# APPENDIX

where is the spliced return series, p is the secondary market price of the old bond in the month prior to the restructuring (or the last pricing observation we have before that), nnssnn bbppnnBB,mm BB bbppnnBB,mm−1 RR NN is the price of the newly issued bond once it starts trading (first month for which we have a pricing observation post-restructuring),nnssnn bbppnnBB,mm is the size of the nominal debt reduction (face value NN haircut) on the old bonds, are coupon payments on the new bond, and h are cash or wwrriittssw ww “goodwill” payments. For the spliced series, the formula is applied accordingly in all months following nnssnn bbppnnBB,mm mm CC CCs ∗ the restructuring, only that p in the denominator is replaced by , meaning the adjusted price of the new bond lagged by one month. In case the BB bbppnnBB,mm−1 nnssnn bbppnnBB,mm NN NN restructuring only involves a rescheduling of maturities but no face value debt reduction, the term (1 −wwrriittssw ww) would be zero, but the change in maturities should be reflected in the secondary market price of the new bond (this type of debt exchange is sometimes called “debt reprofiling”). wwrriittssw ww For the historical restructuring cases, Box B1 shows how old and new bonds were linked as well as the conversion rate ( ) with which coupons and prices are multiplied for the spliced return series of the new bonds. The table includes those restructured bonds for which prices were available. 1 −wwrriittssw ww Box B1 Linking old and new bonds to create long-run return series, historical restructurings

|Country|Bond name|Bond<br>ID|<br>Successor bond name|Successor<br>bond ID|Conversion<br>rate of old<br>into new<br>bonds|Date of<br>bond<br>exchange|First pricing<br>observ. of<br>successor<br>bond|
|---|---|---|---|---|---|---|---|
|Bolivia|6% Loan of 1872|179|debt buyback||0.476|03/1880|03/1880|
|Brazil|4% Loan of 1889|186|1.5 (4)% Loan (Plan A); 3.75%<br>Bonds of 1944|<br>211;258|Plan A: 1;<br>Plan B: 0.5|11/1943|04/1944|
|Brazil|4% Loan of 1901-<br>1905|185|1.5 (4)% Loan (Plan A); 3.5%<br>Bonds of 1944 (Plan B)|238;239|Plan A: 1;<br>Plan B: 0.5|11/1943|04/1944|
|Brazil|5% Bonds of 1898|187|3.375 (5)% Loan (Plan A);<br>3.75% Bonds of 1944|234;235|Plan A: 1;<br>Plan B: 0.8|11/1943|04/1944|
|Brazil|5% Loan of 1931<br>(series A)|245|3.375 (6.5)% Loan (Plan A);<br>3.75% Bonds of 1944|246;247|Plan A: 1;<br>Plan B: 0.8|11/1943|04/1944|
|Brazil|<br>5% Loan of<br>1931(series B)|248|3.375 (6.5)% Loan (Plan A);<br>3.75% Bonds of 1944|249;250|Plan A: 1;<br>Plan B: 0.8|11/1943|04/1944|
|Brazil|5% Loan of 1913|203|1.75 (5)% Loan (Plan A);<br>3.75% Bonds of 1944|240;241|Plan A: 1;<br>Plan B: 0.5|11/1943|04/1944|
|Brazil|5% Loan of 1914|188|3.375 (5)% Loan (Plan A);<br>3.75% Bonds of 1944|242;243|Plan A: 1;<br>Plan B: 0.8|11/1943|04/1944|
|Brazil|6.5% Loan of 1927|208|3.375 (6.5)% Loan (Plan A);<br>3.75% Bonds of 1944|213;244|Plan A: 1;<br>Plan B: 0.5|11/1943|04/1944|
|Brazil|6.5% Loan of 1926|224|3.375 (6.5)% Loan (Plan A);<br>3.75% Bonds of 1944|225;232|Plan A: 1;<br>Plan B: 0.8|11/1943|07/1944|
|Brazil|6.5% Loan of 1927|226|3.375 (6.5)% Loan (Plan A);<br>3.75% Bonds of 1944|227;233|Plan A: 1;<br>Plan B: 0.8|11/1943|07/1944|
|Brazil|7% Loan of 1922|228|3.5 (7)% Loan (Plan A); 3.75%<br>Bonds of 1944|<br>229;231|Plan A: 1;<br>Plan B: 0.8|11/1943|07/1944|
|Brazil|8% Loan of 1921|222|3.5 (8)% Loan (Plan A); 3.75%<br>Bonds of 1944|<br>223;230|Plan A: 1;<br>Plan B: 0.8|11/1943|07/1944|
|Brazil|5% Bonds of 1895|192|1.75 (5)% Loan (Plan A);<br>3.75% Bonds of 1944|212;251|Plan A: 1;<br>Plan B: 0.5|11/1943|09/1945|
|Brazil|4% Railway Bonds of<br>1911|199|1.5 (4)% Loan (Plan A); 3.75%<br>Bonds of 1944 (Plan B)|<br>252;253|Plan A: 1;<br>Plan B: 0.5|11/1943|10/1945|
|Chile|4.5% Bonds of 1887|316|<br>1.5-3% Mixed Bonds of 1948|343|1|03/1948|03/1953|
|Chile|5% Loan of 1911 (1st<br>series)|322|1.5-3% Mixed Bonds of 1948|343|1|03/1948|03/1953|
|Chile|<br>6% Loan of 1926|330|1.5-3% Mixed Bonds of 1948|343|1|03/1948|03/1953|
|Chile|6% Bonds of 1926|348|1.5-3% of 1948|349|1|03/1948|12/1948|
|Chile|6% Bonds of 1927|350|1.5-3% of 1948|349|1|03/1948|12/1948|

A11