IMF Working Papers Volume 2005 Issue 137: Haircuts: Estimating Investor Losses in Sovereign Debt Restructurings, 1998-2005 (2005)

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

Author:

Mr. Jeromin Zettelmeyer

Mr. Jeromin Zettelmeyer
Search for other papers by Mr. Jeromin Zettelmeyer in
Current site
Google Scholar
PubMed

and

Mr. Federico Sturzenegger

Mr. Federico Sturzeneggernull

Search for other papers by Mr. Federico Sturzenegger in
Current site
Google Scholar
PubMed

Series:: IMF Working Papers

Volume/Issue:: Volume 2005: Issue 137

Publication Date:: 01 Jul 2005

DOI:: https://doi.org/10.5089/9781451861563.001

ISBN:: 9781451861563

ISSN:: 1018-5941

Pages:: 67

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

Legal-disclaimer:: IMF Working Papers describe research in progress by the author(s) and are published to elicit comments and to encourage debate. The views expressed in IMF Working Papers are those of the author(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management.

Series:: IMF Working Papers

Volume/Issue:: Volume 2005: Issue 137

Language:: English

Publication Date:: 01 Jul 2005

DOI:: https://doi.org/10.5089/9781451861563.001

ISBN:: 9781451861563

ISSN:: 1018-5941

Pages:: 67

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

Legal-disclaimer:: IMF Working Papers describe research in progress by the author(s) and are published to elicit comments and to encourage debate. The views expressed in IMF Working Papers are those of the author(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management.

Download PDF (432.2 KB) Download Epub

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.

Save
Email this content

Share Link

Copy this link, or click below to email it to a friend
Email this content
or copy the link directly:

https://www.elibrary.imf.org/view/journals/001/2005/137/001.2005.issue-137-en.xml
The link was not copied. Your current browser may not support copying via this button.

Link copied successfully

Collapse
Expand

IMF Working Papers

ISSN:: 1018-5941

Publisher:: International Monetary Fund

Topics

Countries

Series

About

Resources

Share Link

Metrics

Foresee