In order to include Distressed Sovereign Restructured Debt as an asset sub-class within ActiveAllocator we examined the past 30 sovereign default crisis with 270 bonds in multiple emerging markets including Argentine, Bulgaria, Colombia, Ecuador, Iraq, Mexico, Nigeria, Panama, Peru, Philippines, South Africa, Turkey, Ukraine, Venezuela etc. Given the large variation of returns between crisis episodes, aggregating statistics from these events is a spurious exercise; the sample size is much too small, restructurings idiosyncratic, haircuts and losses vary widely as well as heterogeneous debt security-level characteristics.
Our approach is to parse the anatomy of each restructured deal – restructuring defined as a distressed debt exchange in which creditors receive instruments with less-favorable terms than the original issues -beginning with an examination of the original debt offer documents as well as the specifics of each deal.
The Wall Street Journal, July 8, 2020 reports” Argentina Bonds Rise On New Debt Deal ” : Average recoveries around $53.50, swaps existing bonds to newer lower interest paying, delayed maturity..
Earlier on May 23, 2020 The Wall Street Journal reported ” Argentina Defaults on Sovereign Debt Amid Coronavirus Crisis – The country is struggling with economic contraction, runaway inflation and a hard-currency squeeze”
Argentina defaulted on sovereign debt for the ninth time in its history, as Latin America’s third-biggest economy grapples with a new cycle of economic contraction, runaway inflation and a hard-currency squeeze exacerbated by the coronavirus pandemic. The cash-strapped country officially entered into default on Friday after failing to make a $500 million interest payment on foreign debt. The…
We examine here the anatomy of historical instances of Argentina Debt Exchange Transactions — February and June 2001
–Argentina Reverse Dutch Auction exchange – February 2001 when the Republic successfully exchanged over $8.0 billion of international and domestic securities
–Argentina “Mega Debt Exchange”—June 2001 when the Republic successfully executed a $29.5 billion debt exchange of 46 eligible international and domestic debt securities