EPSTEIN
page 7 / 3897 . OCR, unverified
Debt Research
Michael Spencer
Head of APAC Research
Global Head of Economics
Paul Reynolds
Head of EMEA
Equity Research
Andreas Neubauer
Head of Research - Germany
International Production Locations
Deutsche Bank AG
Deutsche Bank Place
Level 16
Corner of Hunter & Phillip Streets
Sydney, NSW 2000
Australia
Tel: (61) 2 8258 1234
Deutsche Bank AG London
Great Winchester Street
London EC2N 2EQ
United Kingdom
Tel: (44) 20 7545 8000
Deutsche Bank AG
Mainzer Landstrasse 11-17
60329 Frankfurt am Main
Germany
Tel: (49) 69 910 00
Deutsche Bank Securities Inc.
Wall Street
New York, NY 10005
United States of America
Tel: (1) 212 250 2500
Deutsche Bank AG
Filiale Hongkong
International Commerce Centre,
Austin Road West,Kowloon,
Hong Kong
Tel: (852) 2203 8888
Deutsche Securities Inc.
2-11-1 Nagatacho
Sanno Park Tower
Chiyoda-ku, Tokyo 100-6171
Japan
Tel: (81) 3 5156 6770
EFTA01435592
--- PAGE 18 ---
Dave Clark
Head of APAC
Equity Research
Spyros Mesomeris
Global Head of Quantitative
and QIS Research
Steve Pollard
Head of Americas Research
Global Head of Equity Research
Pam Finelli
Global Head of
Equity Derivatives Research
EFTA01435593
--- SOURCE: IMAGES__0071__EFTA01435594.txt ---
METADATA_SOURCE: IMAGES0071
METADATA_FILENAME: EFTA01435594.pdf
----------------------------------------
Subject: Argentina Long Dated Bonds EUR XCCY
From: Xavier Avila <xavier.avila@db.com>
Date: Tue, 10 Apr 2018 12:42:26 -0400
To: Paul Barrett <~~~>
Cc: Martin Zeman
Davide-A Sferrazza
Stewart Oldfield
Paul, we have done some more homework with research and trading, let's
discuss the below. Thanks
Bond ISIN CCY Size(bio) Maturity Type Clean Price Bond Coupon Basis Last
Coupon Next Coupon
Fixed (Semi,30/360) Floating (Q, Act/360)
ARGENT 5
01/11/28 Corp US040114HQ69 USD 4.20 11-Jan-28 Bullet 95.62% 5.87%
Semi, 30/360 11-Jan-18 11-Jul-18
6.48% 3.68%
ARGENT 5 1/4 01/15/28 Corp XS1715303779 EUR 1.00 15-Jan-28 Bullet 100.45%
5.25% Ann, Act/Act 15-Jan-18 15-Jan-19
7.90% 5.00%
ARGENT 7.82 12/31/33 Corp XS0205545840 EUR 2.20 31-Dec-33 Amortizing 114.25%
7.82% Semi, 30/360 31-Dec-17 29-Jun-18
9.30% 6.30%
Cross Currency Prices
1) EUR ARGENT 2028
Notional Exchange
EUR Notional
USD Notional
Swap Start
Swap End
Client Pays
Initial and Final
[ ]mio
EUR Notional * 1.2340
T+2bd
Jan 2028
EUR Notional * 5.25%
(Ann, Act/Act)
Full Coupon 15 Jan 18 to 15 Jan 19
Client Recs Floating
USD Notional * [ 3m Libor + 5.00% ]
(Quarterly, Act/360)
First Short Coupon Swap Start to 15 Apr 18
Client Recs Fixed
USD Notional *
[ 7.90% ]
(Semi, 30/360)
First Short Coupon Swap Start to 15 Jul 18
2) EUR ARGENT 2033
Notional Exchange
EUR Notional
USD Notional
Swap Start
Swap End
Client Pays
7.82%
First
Intermediate and Final
[ ] mio, subject to the amortization
EUR Notional * 1.2340
T+2bd
Dec 2033
EUR Notional *
(Semi, 30/360)
First Full
EFTA01435594
--- PAGE 2 ---
Coupon 31 Dec 17 to 29 Jun 18
Client Receives
Dirty Price and Par)
EUR Notional * 14.50% Upfront
(Difference between
Client Recs Floating
USD Notional * [ 3m Libor + 6.30% ]
(Quarterly, Act/360)
First Short Coupon Swap Start to 29 Jun 18
Client Recs Fixed
USD Notional * [ 9.30% ]
(Semi,
30/360)
First Short Coupon Swap Start to 29 Jun 18
Set Date Pay Date EUR Notional % Factor % EUR Notional EUR Amortization
Coupon (Semi, 30/360) Coupon EUR
31-Dec-17 29-Jun-18 100.00% 137.61% 1,376,104 0 7.82% 53,806
29-Jun-18 31-Dec-18 100.00% 137.61% 1,376,104 0 7.82% 53,806
31-Dec-18 28-Jun-19 100.00% 137.61% 1,376,104 0 7.82% 53,806
28-Jun-19 31-Dec-19 100.00% 137.61% 1,376,104 0 7.82% 53,806
31-Dec-19 30-Jun-20 100.00% 137.61% 1,376,104 0 7.82% 53,806
30-Jun-20 31-Dec-20 100.00% 137.61% 1,376,104 0 7.82% 53,806
31-Dec-20 30-Jun-21 100.00% 137.61% 1,376,104 0 7.82% 53,806
30-Jun-21 31-Dec-21 100.00% 137.61% 1,376,104 0 7.82% 53,806
31-Dec-21 30-Jun-22 100.00% 137.61% 1,376,104 0 7.82% 53,806
30-Jun-22 30-Dec-22 100.00% 137.61% 1,376,104 0 7.82% 53,806
30-Dec-22 30-Jun-23 100.00% 137.61% 1,376,104 0 7.82% 53,806
30-Jun-23 29-Dec-23 100.00% 137.61% 1,376,104 0 7.82% 53,806
29-Dec-23 28-Jun-24 100.00% 137.61% 1,376,104 -68,805 7.82% 53,806
28-Jun-24 31-Dec-24 95.00% 130.73% 1,307,299 -68,805 7.82% 51,115
31-Dec-24 30-Jun-25 90.00% 123.85% 1,238,493 -68,805 7.82% 48,425
30-Jun-25 31-Dec-25 85.00% 116.97% 1,169,688 -68,805 7.82% 45,735
31-Dec-25 30-Jun-26 80.00% 110.09% 1,100,883 -68,805 7.82% 43,045
30-Jun-26 31-Dec-26 75.00% 103.21% 1,032,078 -68,805 7.82% 40,354
31-Dec-26 30-Jun-27 70.00% 96.33% 963,273 -68,805 7.82% 37,664
30-Jun-27 31-Dec-27 65.00% 89.45% 894,467 -68,805 7.82% 34,974
31-Dec-27 30-Jun-28 60.00% 82.57% 825,662 -68,805 7.82% 32,283
30-Jun-28 29-Dec-28 55.00% 75.69% 756,857 -68,805 7.82% 29,593
29-Dec-28 29-Jun-29 50.00% 68.81% 688,052 -68,805 7.82% 26,903
29-Jun-29 31-Dec-29 45.00% 61.92% 619,247 -68,805 7.82% 24,213
31-Dec-29 28-Jun-30 40.00% 55.04% 550,441 -68,805 7.82% 21,522