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
Haircuts: Estimating Investor Losses in Sovereign Debt Restructurings, 1998–2005 by Debt Free on Scribd
