Estimated Haircuts for Different Emerging Market Bond Restructurings
|Date of Listing||Opening Price||Price One Week Before Announcement1||Price One Week After Announcement2||Face value write-off||Relative to listing price||Relative to market value|
|6 percent USD 2002 Eurobond||Feb. 97||100.0||58.3||60.4||0.0||-39.6||3.52|
|16 percent DEM 2001 Eurobond||Feb. 98||100.0||55.5||67.0||0.0||-33.0||20.73|
|Brady Par Bond||Feb. 95||27.4||n.a.||n.a.||n.a.||n.a.||n.a.|
|Brady Discount Bond||Feb. 95||47.0||n.a.||n.a.||n.a.||n.a.||n.a.|
|Brady PDI Bond||Feb. 95||27.0||n.a.||n.a.||n.a.||n.a.||n.a.|
|Brady Par Bond||Jan. 92||38.5||n.a||n.a.||n.a.||n.a.||n.a.|
Ask price, includes accrued interest in the price as most bonds were in default except for Pakistan where the accrued interest is estimated.
If the change in unaccrued bond prices is studied, that is, the up-front cash sweetener is ignored, the positive haircut is 0.7 percent.
If the change in unaccrued bond prices is studied, that is, the up-front cash sweetener is ignored, the positive haircut is about 5 percent.