdr/sdrm/2003/012803.htm.

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Recent Occasional Papers of the International Monetary Fund

237. Sovereign Debt Structure for Crisis Prevention, by Eduardo Borensztein, Marcos Chamon, Olivier Jeanne, Paolo Mauro, and Jeromin Zettelmeyer. 2004.

236. Lessons from the Crisis in Argentina, by Christina Daseking, Atish R. Ghosh, Alun Thomas, and Timothy Lane. 2004.

235. A New Look at Exchange Rate Volatility and Trade Flows, by Peter B. Clark, Natalia Tamirisa, and Shang-Jin Wei, with Azim Sadikov and Li Zeng. 2004.

234. Adopting the Euro in Central Europe: Challenges of the Next Step in European Integration, by Susan M. Schadler, Paulo F. Drummond, Louis Kuijs, Zuzana Murgasova, and Rachel N. van Elkan. 2004.

233. Germany’s Three-Pillar Banking System: Cross-Country Perspectives in Europe, by Allan Brunner, Jörg Decressin, Daniel Hardy, and Beata Kudela. 2004.

232. China’s Growth and Integration into the World Economy: Prospects and Challenges, edited by Eswar Prasad. 2004.

231. Chile: Policies and Institutions Underpinning Stability and Growth, by Eliot Kalter, Steven Phillips, Marco A. Espinosa-Vega, Rodolfo Luzio, Mauricio Villafuerte, and Manmohan Singh. 2004.

230. Financial Stability in Dollarized Countries, by Anne-Marie Gulde, David Hoelscher, Alain Ize, David Marston, and Gianni De Nicoló. 2004.

229. Evolution and Performance of Exchange Rate Regimes, by Kenneth S. Rogoff, Aasim M. Husain, Ashoka Mody, Robin Brooks, and Nienke Oomes. 2004.

228. Capital Markets and Financial Intermediation in The Baltics, by Alfred Schipke, Christian Beddies, Susan M. George, and Niamh Sheridan. 2004.

227. U.S. Fiscal Policies and Priorities for Long-Run Sustainability, edited by Martin Mühleisen and Christopher Towe. 2004.

226. Hong Kong SAR: Meeting the Challenges of Integration with the Mainland, edited by Eswar Prasad, with contributions from Jorge Chan-Lau, Dora Iakova, William Lee, Hong Liang, Ida Liu, Papa N’Diaye, and Tao Wang. 2004.

225. Rules-Based Fiscal Policy in France, Germany, Italy, and Spain, by Teresa Dában, Enrica Detragiache, Gabriel di Bella, Gian Maria Milesi-Ferretti, and Steven Symansky. 2003.

224. Managing Systemic Banking Crises, by a staff team led by David S. Hoelscher and Marc Quintyn. 2003.

223. Monetary Union Among Member Countries of the Gulf Cooperation Council, by a staff team led by Ugo Fasano. 2003.

222. Informal Funds Transfer Systems: An Analysis of the Informal Hawala System, by Mohammed El Qorchi, Samuel Munzele Maimbo, and John F. Wilson. 2003.

221. Deflation: Determinants, Risks, and Policy Options, by Manmohan S. Kumar. 2003.

220. Effects of Financial Globalization on Developing Countries: Some Empirical Evidence, by Eswar S. Prasad, Kenneth Rogoff, Shang-Jin Wei, and Ayhan Kose. 2003.

219. Economic Policy in a Highly Dollarized Economy: The Case of Cambodia, by Mario de Zamaroczy and Sopanha Sa. 2003.

218. Fiscal Vulnerability and Financial Crises in Emerging Market Economies, by Richard Hemming, Michael Kell, and Axel Schimmelpfennig. 2003.

217. Managing Financial Crises: Recent Experience and Lessons for Latin America, edited by Charles Collyns and G. Russell Kincaid. 2003.

216. Is the PRGF Living Up to Expectations?—An Assessment of Program Design, by Sanjeev Gupta, Mark Plant, Benedict Clements, Thomas Dorsey, Emanuele Baldacci, Gabriela Inchauste, Shamsuddin Tareq, and Nita Thacker. 2002.

215. Improving Large Taxpayers’ Compliance: A Review of Country Experience, by Katherine Baer. 2002.

214. Advanced Country Experiences with Capital Account Liberalization, by Age Bakker and Bryan Chapple. 2002.

213. The Baltic Countries: Medium-Term Fiscal Issues Related to EU and NATO Accession, by Johannes Mueller, Christian Beddies, Robert Burgess, Vitali Kramarenko, and Joannes Mongardini. 2002.

