Discount Pesos+CER

Fixed Income Report

Sales and Trading:
Juan Jose Aldazabal

Estanislao Diaz Saubidet

(5411) 4328 5000

(5411) 4328 5000

JuanjoA@Coma.com.ar

EstanisD@Coma.com.ar

Javier Gourdy Allende

(5411) 4347 0498

JavierG@Coma.com.ar

Research Department:
Federico D. Dorso

Federico.Dorso@Coma.com.ar

04 Noviembre 2011

1- Disc Pesos+CER
Security Description
Payment Schedule

Security Information

Asset Name
Asset Class
Value Date
Settlement Date
ISIN
Currency
Country
Legislation
Callable

Disc Pesos+CER
Sovereign
2011-11-04
2011-11-09
ARARGE03E121
ARS
Argentina
Argentina
No

2004-01-01

Capital: 100 - CER: 1.4551

From:

To:

Coupon

2004-07-01
2009-07-01
2014-07-01
2024-07-01

2009-01-01
2014-01-01
2024-01-01
2034-01-01

(Int: 2,79% - Cap: 3.04% ) + CER

(Int: 4.06% - Cap: 1.77% ) + CER
Int: 5.83% + CER
(int: 5.83% - Amort: 5.0% ) + CER

Last Payment
Last Amortization
Last Interest
Next Payment
Next Amortization
Next Interest
Maturity
Settlement On

Coupon Description

Rate Type
Frequency
Day Count

Issue:

Step-Up
Semi-Anual
30/360

Security Analysis

Price 128.5
Dirty Price 128.5
Yield 12.41% M. Duration 8.33
Spread NA Residual Value 100.0%
Tech Value 242.2
Parity 53.06
Accrued Int.
3
Capital Int 0.79

Date

2011-06-30
2011-06-30
2011-06-30
2012-01-02
2012-01-02
2012-01-02
2034-01-02
2011-11-09

ARS 4.6154
ARS 0.0000
ARS 4.6154
ARS 1.6953 x CER
ARS 0.0000 x CER
ARS 1.6953 x CER

CER

2.0
1.5

15

20

2.5

25

Yield DISCP

Coupon

0.0

0.5

10

200

1.0

Price DISCP

01/06

11/06

09/07

07/08

05/09

03/10

01/11

11/11

01/00 07/01 01/03 07/04 01/06 07/07 01/09 07/10

Date

50

100

150

Date

01/06

11/06

09/07

07/08

05/09

03/10

01/11

11/11

Date

November 4, 2011

Banco Coma - Research Department

2- Disc Pesos+CER

Price-Yield Sensitivity Analysis

PriceYield

November 4, 2011

120

125

130

135

140

Price

145.06
143.782
142.521
141.276
140.047
138.834
137.637
136.455
135.289
134.138
133.001
131.88
130.772
129.679
128.599
128.5
127.533
126.481
125.442
124.416
123.403
122.403
121.415
120.44
119.476
118.525
117.586
116.658
115.741
114.836
113.942

115

11.00
11.10
11.20
11.30
11.40
11.50
11.60
11.70
11.80
11.90
12.00
12.10
12.20
12.30
12.40
12.41
12.50
12.60
12.70
12.80
12.90
13.00
13.10
13.20
13.30
13.40
13.50
13.60
13.70
13.80
13.90

Yield

145

Sensitivity Table

11.0

11.5

12.0

12.5

13.0

13.5

14.0

Banco Coma - Research Department

3- Disc Pesos+CER

Modied Duration and DV01 Analysis

Modified Duration Analysis

Mod. Duration
Segment

8.33
0.79
1.58
5.15
0.82

Total
0-5
5-10
10-20
20-30

Value

05

510

1020

2030

700

DV01 Analysis (1 Mill)

600

DV01 (1 Mill)
Segment

1071
101
203
662
105

100

200

300

400

500

Total
0-5
5-10
10-20
20-30

Value

05

510

1020

2030

November 4, 2011

Banco Coma - Research Department

4- Disc Pesos+CER
Relative Value
Yield PRO12DISCP

2000
0

1000

1000

bps.

bps.

