http://www.bulltick.com/uploadfiles/upl ... 7,2011.pdf
ARGENTINA ARGENTINA-- --Histogram Of Modeled USD Warrant Price
(Y Y-Axis, Number Of Observations). Source: Bulltick
In terms of the USD warrants, our target price (USD $18) has once again been reached. Our inhouse
randomization model continues to show that the current market price is very close to fair value
under the current set of fundamentals. As we have argued in prior research pieces, the 2011 USD payment
will come somewhere around USD $4.4, and the 2012 December payment will probably come at around
USD $5.9, if 2011 growth stands at 7% year-over-year, if the government discloses a 14.7% year-overyear
increase in the deflator, and if the FX rate to calculate the payment stands at about USDARS $4.31
(as per the prospectus, “the excess GDP will be converted to the relevant payment using the average free
markets exchange rate of pesos to the applicable payment currency during the 15 calendar days preceding
December 15 of the relevant reference year”). In any case, clearly
we now think (for the first time in
years) that additional upside in the warrants is limited. We do not recommend investors sell
these instruments at this time, because there is little else to buy, yet there is no reason to
accumulate further at current levels.