Sovereign haircuts / RUS

Russia

4 concluded restructurings, between 1917 and 2000. The earliest default they settle began in 1917. The worst cost creditors 100.0% of the present value of their claim, in 1917. The longest gap between a default and its settlement was 6 years.

Restructurings

51.5%

Median present-value haircut

100.0%

Worst present-value haircut

2 of 4

Cut face value by zero

$78.59B

Debt treated (2020 $)

Every restructuring

Two measures of the same deals, never combined. The present-value haircut discounts what creditors got against what they were owed; the face-value reduction counts only principal written off.

Present-value haircutFace-value reduction

Default	Settled	Years to settle	Present-value haircut	Face-value reduction	Debt treated (2020 $)	Source
1917	1917repudiated	0	100.0%	100.0%	$28.44B	Meyer, Reinhart and Trebesch (2022)
1991	1997	6	0.0%	0.0%	$46.37B	Cruces and Trebesch (2013)
1998	2000	2	51.5%	34.3%	$1.89B	Cruces and Trebesch (2013)
1999	2000	1	51.5%	0.0%	$1.89B	Cruces and Trebesch (2013)

Source: Meyer, Reinhart & Trebesch (2022), Sovereign Bonds since Waterloo | Cruces & Trebesch (2013), Sovereign Defaults: The Price of Haircuts | Asonuma & Trebesch (2016) Debt treated is the amount restructured, deflated to constant 2020 US dollars in the source file. A negative haircut means the new instruments were worth more than the old claim. Methodology

Bond prices

1 of 4 Russia restructuring episodes has Waterloo prices during the restructuring interval

The haircut file dates episodes by year. Waterloo matches them by country code and plots a padded window from one year before default through one year after settlement.

The public Waterloo bond panel in this repo runs from Jan 1, 1822 to Dec 1, 1980. This selector uses price only, never pbid or pask, and shows one line per bond from one year before default to one year after settlement. The author README defines price as “bond price in GBP and USD”; it does not document normalization to face value. Across all 329 haircut episodes, 111 have no Waterloo country-code match and 177 start after Dec 1, 1980. Those two counts overlap. 3 of 4 episodes start after the panel ends.

Episode

Selected episode: default 1917, settled 1917, case 262, spell RUS_1917-1917. Window: Jan 1, 1916 to Dec 31, 1918.

GBP bond prices

Independent GBP y-axis; values are not scaled against another currency.

Bond legend (GBP)

3.5% Gold Loan of 1894, due 1975 (GBP)

3% Railway Loan of 1882, due 1952 (GBP)

4.5% Loan of 1909, due 1959 (GBP)

4% Consolidated Railway of 1889, due 1971 (series I) (GBP)

4% Consolidated Railway of 1889, due 1971 (series II) (GBP)

4% Consolidated Railway of 1891, due 1972 (series III) (GBP)

4% Nicolas Railway Bonds of 1867,1869, due 1951,1952 (GBP)

4% Railway Loan of 1894, due 1951 (GBP)

5% Bonds of 1822 (GBP)

5% Loan of 1906, due 1956 (GBP)

3% Bonds of 1859 (GBP)

4.5% Armavir-Tiuapse Railway Bonds of 1913 (GBP)

4.5% Black-Sea-Kuban Bonds of 1911 (GBP)

4.5% Kahetian Bonds of 1912 (GBP)

4.5% Kokand Namangan Railway Bonds (GBP)

4.5% Southeastern Railway Bonds of 1914 (GBP)

4.5% Troitzk Railway Bonds of 1913 (GBP)

539 monthly observations across 17 bonds. 204 of those observations fall inside the shaded restructuring interval. Earliest point in this window: Jan 1, 1916. Latest: Dec 1, 1918. One line equals one bond; no cross-bond average is computed.

