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  • Jeromin Zettelmeyer
  • Federico Sturzenegger


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.

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Paper provided by International Monetary Fund in its series IMF Working Papers with number 05/137.

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Length: 67
Date of creation: 01 Jul 2005
Date of revision:
Handle: RePEc:imf:imfwpa:05/137

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Keywords: Sovereign debt; Debt restructuring; Sovereign Debt Restructuring Mechanism; bond; bonds; debt; present value; discount rate; interest; restructuring; payments; eurobond; treasury bills; bondholders; external debt; loans; creditors; cash flow; international bonds; eurobonds; discounting; treasury bonds; yield curve; brady bonds; discount bonds; default risk; old bonds; rate bonds; denominated bond; public debt; old bond; repayment; net present value; benchmark bond; future cash flow; discount rates; brady bond; par bond; bond holders; domestic debt; obligations; discount bond; defaults; creditor; sovereign bonds; domestic bonds; debt relief; eurobond yield; currency crisis; international bond; currency risk; denominated bonds; installments; bond rate; bondholder; coupon bond; debt crises; risk premium; rate bond; bond option; international debt; hedge; cash flows; eurobond yields; variable rate bonds; secondary markets; fixed rate bond; outstanding debt; corporate bonds; financial market; international reserves; currency of denomination; moral hazard; debt service; dollar bond; debt burden; par bonds; debt management; par ? bond; debt securities; dollar bonds; bond markets; financial sector; debtors; bond trading; bond rates; government bonds; debt instruments; futures markets; long term bonds; commercial loans; debt service payments; foreign bonds; nominal interest rate; debt obligations; holders of bonds; bond contracts; external public debt; liquidity support; commercial debt; deposit rates; financial institutions; debt conversion; convertible bond; average discount rate; treasury bond; bond restructuring; institutional investors; debt problems; tax collection; debt forgiveness; benchmark bonds; debt sustainability; domestic bond; eligible bonds; domestic financial institutions; hedges; term bonds; samurai ? bond;

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  1. Peter H. Lindert & Peter J. Morton, 1989. "How Sovereign Debt Has Worked," NBER Chapters, National Bureau of Economic Research, Inc, in: Developing Country Debt and Economic Performance, Volume 1: The International Financial System, pages 39-106 National Bureau of Economic Research, Inc.
  2. Luis Ignacio Jácome, 2004. "The Late 1990's Financial Crisis in Ecuador," IMF Working Papers 04/12, International Monetary Fund.
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