Abstract

MACHAIN MENCHON, Luciano  and  PARENTI, José Luis. Coupons tied to the gross domestic product: the case of Argentina. Cuad. Adm. [online]. 2008, vol.21, n.36, pp.67-86. ISSN 0120-3592.

In addition to each bond unit received during the Argentinean offer for restructuring the debt regarding suspension of payments, each holder received a coupon the payment of which was subject to the behavior of the economy ofArgentina measured by its Gross Domestic Product (GDP). The purpose of this article is to provide a means of understanding the characteristics inherent in such coupons and their macroeconomic implications. It suggests an assessment model using Monte Carlo simulation. Using said methodology, valuation and interpretation are simple and intuitive, making this type of instrument easily understandable for the financial community, especially small and medium-sized investors. Nonetheless, the objective here is not the valuation of the coupon per se but the mid-term cost generated in function of the stimulus to adhere offered by theArgentinean government. The article draws the conclusion that the alleged conclusive reduction in capital so disseminated by the Argentinean government is quite close to the estimated value of the additional coupon.

Keywords : debt restructuring; default; exotic derivatives; simulation.

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