212. Financial Soundness Indicators: Analytical Aspects and Country Practices, by V. Sundararajan, Charles Enoch, Armida San José, Paul Hilbers, Russell Krueger, Marina Moretti, and Graham Slack. 2002.

211. Capital Account Liberalization and Financial Sector Stability, by a staff team led by Shogo Ishii and Karl Habermeier. 2002.

210. IMF-Supported Programs in Capital Account Crises, by Atish Ghosh, Timothy Lane, Marianne Schulze-Ghattas, Aleš Bulíř, Javier Hamann, and Alex Mourmouras. 2002.

209. Methodology for Current Account and Exchange Rate Assessments, by Peter Isard, Hamid Faruqee, G. Russell Kincaid, and Martin Fetherston. 2001.

208. Yemen in the 1990s: From Unification to Economic Reform, by Klaus Enders, Sherwyn Williams, Nada Choueiri, Yuri Sobolev, and Jan Walliser. 2001.

207. Malaysia: From Crisis to Recovery, by Kanitta Meesook, Il Houng Lee, Olin Liu, Yougesh Khatri, Natalia Tamirisa, Michael Moore, and Mark H. Krysl. 2001.

206. The Dominican Republic: Stabilization, Structural Reform, and Economic Growth, by a staff team led by Philip Young comprising Alessandro Giustiniani, Werner C. Keller, and Randa E. Sab and others. 2001.

205. Stabilization and Savings Funds for Nonrenewable Resources, by Jeffrey Davis, Rolando Ossowski, James Daniel, and Steven Barnett. 2001.

204. Monetary Union in West Africa (ECOWAS): Is It Desirable and How Could It Be Achieved? by Paul Masson and Catherine Pattillo. 2001.

203. Modern Banking and OTC Derivatives Markets: The Transformation of Global Finance and Its Implications for Systemic Risk, by Garry J. Schinasi, R. Sean Craig, Burkhard Drees, and Charles Kramer. 2000.

202. Adopting Inflation Targeting: Practical Issues for Emerging Market Countries, by Andrea Schaechter, Mark R. Stone, and Mark Zelmer. 2000.

201. Developments and Challenges in the Caribbean Region, by Samuel Itam, Simon Cueva, Erik Lundback, Janet Stotsky, and Stephen Tokarick. 2000.

200. Pension Reform in the Baltics: Issues and Prospects, by Jerald Schiff, Niko Hobdari, Axel Schimmelpfennig, and Roman Zytek. 2000.

199. Ghana: Economic Development in a Democratic Environment, by Sérgio Pereira Leite, Anthony Pellechio, Luisa Zanforlin, Girma Begashaw, Stefania Fabrizio, and Joachim Harnack. 2000.

198. Setting Up Treasuries in the Baltics, Russia, and Other Countries of the Former Soviet Union: An Assessment of IMF Technical Assistance, by Barry H. Potter and Jack Diamond. 2000.

197. Deposit Insurance: Actual and Good Practices, by Gillian G.H. Garcia. 2000.

196. Trade and Trade Policies in Eastern and Southern Africa, by a staff team led by Arvind Subramanian, with Enrique Gelbard, Richard Harmsen, Katrin Elborgh-Woytek, and Piroska Nagy. 2000.

195. The Eastern Caribbean Currency Union—Institutions, Performance, and Policy Issues, by Frits van Beek, José Roberto Rosales, Mayra Zermeño, Ruby Randall, and Jorge Shepherd. 2000.

194. Fiscal and Macroeconomic Impact of Privatization, by Jeffrey Davis, Rolando Ossowski, Thomas Richardson, and Steven Barnett. 2000.

193. Exchange Rate Regimes in an Increasingly Integrated World Economy, by Michael Mussa, Paul Masson, Alexander Swoboda, Esteban Jadresic, Paolo Mauro, and Andy Berg. 2000.

192. Macroprudential Indicators of Financial System Soundness, by a staff team led by Owen Evans, Alfredo M. Leone, Mahinder Gill, and Paul Hilbers. 2000.

191. Social Issues in IMF-Supported Programs, by Sanjeev Gupta, Louis Dicks-Mireaux, Ritha Khemani, Calvin McDonald, and Marijn Verhoeven. 2000.

190. Capital Controls: Country Experiences with Their Use and Liberalization, by Akira Ariyoshi, Karl Haber-meier, Bernard Laurens, Inci Ötker-Robe, Jorge Iván Canales Kriljenko, and Andrei Kirilenko. 2000.

Note: For information on the titles and availability of Occasional Papers not listed, please consult the IMF’s Publications Catalog or contact IMF Publication Services.

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