2000

3000

4000

3000

5000

Yield BOGARDISCP

11/06

09/07

07/08

05/09

03/10

01/11

01/06

11/11

11/06

09/07

07/08

05/09

03/10

Date

Date

Yield BODEN14DISCP

Yield PARPDISCP

01/11

11/11

01/11

11/11

200
400

bps.

1500
0

600

500

1000

bps.

2000

2500

3000

01/06

01/06

11/06

09/07

07/08

05/09

Date

November 4, 2011

03/10

01/11

11/11

01/06

11/06

09/07

07/08

05/09

03/10

Date

Banco Coma - Research Department

5- Disc Pesos+CER
Future Cash ow
Date
2012-01-02
2012-07-02
2012-12-31
2013-07-01
2013-12-31
2014-06-30
2014-12-31
2015-06-30
2015-12-31
2016-06-30
2017-01-02
2017-06-30
2018-01-01
2018-07-02
2018-12-31
2019-07-01
2019-12-31
2020-06-30
2020-12-31
2021-06-30
2021-12-31
2022-06-30
2023-01-02
2023-06-30
2024-01-01
2024-07-01
2024-12-31
2025-06-30
2025-12-31
2026-06-30
2026-12-31
2027-06-30
2027-12-31
2028-06-30
2029-01-01
2029-07-02
2029-12-31
2030-07-01
2030-12-31
2031-06-30
2031-12-31
2032-06-30
2032-12-31
2033-06-30
2034-01-02

November 4, 2011

ARS
ARS
ARS
ARS
ARS
ARS
ARS
ARS
ARS
ARS
ARS
ARS
ARS
ARS
ARS
ARS
ARS
ARS
ARS
ARS
ARS
ARS
ARS
ARS
ARS
ARS
ARS
ARS
ARS
ARS
ARS
ARS
ARS
ARS
ARS
ARS
ARS
ARS
ARS
ARS
ARS
ARS
ARS
ARS
ARS

Coupon
1.6953 x CER
1.7103 x CER
1.7255 x CER
1.7407 x CER
1.7561 x CER
2.5441 x CER
2.5441 x CER
2.5441 x CER
2.5441 x CER
2.5441 x CER
2.5441 x CER
2.5441 x CER
2.5441 x CER
2.5441 x CER
2.5441 x CER
2.5441 x CER
2.5441 x CER
2.5441 x CER
2.5441 x CER
2.5441 x CER
2.5441 x CER
2.5441 x CER
2.5441 x CER
2.5441 x CER
2.5441 x CER
6.9078 x CER
6.7806 x CER
6.6534 x CER
6.5262 x CER
6.3990 x CER
6.2718 x CER
6.1446 x CER
6.0174 x CER
5.8902 x CER
5.7630 x CER
5.6358 x CER
5.5086 x CER
5.3814 x CER
5.2542 x CER
5.1270 x CER
4.9998 x CER
4.8726 x CER
4.7454 x CER
4.6181 x CER
4.4909 x CER

Past Cash ow
Date
2004-06-30
2004-12-31
2005-06-30
2006-01-02
2006-06-30
2007-01-02
2007-07-02
2008-01-02
2008-06-30
2008-12-31
2009-06-30
2009-12-31
2010-06-30
2011-01-03
2011-06-30

Coupon
ARS 1.4315
ARS 1.4956
ARS 1.6035
ARS 1.7146
ARS 1.8440
ARS 1.9473
ARS 2.0687
ARS 2.1745
ARS 2.3220
ARS 2.4277
ARS 3.6811
ARS 3.8608
ARS 4.1335
ARS 4.3655
ARS 4.6154

Banco Coma - Research Department