BANCO MACRO 2036

BANCO MACRO 2036
Fixed Income Report
Sales and Trading:
Juan Jose Aldazabal
Estanislao Diaz Saubidet
(5411) 4328 5000
(5411) 4328 5000
JuanjoA@Comafi.com.ar
EstanisD@Comafi.com.ar
Javier Gourdy Allende
Jorge A. Oteiza
(5411) 4328 5000
(5411) 4328 5000
JavierG@Comafi.com.ar
JorgeO@Comafi.com.ar
30 January 2015
1- Bco Macro 2036
Security Description
Payment Schedule
Security Information
Bco Macro 36
Issue:
2007-06-18
Capital: 100
Asset Class
Corporate
From:
To:
Coupon
Value Date
2015-01-30
2007-12-18
2016-06-18
Int: 9.75%
Settlement Date
2015-02-04
2016-12-18
2036-06-18
Int: Libor6M + 711bps
2036-12-18
2036-12-18
Int: L6M+711bps - Amort:100%
Asset Name
ISIN
Quote Currency
Country
US05963GAB41
USD
Argentina
Legislation
NY
Flow Currency
USD
Cash Sweep
NO
Callable
Yes
Call Type
Date
European
Coupon Description
Rate Type
Fixed
Frequency
Semi-Anual
Day Count
Day Count
Coupon
Last Payment
2014-12-18
USD 4.8750
Last Amortization
2014-12-18
USD 0.0000
Last Interest
2014-12-18
USD 4.8750
Next Payment
2015-06-18
USD 4.8750
Next Amortization
2015-06-18
USD 0.0000
Next Interest
2015-06-18
USD 4.8750
Maturity
2036-12-18
Settlement On
2015-02-04
Security Analysis
Price
93.1
Yield
10.09%
Spread
Tech Value
Accrued Int.
January 30, 2015
8.04
101.25
1.25
Dirty Price
M. Duration
Residual Value
Parity
Capital Int
94.35
8.85
100.0%
93.18
0
Banco Comafi - Research Department
2- Bco Macro 2036
Yield to Call Analysis
14
macro36 Yield to Call
●
Call Schedule - Call On
Price
Date
Price
100.0000
2027-06-18
100.0000
2017-06-18
100.0000
2027-12-18
100.0000
2017-12-18
100.0000
2028-06-18
100.0000
2018-06-18
100.0000
2028-12-18
100.0000
2018-12-18
100.0000
2029-06-18
100.0000
2019-06-18
100.0000
2029-12-18
100.0000
2019-12-18
100.0000
2030-06-18
100.0000
2020-06-18
100.0000
2030-12-18
100.0000
2020-12-18
100.0000
2031-06-18
100.0000
2021-06-18
100.0000
2031-12-18
100.0000
2021-12-18
100.0000
2032-06-18
100.0000
2022-06-18
100.0000
2032-12-18
100.0000
2022-12-18
100.0000
2033-06-18
100.0000
2023-06-18
100.0000
2033-12-18
100.0000
2023-12-18
100.0000
2034-06-18
100.0000
2024-06-18
100.0000
2034-12-18
100.0000
2024-12-18
100.0000
2035-06-18
100.0000
2025-06-18
100.0000
2035-12-18
100.0000
2025-12-18
100.0000
2036-06-18
100.0000
Price
93.1
2026-06-18
100.0000
Yield Maturity
10.09
2026-12-18
100.0000
Yield to Next
14.0576
Yield to Worst
10.0856
January 30, 2015
12
●
●
●
●
11
●
●
●
●
●
●
●
● ●
● ●
● ● ●
● ● ● ●
● ● ● ●
● ● ● ● ● ● ●
● ● ● ● ● ● ●
o Yield to Call
− Yield to Maturity
10
%
