Fixed Income Argentina Bonds

th

April, 18 2016

FIXED INCOME ARGENTINA

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− − − − − − − − − −

PRO 12 (PR12) Bogar 18 (NF18) PRO 13 (PR13) GDP Coupons ARS (TVPP) Bonar X (AA17) Bonar 20 (AO20) Bonar 24 (AY24) Global 17 New York Law (GJ17) GDP Coupons USD Argentinian Law (TVPA) GDP Coupons USD New York Law (TVPY)

− − − − − −

Discount ARS Argentinian Law (DICP) Par ARS Argentinian Law (PARP) Discount USD Argentinian Law (DICA) Discount USD New York Law (DICY) Par USD Argentinian Law (PARA) Par USD New York Law (PARY)

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Fixed Income Argentina Bonds th

April, 18 2016

Argentina: back to the bond markets Both locally and abroad, there are great expectations as to the issuance to be launched by Argentina for USD 15 billion in 5, 10 and 30-year bonds. That is why we have decided to switch our recommendation for the long term bonds (Discount and Par) from hold up to BUY. For the rest of the securities we still maintain our conservative view (HOLD). After the decision of the US Court of Appeals in New York to authorize Judge Griesa to vacate the injunctions (that is, to implement the stay), the Government will enter the voluntary debt markets this Monday April 18th to place the short and long term bonds. The money raised will be to pay off the holdout funds and individual creditors who accepted the offer made by Argentina last February, putting an end to the country’s longest lawsuit ever. ARGENTINA SECURITIES (OTC): term, condition and prices Security Bonar X Bonar 2020 Bonar 2024 Global 2017 Discount USD - New York Law Discount USD – Argentinian Law Discount USD - New York Law (Swap) Par USD - New York Law Par USD - Argentinian Law GDP Coupon USD - New York Law GDP Coupon USD - Argentinian Law GDP Coupon USD - European Law GDP Coupon USD - New York Law (Swap) Source: Bloomberg

Ticker

Maturity

AA17 AO20 AY24 GJ17 DICY DICA DIY0 PARY PARA TVPY TVPA TVY0 TVPE

17/04/2017 08/10/2020 07/05/2024 02/06/2017 31/12/2033 31/12/2033 31/12/2033 31/12/2038 31/12/2038 15/12/2035 15/12/2035 15/12/2035 15/12/2035

Outstanding Coupon 7,340.08 669.26 6,359.58 950.50 3,965.93 4,901.09 1,295.82 5,296.69 1,229.57 14,386.42 3,104.79 18,947.45 2,728.39

7.000 8.000 8.750 8.750 8.280 8.280 8.280 2.500 2.500 -

Last 15-apr-16 102.13 106.42 111.61 120.45 124.75 105.54 122.28 67.85 68.88 10.92 10.40 10.16 10.48

YTM

MD

5.04 0.97 6.51 3.85 7.53 4.49 -8.70 1.10 5.82 8.43 7.63 7.94 3.86 8.16 6.65 12.62 6.62 12.63 -

ARGENTINA SECURITIES (OTC): percent change, prices in USD Security Bonar X Bonar 2020 Bonar 2024 Global 2017 Discount USD - New York Law Discount USD – Argentinian Law Discount USD - New York Law (Swap) Par USD - New York Law Par USD - Argentinian Law GDP Coupon USD - New York Law GDP Coupon USD - Argentinian Law GDP Coupon USD - European Law GDP Coupon USD - New York Law (Swap) Source: Bloomberg

Ticker AA17 AO20 AY24 GJ17 DICY DICA DIY0 PARY PARA TVPY TVPA TVY0 TVPE

Last 15-abr-16 102.13 106.42 111.61 120.45 124.75 105.54 122.28 67.85 68.88 10.92 10.40 10.16 10.48