Bond	Currency	ISIN	Obs.	First	Last
3.5% Gold Loan of 1894, due 1975	GBP	not recorded	36	Jan 1, 1916	Dec 1, 1918
3% Railway Loan of 1882, due 1952	GBP	not recorded	36	Jan 1, 1916	Dec 1, 1918
4.5% Loan of 1909, due 1959	GBP	not recorded	36	Jan 1, 1916	Dec 1, 1918
4% Consolidated Railway of 1889, due 1971 (series I)	GBP	not recorded	36	Jan 1, 1916	Dec 1, 1918
4% Consolidated Railway of 1889, due 1971 (series II)	GBP	not recorded	36	Jan 1, 1916	Dec 1, 1918
4% Consolidated Railway of 1891, due 1972 (series III)	GBP	not recorded	36	Jan 1, 1916	Dec 1, 1918
4% Nicolas Railway Bonds of 1867,1869, due 1951,1952	GBP	not recorded	36	Jan 1, 1916	Dec 1, 1918
4% Railway Loan of 1894, due 1951	GBP	not recorded	36	Jan 1, 1916	Dec 1, 1918
5% Bonds of 1822	GBP	not recorded	36	Jan 1, 1916	Dec 1, 1918
5% Loan of 1906, due 1956	GBP	not recorded	36	Jan 1, 1916	Dec 1, 1918
3% Bonds of 1859	GBP	not recorded	29	Aug 1, 1916	Dec 1, 1918
4.5% Armavir-Tiuapse Railway Bonds of 1913	GBP	not recorded	25	Jan 1, 1916	Feb 1, 1918
4.5% Black-Sea-Kuban Bonds of 1911	GBP	not recorded	25	Jan 1, 1916	Feb 1, 1918
4.5% Kahetian Bonds of 1912	GBP	not recorded	25	Jan 1, 1916	Feb 1, 1918
4.5% Kokand Namangan Railway Bonds	GBP	not recorded	25	Jan 1, 1916	Feb 1, 1918
4.5% Southeastern Railway Bonds of 1914	GBP	not recorded	25	Jan 1, 1916	Feb 1, 1918
4.5% Troitzk Railway Bonds of 1913	GBP	not recorded	25	Jan 1, 1916	Feb 1, 1918

Each option includes its case id and default-spell id. The chart includes every priced bond for that country in the window, so it does not identify bonds belonging to the selected restructuring. The one-year padding is a display window, one year either side; an editorial choice rather than a source-defined threshold. It uses waterloo_bonds.price only; pbid and pask are not averaged into it. The author README defines price as “bond price in GBP and USD” and does not document face-value normalization. GBP and USD observations use separate labelled panels and y-axes. Of the 329 episodes in the haircut file, 111 have no Waterloo country-code match and 177 start after 1980-12-01; these counts overlap. Later episodes show an absence message rather than an implied zero.

Source: Meyer, Reinhart & Trebesch, Sovereign Bonds since Waterloo (bond-price panel) | Harvard Dataverse, Sovereign Bonds since Waterloo Methodology

Default spells

Spell	From	To	Years	Restructurings
RUS_1917-1917	1917	1917	1	1
RUS_1991-2000	1991	2000	10	3

Source: Meyer, Reinhart & Trebesch (2022), Sovereign Bonds since Waterloo | Cruces & Trebesch (2013), Sovereign Defaults: The Price of Haircuts | Asonuma & Trebesch (2016) Duration counts both endpoints. The spells table also carries a cumulative-haircut column; it is not published here because it does not reconcile with the per-episode haircuts, see the methodology. Methodology

The Cruces-Trebesch record: a third measure and the discount rate

The Cruces-Trebesch file carries 4 restructurings here, and adds the market haircut (the new instruments against the face value of the old claim, undiscounted) and the exit yield used to do the discounting. The deal label is the file’s own and is finer than the country: it names the instrument class the deal covered. The two files were assembled separately, so a deal here need not line up one-to-one with a row above.

Deal	Date	Present value	Market	Face value	Exit yield	Structure	Data quality
Russian Federation	1997-12-01	26.2%	26.2%	0.0%	10.8%	-	4 / 5
Russia (GKOs, non-resid.)	1999-05-01	46.0%	43.1%	21.0%	SZ rate	bond exchange	5 / 5
Russia (MinFin3)	2000-02-01	51.5%	50.0%	0.0%	14.8%	bond exchange	5 / 5
Russia (PRINs & IANs)	2000-08-01	50.8%	62.4%	36.4%	12.5%	bond exchange	5 / 5

The two files disagree here. For 1997, the long-run file records a present-value haircut of 0.0% and the Cruces-Trebesch file records 26.2%. Both are shown above. They are not averaged, and no third number is constructed from them.

Source: Cruces & Trebesch, haircut dataset (2014 update) Data quality is the file's own 1-to-5 index of how well the deal terms are documented. Methodology

Debt still in default

$49.85B across 1 creditor class in 2024. A haircut can only be measured once a restructuring concludes, so any of this that is still being negotiated is by construction absent from the tables above.

Creditor class	In default, 2024
Foreign-currency bonds	$49.85B

Source: Bank of Canada-Bank of England Sovereign Default Database (CRAG) Bank of Canada terms (attribution). Includes domestic arrears, so it is not comparable with the debt-treated column above. Methodology

Methodology, the measures, and what this data cannot tell you