13
Date
2016-12-18
12/16
06/19
12/21
06/24
12/26
06/29
12/31
06/34
12/36
Date
Price-Yields
Banco Comafi - Research Department
3- Bco Macro 2036
Price-Yield Sensitivity Analysis
6.60
106.228
105.941
6.70
105.221
8.80
104.922
6.80
104.229
8.90
103.919
6.90
103.251
9.00
102.931
7.00
102.288
9.10
101.958
7.10
101.34
9.20
100.999
7.20
100.405
9.30
100.054
7.30
99.484
9.40
99.123
7.40
98.577
9.50
98.206
7.50
97.683
9.60
97.303
7.60
96.802
9.70
96.413
7.70
95.933
9.80
95.535
7.80
95.078
100
106.975
8.70
9.90
94.671
7.90
94.234
10.00
93.819
8.00
93.403
10.09
93.1
8.04
93.1
10.10
92.979
8.10
92.584
10.20
92.152
8.20
91.777
10.30
91.337
8.30
90.981
10.40
90.533
8.40
90.196
10.50
89.74
8.50
89.422
10.60
88.959
8.60
88.66
10.70
88.189
8.70
87.908
10.80
87.43
8.80
87.167
10.90
86.682
8.90
86.436
11.00
85.944
9.00
85.715
11.10
85.217
9.10
85.004
11.20
84.5
9.20
84.303
11.30
83.793
9.30
83.612
11.40
83.095
9.40
82.93
11.50
82.407
9.50
82.258
January 30, 2015
95
8.60
$
Price
90
Spread
85
Price
105
Sensitivity Table
Yield
8.5
9.0
9.5
10.0
10.5
11.0
11.5
%
Banco Comafi - Research Department
4- Bco Macro 2036
Future Cashflow
Date
2015-06-18
2015-12-18
2016-06-21
2016-12-19
2017-06-19
2017-12-18
2018-06-18
2018-12-18
2019-06-18
2019-12-18
2020-06-18
2020-12-18
2021-06-18
2021-12-20
2022-06-20
2022-12-19
2023-06-19
2023-12-18
2024-06-18
2024-12-18
2025-06-18
2025-12-18
2026-06-18
2026-12-18
2027-06-18
2027-12-20
2028-06-19
2028-12-18
2029-06-18
2029-12-18
2030-06-18
2030-12-18
2031-06-18
2031-12-18
2032-06-18
2032-12-20
2033-06-20
2033-12-19
2034-06-19
2034-12-18
2035-06-18
2035-12-18
2036-06-18
2036-12-18
January 30, 2015
Coupon
USD 4.8750
USD 4.8750
USD 4.8750
USD 4.1125
USD 4.2214
USD 4.3170
USD 4.3993
USD 4.4694
USD 4.5289
USD 4.5783
USD 4.6196
USD 4.6535
USD 4.6812
USD 4.7036
USD 4.7219
USD 4.7363
USD 4.7477
USD 4.7567
USD 4.7636
USD 4.7689
USD 4.7729
USD 4.7759
USD 4.7779
USD 4.7793
USD 4.7802
USD 4.7806
USD 4.7807
USD 4.7806
USD 4.7803
USD 4.7798
USD 4.7793
USD 4.7787
USD 4.7781
USD 4.7774
USD 4.7768
USD 4.7762
USD 4.7756
USD 4.7750
USD 4.7745
USD 4.7740
USD 4.7736
USD 4.7732
USD 4.7728
USD 104.7725
Past Cashflow
Date
2007-12-18
2008-06-18
2008-12-18
2009-06-18
2009-12-18
2010-06-18
2010-12-20
2011-06-21
2011-12-19
2012-06-18
2012-12-18
2013-06-18
2013-12-18
2014-06-18
2014-12-18
Coupon
USD 4.8750
USD 4.8750
USD 4.8750
USD 4.8750
USD 4.8750
USD 4.8750
USD 4.8750
USD 4.8750
USD 4.8750
USD 4.8750
USD 4.8750
USD 4.8750
USD 4.8750
USD 4.8750
USD 4.8750
Banco Comafi - Research Department