5 days -3.1 1.0 2.7 1.1 3.2 3.2 3.5 1.9 -1.1 0.1 0.4 0.4 -0.2

Percent change 30 days MTD -1.9 -2.1 -1.5 -1.9 3.3 3.1 1.7 1.5 5.7 4.0 2.7 3.5 5.7 4.1 1.5 1.0 8.5 -0.6 -3.0 2.8 -4.9 -3.1 -7.1 -3.5 -5.8 -1.4

YTD -0.4 3.6 3.9 5.3 8.4 1.7 9.1 8.2 16.3 6.0 10.5 4.2 6.3

Thus, Argentina is finally out of the default situation, and it is confident it can strengthen its capabilities to attract investors from financial markets worldwide. This scenario also enables the coming of fresh foreign investments to finance infrastructure works, and create new jobs, and therefore make the country grow. www.researchfortraders.com

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Fixed Income Argentina Bonds th

April, 18 2016

This also implies an upgrade as to Argentina’s credit rating. Indeed, the bonds to be issued this week have already been upgraded as a consequence of the end of the default situation. According to press releases, S&P will change its credit standing for the new debt and the present debt from “SD” (Selective Default) to around a “B” rating, and by doing so, making it possible for many investors to go for Argentine securities. However, Argentina’s ability to meet its debt obligations is still vulnerable. As reported by Barclays, the foreign-currency bond floor would be “B”, placing the country at the same level as Ecuador, Honduras, Uganda and Zambia. If Argentina’s rating goes up (“B+”), it will be at the same level as Nigeria, El Salvador, Honduras, Albania, Kenya and the Dominican Republic. For the time being, the possibilities of attaining the similar credit ratings as Bolivia, Paraguay or Brazil are far-off. However, on Friday Moody’s already upgraded Argentina’s credit rating from “Caa1” to “B3” and a “stable” outlook. The rating assigned to foreign legislation and restructured local legislation foreign currency obligations also went up from “Caa2” to “B3”. The main factors for the Agency’s upgrading were: i) the lifting of the injunctions that had been applied by Judge Griesa, after the decision of the US Court of Appeals in New York, and ii) the implementation of clear and credible economic and fiscal policies since Mr. Macri took office in December 2015. Our view is that Argentina’s credit standing will be closer to a “B” -rather than the last rating assigned by Moody’s.

The new bonds to be issued are due in 2021, 2026 and 2046 for USD 15 billion. We estimate the 5-year bonds will be sold at an interest rate between 7,25% and 7,50%, and for the 10-year bonds between 7,75% and 7,90%; while for the longer duration bonds (30 years), the interest rate will range between 8% and 8,25%. According to market sources, the foreign banks participating in the operation have been receiving orders for over USD 25 billion. The bids could surpass this amount, but the big question is by how much. The bond with the highest demand is the one due in 2026, and it could become the security with the highest liquidity. ARGENTINE SOVEREIGN IN USD: yield curve, including emissions 2021, 2026 and 2046

Source: Bloomberg www.researchfortraders.com

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Fixed Income Argentina Bonds th

April, 18 2016

The lending rates for Argentina’s placement will be similar to the offering placed by the Dominican Republic, Jamaica, El Salvador and Barbados. However, even with the recent upgrade, Argentina’s rating is still far-off from that assigned to other countries like Brazil, Colombia or Peru. ARGENTINA VS. CENTRAL AMERICA: yield curve

Source: Bloomberg

If it had a better credit standing, Argentina could advance from a “frontier” market to an “emerging” market rating. And the country would once again have a market to trade Credit Default Swaps (CDS). The underwriting Banks will receive a 0,18% commission.

