巴黎银行-新兴市场-宏观策略-阿根廷债务：模拟潜在的“削发”-20190812-7页_524kb

Summary of Argentina Debt Restructuring Simulation

Core Content

This document provides a simulation of a potential debt restructuring scenario for Argentina, based on the work of Edwards (2015), and outlines the estimated haircuts that could result from such a restructuring. The analysis is conducted by the BNP Paribas (BNPP) Strategist and Economist teams and is intended to generate discussion rather than serve as investment advice.

Main Points

• Hypothetical Debt Restructuring Scenario: BNPP has simulated a hypothetical debt restructuring for Argentina, assuming no distinction between public and private sector debt (on pari-passu clause and RUFO).
• Estimated Haircut Range: The analysis suggests that the haircut for Argentina's debt restructuring could vary between 38.6% and 62.7% of the debt, with a central scenario of 40%.
• Debt to GDP Ratio: As of Q2 2019, Argentina's debt to GDP ratio reached 85.4%, according to the Ministry of Finance (MECON). Another methodology suggests an increase of 10.3 percentage points to 76% since March 2019.
• Modeling Approach: The simulation uses a regression model that includes:
  • Explanatory variables (shocks to the country): bad states of the world, defined as the number of shocks in the six-year window before restructuring.
  • Country-specific variables: debt to GDP ratio, and a dummy variable for being among the poorest countries.
  • Global economic conditions: US recession status, global interest rates, and whether the default occurred after 1990.
  • Debt exchange characteristics: whether the exchange was part of the Brady deal, and whether international donor support was involved.

Key Information

• Five Models Tested: Two models for the period 1978–2010 and two for 1988–2010. Coefficients are consistent across models, but statistical significance varies between 1% and 10%.
• Shock Scenarios: Four alternative scenarios were tested:
  1. War, civil conflict, coup d'etat or coup attempt
  2. Major GDP contraction of at least 8%
  3. Major deterioration in terms of trade of at least 15%
  4. Severe currency crisis with a devaluation of at least 20%
• Historical Context: The 2005 restructuring haircut of 75% is considered excessively high compared to other episodes.
• Methodology: The simulation is based on a sample of 180 sovereign defaults to determine recovery rates after restructuring.
• Haircut Formula:
  $$
  h a i r c u t _ {i t} = \alpha + \sum \beta_ {i} x _ {i t - k} + \sum \delta_ {i} y _ {i t - j} + \sum \theta_ {i} q _ {i t - m} + \sum \gamma_ {i} z _ {i t - l} + \mu_ {i}
  $$
  Where the variables represent shocks, country conditions, global economy, and debt exchange features.

Legal and Regulatory Disclaimer

• The document is non-independent research and may be subject to conflicts of interest due to BNPP's interaction with sales and trading.
• It is intended for Professional Clients and Eligible Counterparties under MiFID II, and is not investment research.
• No liability is accepted for any losses arising from reliance on the document.
• Indicative prices are provided based on BNPP's internal models and may not reflect actual market conditions.
• The document may include back-tested performance data, which is for illustrative purposes only and does not guarantee future results.
• Confidentiality: The document is provided on a confidential basis and must not be copied or distributed without prior written consent.
• Legal Jurisdiction: The document is subject to various legal disclosures depending on the jurisdiction, including:
  • United States: Important option and ETF disclosures, and restrictions on distribution to U.S. persons.
  • UK: The document is communicated by BNPP London Branch and is subject to limited regulation.
  • France: Produced and/or distributed by BNPP SA and BNPP Arbitrage, both subject to ECB and ACPR supervision.
  • Germany: Distributed by BNPP Niederlassung Deutschland, a branch of BNPP SA, under limited regulation by BaFin.
  • Belgium: Distributed by BNPP Fortis SA/NV, under ECB and National Bank of Belgium supervision.
  • Ireland: Distributed by BNPP S.A., Dublin Branch, under ECB and FSMA supervision.
  • Italy: Distributed by BNPP Succursale Italia, under ECB, ACPR, and CONSOB supervision.
  • Netherlands: Distributed by BNPP Fortis SA/NV, Netherlands Branch, under ECB, National Bank of Belgium, and AFM supervision.
  • Portugal: Distributed by BNPP Sucursal em Portugal, under ECB supervision.

Conclusion

The document highlights that a debt restructuring for Argentina could result in a haircut range of 38.6% to 62.7%, with a central estimate of 40%. The analysis is based on a comprehensive model incorporating both domestic and global factors. However, it is important to note that the document serves as a marketing communication and not as investment advice, with significant legal and regulatory caveats.