Haircuts: Estimating Investor Losses in Sovereign Debt Restructurings, 1998-2005
By Federico Sturzenegger, Jeromin Zettelmeyer. Social Science Research Network, 2008
300 citations recorded by the source corpus.
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.
Subfields: Finance
View Paper: https://www.semanticscholar.org/paper/1da27a927d166b77f20dd1bc7d29694635865dbd
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Citations in the corpus
- Sovereign Debt Crises and Credit to the Private Sector (2006, unknown): “See Sturzenegger and Zettelmeyer (2005) and (forthcoming, 2006) for a presentation of the history of “haircuts” and other details of debt rescheduling episodes.”
- The Greek Debt Restructuring: An Autopsy (2013, unknown): “6-month notes that compensated investors for accrued interest, and the 1 and 2 year notes in the amount of 15 per cent of the old face value).”
- Sovereign default and debt renegotiation (2010, methodology): “Data source: World Bank, Sturzenegger and Zettelmeyer (2005), and Moody’s (2007).”
- Recovery Before Redemption: A Theory of Delays in Sovereign Debt Renegotiations (2009, unknown): “[26] Sturzenegger, Federico and Jeromin Zettelmeyer.”
- Determinants of Sovereign Risk: Macroeconomic Fundamentals and the Pricing of Sovereign Debt (2010, unknown): “We set the fractional recovery rate equal to 0.6 which is broadly in line with the average historical experience (Sturzenegger and Zettelmeyer, 2005).23 We compute the default component of the spread by discounting the expected payoff at the riskfree rate and calculate predicted spreads using…”
- Systemic Sovereign Credit Risk: Lessons from the U.S. and Europe (2013, background): “This is in the middle of the 30–75% range of the estimated recovery values on sovereign debt restructurings estimated by Sturzenegger and Zettelmeyer (2008).(19)”