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Fixed Income Argentina Bonds th

April, 18 2016

DISCOUNT 8.28% 2033 IN USD – NEW YORK LAW (DICY): 4 months, price in USD

Source: Bloomberg

DISCOUNT 8.28% 2033 IN USD – ARGENTINIAN LAW (DICA): 4 months, price in USD

Source: Bloomberg

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Fixed Income Argentina Bonds th

April, 18 2016

PAR 2,5% 2038 IN USD – NEW YORK LAW (PARY): 4 months, price in USD

Source: Bloomberg

PAR 2,5% 2038 IN USD – ARGENTINIAN LAW (PARA): 4 months, price in USD

Source: Bloomberg

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FIXED INCOME INSTRUMENTS Data & Yield Curve BONDS IN USD LOCAL LAW Security 5 200 7 6

Bonar X 2017 Bonar 2024 Disc. USD Arg. Law Par USD Arg. Law

Maturity 17-Apr-17 7-May-24 31-Dec-33 31-Dec-38

Next Coupon 17-Apr-16 7-May-16 30-Jun-16 30-Sep-16

Coupon (%) 7.000 8.750 8.280 2.500

Next Coupon 30-Jun-15 31-Mar-16

Coupon (%) 8.280 2.500

Parity

Price in USD

102.3% n.d. 107.4% 72.1%

101.75 111.35 104.00 67.25

Parity

Price in USD

117.7% 71.8%

124.25 67.50

Price Dirty n.d. n.d. n.d. n.d.

YTM

Duration

5.29% 7.09% 8.16% 6.86%

0.97 4.70 7.87 8.52

YTM

Duration

5.73% 6.89%

11.10 8.29

DV01 (1MM) 790 844 n.d n.d

Spread o/Treasuries 6.38 4.30 n.d n.d

Spread o/Swap 4.55 5.64 6.20 4.83

DV01 (1MM) 1103 825

Spread o/Treasuries 3.94 4.29

Spread o/Swap 3.77 4.83

BONDS IN USD NEW YORK LAW Security 9

Disc. USD NY Law Par USD NY Law

31-Dec-33 31-Dec-38

Price Dirty n.d. n.d.

9.0%

DICA

8.0%

PARY

Bonar 24

7.0% YTM

10

Maturity

PARA

6.0% DICY Bonar X

5.0%

4.0% 0

Source: Thomson Reuters Eikon

1

2

3

4

5

6 7 Duration

8

9

10

11

12

FIXED INCOME INSTRUMENTS Data & Yield Curve BONDS IN ARS: C.E.R. ADJUSTED Security 14 17 15 19

Bogar 2018 PRO13 Disc. ARS +CER Par ARS + CER

Maturity 4-Feb-18 15-Mar-24 31-Dec-33 31-Dec-38

Next Coupon 4-May-16 15-Apr-16 30-Jun-16 30-Sep-16

Coupon (%) 2.000 2.000 5.830 1.180

Technical Value 125.0% 375.5% 505.0% 391.0%

Residual Value 21.7% 78.3% 100.0% 100.0%

Parity

Price

YTM

Duration

96.0% 101.5% 100.9% 66.5%

118.8 321.0 5.2 260.0

6.8% 7.0% 5.8% 4.5%

0.89 3.49 8.64 14.49

18

10% 9% 8% PR13

YTM

7% Bogar 18

6%

DICP

5% PARP

4% 3% 2% 0

23

Source: Thomson Reuters Eikon

1

2

3

4

5

6

7 8 9 Duration

10 11 12 13 14 15 16

DV01 (1MM) 13 1141 50 4047

FIXED INCOME INSTRUMENTS Data & Yield Curve PROVINCIALS BONDS IN USD Security

19 1 10 20 21 22 17 9 23 13 24 25

Ciudad de Bs.As. 2017 Bs.As. 2017 Córdoba 2017 Mendoza 2018 Bs.As. 2018 Bs.As. 2020 Bs.As. 2021 Ciudad de Bs.As. 2021 Neuquén 2021 Bs.As. 2021 Salta 2022 Bs.As. 2028 Bs.As. 2035

