Discount Pesos+CER Fixed Income Report Sales and Trading: Juan Jose Aldazabal Estanislao Diaz Saubidet (5411) 4328 5000 (5411) 4328 5000 [email protected] [email protected] Javier Gourdy Allende Jorge A. Oteiza (5411) 4328 5000 (5411) 4328 5000 [email protected] [email protected] 30 January 2015 1- Disc Pesos+CER (DICP) Security Description Payment Schedule Security Information Disc Pesos+CER Issue: 2004-01-01 Capital: 100 - CER: 1.4551 Asset Class Sovereign From: To: Coupon Value Date 2015-01-30 2004-07-01 2009-01-01 (Int: 2,79% - Cap: 3.04% ) + CER Settlement Date 2015-02-04 2009-07-01 2014-01-01 (Int: 4.06% - Cap: 1.77% ) + CER 2014-07-01 2024-01-01 Int: 5.83% + CER 2024-07-01 2034-01-01 (int: 5.83% - Amort: 5.0% ) + CER Asset Name ISIN Quote Currency ARARGE03E121 ARS Country Argentina Legislation Argentina Flow Currency ARS Flow Indexed by CER Callable Date No Coupon Description Coupon Last Payment 2015-01-02 ARS 11.0590 Last Amortization 2015-01-02 ARS 0.0000 Last Interest 2015-01-02 ARS 11.0590 Next Payment 2015-06-30 ARS 2.5441 x CER Next Amortization 2015-06-30 ARS 0.0000 x CER ARS 2.5441 x CER Rate Type Step-Up Frequency Semi-Anual Next Interest 2015-06-30 Day Count Day Count Maturity 2034-01-02 Settlement On 2015-02-04 Security Analysis Price 292.5 Dirty Price 292.5 Yield 8.95% M. Duration 8.46 Spread Tech Value Accrued Int. January 30, 2015 NA 386.78 2.12 Residual Value Parity Capital Int 100.0% 75.62 0 Banco Comafi - Research Department 2- Disc Pesos+CER (DICP) Price-Yield Sensitivity Analysis 331.875 7.60 328.941 7.70 326.041 7.80 323.177 7.90 320.348 8.00 317.553 8.10 314.791 8.20 312.063 8.30 309.367 8.40 306.704 8.50 304.072 8.60 301.472 8.70 298.903 8.80 296.365 8.90 293.857 8.95 292.5 9.00 291.378 9.10 288.929 9.20 286.508 9.30 284.116 9.40 281.753 9.50 279.417 9.60 277.108 9.70 274.827 9.80 272.572 9.90 270.343 300 7.50 January 30, 2015 10.00 268.14 10.10 265.963 10.20 263.811 10.30 261.684 10.40 259.582 260 280 $ Price 320 Sensitivity Table Yield 7.5 8.0 8.5 9.0 9.5 10.0 10.5 % Banco Comafi - Research Department 3- Disc Pesos+CER (DICP) Future Cashflow Date 2015-06-30 2015-12-31 2016-06-30 2017-01-02 2017-06-30 2018-01-02 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 2024-01-02 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 2029-01-02 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 January 30, 2015 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 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 Cashflow 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 2012-01-03 2012-07-02 2012-12-31 2013-07-01 2013-12-31 2014-06-30 2015-01-02 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 ARS 4.8730 ARS 5.1594 ARS 5.4654 ARS 5.7959 ARS 6.1544 ARS 10.2159 ARS 11.0590 Banco Comafi - Research Department
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