Par Dolares Leg.

Arg

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- Par USD Leg. Arg

Security Description
Payment Schedule

Security Information

Par USD Leg. Arg

Sovereign
2011-11-04
2011-11-09
ARARGE03E097
USD
Argentina
Argentina
No

Coupon Description

2003-12-31

Capital: 100

From:

To:

Coupon

2004-03-31
2009-09-30
2019-09-30
2029-09-30
2038-12-31

2009-03-31
2019-03-31
2029-03-31
2038-09-30
2038-12-31

Int: 1.33%
Int: 2.5%
Int: 3.75%
(Int: 5.25% - Amort: 5%)
(Int: 5.25% - Amort: 5%)

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

Step-Up
Semi-Anual
30/360

Security Analysis

Price 36.75
Dirty Price 37.02
Yield 10.54% M. Duration 11.78
Spread 7.49 Residual Value 100.0%
Tech Value 100.27
Parity 36.92
Accrued Int.
0
Capital Int
0

Date

2011-09-30
2011-09-30
2011-09-30
2012-03-30
2012-03-30
2012-03-30
2038-12-31
2011-11-09

Spread PARARG

20

Yield PARARG

14

18

12

16

40

10

45

12

14

Price PARARG

Coupon

USD 1.2500
USD 0.0000
USD 1.2500
USD 1.2500
USD 0.0000
USD 1.2500

16

Rate Type
Frequency
Day Count

Issue:

10

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

12/06

10/07

07/08

05/09

03/10

01/11

12/11

01/06

12/06

10/07

07/08

05/09

03/10

01/11

12/11

Date

30

Date

15

20

25

35

01/06

01/06

12/06

10/07

07/08

05/09

03/10

01/11

12/11

Date

November 4, 2011

Banco Coma - Research Department

2- Par USD Leg. Arg

Price-Yield Sensitivity Analysis

PriceYield

38

40

42

Price

36
34
32
9.0

9.5

10.0

10.5

11.0

11.5

12.0

40

42

44

PriceSpread

38

44.004
43.456
42.917
42.387
41.867
41.355
40.853
40.36
39.875
39.398
38.93
38.47
38.017
37.573
37.136
36.75
36.706
36.284
35.869
35.461
35.06
34.666
34.278
33.896
33.521
33.153
32.79
32.433
32.083
31.738
31.398

36

6.00
6.10
6.20
6.30
6.40
6.50
6.60
6.70
6.80
6.90
7.00
7.10
7.20
7.30
7.40
7.49
7.50
7.60
7.70
7.80
7.90
8.00
8.10
8.20
8.30
8.40
8.50
8.60
8.70
8.80
8.90

34

Spread

32

Price

43.889
43.333
42.786
42.248
41.72
41.201
40.692
40.191
39.699
39.216
38.74
38.274
37.815
37.364
36.921
36.75
36.485
36.057
35.636
35.222
34.815
34.415
34.022
33.635
33.255
32.881
32.514
32.152
31.797
31.447
31.103

9.10
9.20
9.30
9.40
9.50
9.60
9.70
9.80
9.90
10.00
10.10
10.20
10.30
10.40
10.50
10.54
10.60
10.70
10.80
10.90
11.00
11.10
11.20
11.30
11.40
11.50
11.60
11.70
11.80
11.90
12.00

Yield

44

Sensitivity Table

6.0

6.5

7.0

7.5

8.0

8.5

9.0

November 4, 2011

Banco Coma - Research Department

3- Par USD Leg. Arg

Modied Duration and DV01 Analysis

Modified Duration Analysis

Mod. Duration
Segment

11.78
0.6
1.38
4.94
4.85

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

Value

05

510

1020

2030

200

DV01 Analysis (1 Mill)

DV01 (1 Mill)
Segment

436
22
51
183
180

50

100

150

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

Value

05

510

1020

2030

November 4, 2011

Banco Coma - Research Department

4- Par USD Leg. Arg

Relative Value
Spread BODEN12PARARG

20000
bps.

1500

500

5000 10000

1000

bps.

2000

2500

30000

3000

Spread BONAR13PARARG

10/06 06/07

02/08 10/08 06/09

01/06

02/10 10/10 06/11

12/06

10/07

07/08

05/09

03/10

Date

Spread BODEN15PARARG

Spread DISCARGPARARG

12/11

01/11

12/11

400

600

bps.

1000
0

200

500

bps.

1500

800

2000

1000

Date

01/11

11/06

07/07

03/08

11/08

07/09
Date

November 4, 2011

03/10

11/10

07/11

01/06

12/06

10/07

07/08

05/09

03/10

Date

Banco Coma - Research Department

5- Par USD Leg. Arg

Future Cash ow
Date
2012-03-30
2012-10-01
2013-04-01
2013-09-30
2014-03-31
2014-09-30
2015-03-30
2015-09-30
2016-03-30
2016-09-30
2017-03-30
2017-10-02
2018-03-30
2018-10-01
2019-04-01
2019-09-30
2020-03-30
2020-09-30
2021-03-30
2021-09-30
2022-03-30
2022-09-30
2023-03-30
2023-10-02
2024-04-01
2024-09-30
2025-03-31
2025-09-30
2026-03-30
2026-09-30
2027-03-30
2027-09-30
2028-03-30
2028-10-02
2029-03-30
2029-10-01
2030-04-01
2030-09-30
2031-03-31
2031-09-30
2032-03-30
2032-09-30
2033-03-30
2033-09-30
2034-03-30
2034-10-02
2035-03-30
2035-10-01
2036-03-31
2036-09-30
2037-03-30
2037-09-30
2038-03-30
2038-09-30
2038-12-31

November 4, 2011

Coupon
USD 1.2500
USD 1.2500
USD 1.2500
USD 1.2500
USD 1.2500
USD 1.2500
USD 1.2500
USD 1.2500
USD 1.2500
USD 1.2500
USD 1.2500
USD 1.2500
USD 1.2500
USD 1.2500
USD 1.2500
USD 1.8750
USD 1.8750
USD 1.8750
USD 1.8750
USD 1.8750
USD 1.8750
USD 1.8750
USD 1.8750
USD 1.8750
USD 1.8750
USD 1.8750
USD 1.8750
USD 1.8750
USD 1.8750
USD 1.8750
USD 1.8750
USD 1.8750
USD 1.8750
USD 1.8750
USD 1.8750
USD 7.6250
USD 7.4938
USD 7.3625
USD 7.2312
USD 7.1000
USD 6.9688
USD 6.8375
USD 6.7062
USD 6.5750
USD 6.4437
USD 6.3125
USD 6.1813
USD 6.0500
USD 5.9188
USD 5.7875
USD 5.6562
USD 5.5250
USD 5.3937
USD 5.2625
USD 5.0656

Past Cash ow
Date
2004-03-31
2004-09-30
2005-03-31
2005-09-30
2006-03-31
2006-10-02
2007-04-03
2007-10-01
2008-03-31
2008-09-30
2009-03-31
2009-09-30
2010-03-30
2010-09-30
2011-03-30
2011-09-30

Coupon
USD 0.3325
USD 0.6650
USD 0.6650
USD 0.6650
USD 0.6650
USD 0.6650
USD 0.6650
USD 0.6650
USD 0.6650
USD 0.6650
USD 0.6650
USD 1.2500
USD 1.2500
USD 1.2500
USD 1.2500
USD 1.2500

Banco Coma - Research Department