1-Mar-17 15-Apr-17 17-Aug-17 4-Sep-18 14-Sep-18 1-May-20 26-Jan-21 19-Feb-21 26-Apr-21 9-Jun-21 16-Mar-22 18-Apr-28 15-May-35

Next Coupon n.d. 15-Apr-16 17-Aug-16 4-Sep-16 14-Sep-16 1-May-16 26-Jul-16 n.d. 26-Apr-16 9-Jun-16 16-Jun-16 18-Apr-16 15-May-16

Coupon (%) 9.950 9.250 12.375 5.500 9.375 3.000 10.875 8.950 7.875 9.950 9.500 9.625 4.000

Parity

Price

n.d. n.d. n.d. n.d. n.d. n.d. n.d. n.d. n.d. n.d. n.d. n.d. n.d.

104.50 101.25 105.25 93.95 105.25 87.50 110.00 108.00 98.50 107.75 101.88 106.63 67.75

Price Dirty n.d. 101.26 105.26 n.d. 105.27 87.52 110.03 n.d. 98.52 n.d. 101.90 n.d. 67.80

YTM

Duration

4.5% 7.5% 8.1% 8.8% 7.0% 8.6% 7.7% 6.5% 8.7% 7.9% 8.9% 8.7% 8.6%

0.84 0.73 1.24 1.92 2.20 2.60 3.15 3.30 2.22 3.73 2.57 7.16 8.08

10%

9%

Bs.As. '28

Mendoza '18 Neuquén '21

8% Bs.As.'17

YTM

16

Maturity

Salta '22 Bs.As. '20 Córdoba '17 Bs.As.'21 Bs.As. '21

7%

Bs.As. '35

Bs.As. '18 Cdad.Bs.As.'21

6%

5% Cdad.Bs.As.'17

4% 0

1

2

3

4

5 Duration

Source: Thomson Reuters Eikon

6

7

8

9

DV01 (1MM) n.d. n.d. n.d. n.d. n.d. n.d. n.d. n.d. n.d. n.d. n.d. n.d. n.d.

Spread o/Treasuries 4.02 7.38 7.54 8.10 6.22 7.41 6.53 5.33 7.44 6.70 7.65 6.93 6.83

Spread o/Swap 3.80 6.72 7.30 7.94 6.06 7.56 6.60 5.40 7.49 6.73 7.60 6.95 6.61

FIXED INCOME INSTRUMENTS Data SOVEREIGN BONDS IN USD (DOLLAR LINKED) Security 8

Gobierno Nacional Gobierno Nacional Gobierno Nacional Gobierno Nacional

Ticker

Date Issue

Maturity

Years

AO16 AF17 AS17 AM18

28-Oct-14 18-Aug-15 21-Sep-15 18-Nov-14

28-Oct-16 22-Feb-17 21-Sep-17 18-Mar-18

2 2 2 3

Ticker

Date Issue

Maturity

Years

BDC16 PMY16 NDG1 BD2C6 ERG16 BD4C6 BNN16 ERD16 BAO17 CO17 BDC18 NDG21 PMO18 PMD18 BDC19 PUO19 BD2C9 BDC20 TDEC PUM21 FORM3 CHSG1 CHAQ

9-May-14 28-May-13 12-Jun-13 27-Jun-14 6-Aug-13 27-Aug-14 28-May-14 27-Dec-13 16-Oct-13 27-Nov-09 15-Mar-13 11-Oct-13 30-Oct-13 18-Dec-13 17-May-13 21-Oct-13 20-Dec-13 28-Jan-14 5-May-11 30-Mar-15 27-Feb-08 4-Nov-06 21-Jan-00

9-May-16 28-May-16 12-Jun-16 27-Jun-16 6-Aug-16 27-Nov-16 28-Nov-16 27-Dec-16 16-Oct-17 7-Dec-17 15-Mar-18 11-Oct-18 30-Oct-18 18-Dec-18 17-May-19 21-Oct-19 20-Dec-19 28-Jan-20 29-Jan-20 30-Mar-21 27-Feb-22 4-Nov-23 4-Dec-26

