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

68 Pages Posted: 3 Mar 2006

See all articles by Federico Sturzenegger

Federico Sturzenegger

Universidad Torcuato Di Tella; Harvard University - Harvard Kennedy School (HKS); National Bureau of Economic Research (NBER)

Jeromin Zettelmeyer

Peter G. Peterson Institute for International Economics; CEPR

Date Written: July 2005

Abstract

This paper estimates bond-by-bond haircutsrealized investor lossesin 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.

Keywords: Sovereign Debt, Debt Restructuring, Defaults, Financial Crises

JEL Classification: F34

Suggested Citation

Sturzenegger, Federico and Zettelmeyer, Jeromin, Haircuts: Estimating Investor Losses in Sovereign Debt Restructurings, 1998-2005 (July 2005). IMF Working Paper, Vol. , pp. 1-68, 2005. Available at SSRN: https://ssrn.com/abstract=888006

Federico Sturzenegger (Contact Author)

Universidad Torcuato Di Tella ( email )

Minones 2159
1428 Buenos Aires, 1428
Argentina

Harvard University - Harvard Kennedy School (HKS) ( email )

79 John F. Kennedy Street
Cambridge, MA 02138
United States
617-496-3255 (Phone)
617-496-1722 (Fax)

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

Jeromin Zettelmeyer

Peter G. Peterson Institute for International Economics ( email )

1750 Massachusetts Avenue, NW
Washington, DC 20036
United States

CEPR ( email )

London
United Kingdom

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