2 3 3 2 3 2 3 3 4 8 5 5 5 5 6 6 6 6 9 6 14 17 27

Coupon (%)

1.75% 0.75% 0.75% 2.40%

Interest rate Fixed Fixed Fixed Fixed

Frequency interest Semiannual Semiannual Semiannual Semiannual

Issuance

Interest rate Fixed Fixed Fixed Fixed Fixed Fixed Fixed Fixed Fixed Fixed Fixed Fixed Fixed Fixed Fixed Fixed Fixed Fixed Fixed Fixed Fixed Fixed Fixed

Frequency interest Semiannual Quarterly Quarterly Semiannual Quarterly Semiannual Quarterly Quarterly Quarterly Monthly Semiannual Quarterly Quarterly Quarterly Semiannual Quarterly Semiannual Semiannual Monthly Quarterly Quarterly Monthly Quarterly

Issuance

(in M USD)

983.30 1,387.50 1,387.50 1,000.00

Redemption Bullet Bullet Bullet Bullet

PROVINCIALS BONDS IN USD (DOLLAR LINKED) Security

5

14 3 6 4 11

9 2

C.A.B.A. Provincia de Mendoza Provincia de Neuquén C.A.B.A. Provincia de Entre Ríos C.A.B.A. Provincia de Neuquén Provincia de Entre Ríos Municipalidad de Córdoba Provincia de Córdoba C.A.B.A. Provincia de Neuquén Provincia de Mendoza Provincia de Mendoza C.A.B.A. Provincia de Chubut C.A.B.A. C.A.B.A. Provincia de Córdoba Provincia de Chubut Provincia de Formosa Provincia de Chaco Provincia de Chaco

Source: Thomson Reuters Eikon

Coupon (%)

4.75% 3.00% 3.00% 2.48% 4.80% 0.40% 2.89% 2.25% 4.99% 12.00% 3.98% 3.90% 2.75% 2.75% 3.98% 4.00% 1.95% 1.95% 12.50% 4.50% 5.00% 4.00% 4.00%

(in M USD)

100.00 31.50 43.80 75.60 40.10 64.60 24.70 35.70 15.90 37.90 100.00 159.00 39.10 53.40 327.10 220.00 113.20 146.80 401.90 88.90 28.70 3.80 9.10

Redemption Bullet 8 quarterly payments 8 quarterly payments Bullet 9 quarterly payments Bullet 3 quarterly payments 9 quarterly payments 12 quarterly payments 96 monthly payments 4 semiannual payments 14 quarterly payments 17 quarterly payments 17 quarterly payments 6 semiannual payments 16 quarterly payments 6 semiannual payments 6 semiannual payments 96 monthly payments 16 quarterly payments 40 quarterly payments 199 monthly payments 80 quarterly payments

FIXED INCOME INSTRUMENTS Data CORPORATE BONDS USD Security 63 42 52 25 53 27 32 54 55 29 24 56 57 58 30 34 35 37 59 65 60 33 44 39 26 31 40 28

TGN 2012 Banco Hipotecario 2016 Multicanal 2016 Transener 2016 Tarjeta Naranja 2017 Banco Macro 2017 IRSA 2017 Raghsa 2017 Alto Palermo 2017 TGS 2017 Petrobras Argentina 2017 Alto Paraná 2017 H. Piedra del Aguila 2017 Inv. Eléctrica Bs. As. 2017 Edenor 2017 Arcor 2017 Capex 2018 Banco Galicia 2018 Mastellone 2018 Banco de Galicia 2019 Autopistas del Sol 2020 IRSA 2020 Aeropuertos 2000 2020 PanAmerican 2021 Transener 2021 Edenor 2022 YPF 2028 Banco Macro 2036

Source: Thomson Reuters Eikon

Maturity 31-Dec-12 27-Apr-16 20-Jul-16 15-Dec-16 28-Jan-17 1-Feb-17 2-Feb-17 16-Feb-17 11-May-17 14-May-17 15-May-17 9-Jun-17 11-Jul-17 26-Sep-17 9-Oct-17 9-Nov-17 10-Mar-18 4-May-18 31-Dec-18 1-Jan-19 1-Jun-20 20-Jul-20 1-Dec-20 7-May-21 15-Aug-21 25-Oct-22 2-Nov-28 18-Dec-36

Next Coupon 0-Jan-00 0-Jan-00 20-Jun-16 15-Jun-16 28-Jul-16 1-Aug-16 2-Aug-16 16-Aug-16 11-May-16 14-May-16 15-May-16 9-Jun-16 11-Jul-16 26-Jun-16 9-Oct-16 9-May-16 10-Sep-16 4-May-16 30-Jun-16 1-Jul-16 1-Jun-16 20-Jul-16 1-Jun-16 7-May-16 15-Aug-16 25-Apr-16 2-May-16 18-Jun-16

Coupon (%) 7.500% 9.750% 2.500% 8.875% 9.000% 8.500% 8.500% 8.500% 7.875% 7.875% 5.875% 6.375% 9.000% 6.500% 10.500% 7.250% 10.000% 8.750% 9.000% 16.000% 8.250% 11.500% 10.750% 7.875% 9.750% 9.750% 10.000% 9.750%

Residual Value 60.8% 35.4% 100.0% 24.1% 33.3% 70.8% 49.7% 100.0% 50.4% 12.3% 100.0% 100.0% 75.0% 100.0% 11.6% 100.0% 100.0% 100.0% 80.0% 73.7% 33.3% 47.6% 66.7% 100.0% 100.0% 58.8% 100.0% 100.0%

Price

YTM

YTW

Duration

42.88 99.85 97.75 98.75 102.37 101.50 100.00 98.55 98.61 99.28 98.24 104.36 100.00 59.00 58.00 101.42 99.13 103.25 90.00 102.88 92.75 109.00 106.13 97.00 96.50 102.38 106.50 100.13

0.0% 18.7% 12.0% 10.9% 5.8% 6.5% 8.5% 10.4% 0.0% 9.2% 7.6% 2.4% 9.0% 47.6% 56.2% 4.6% 10.5% 7.0% 13.5% 32.3% 10.5% 8.9% 7.7% 8.8% 10.6% 9.2% 9.1% 9.5%

n.d. 22.97 25.09 n.d. 12.21 n.d. n.d. 8.65 n.d. n.d. n.d. 5.25 19.40 n.d. n.d. n.d. n.d. n.d. n.d. 17.26 n.d. n.d. 10.76 151.37 n.d. n.d. n.d. n.d.

0.00 0.00 0.00 0.60 0.08 0.73 0.00 0.76 0.00 0.51 1.00 1.08 0.00 1.21 1.10 0.52 0.82 0.00 2.22 1.82 3.28 3.29 1.70 3.25 3.98 4.04 6.95 0.61

DV01 (1MM) 0 2 23 61 74 76 71 73 2 50 96 114 68 51 62 143 158 184 193 170 302 352 209 314 390 467 772 61

Spread o/Treasuries 0.00 0.00 0.00 10.46 5.25 5.91 0.00 9.78 0.00 8.07 7.10 1.93 0.00 49.78 55.39 4.23 9.79 0.00 12.67 31.41 9.23 7.66 6.51 7.56 9.41 8.00 7.37 9.11

Spread o/Swap 0.00 0.00 0.00 10.13 5.04 5.72 0.00 9.62 0.00 8.47 6.86 1.68 0.00 46.84 55.36 3.84 9.68 0.00 12.64 31.39 9.38 7.78 6.63 7.60 9.43 7.99 7.37 8.76

Fixed Income Argentina Bonds th

April, 18 2016

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