Taller No. 2 Valoración de Activos

Fecha de Emisión 3/10/2011
Fecha de Vencimiento 3/10/2021
Tasa Facial Tasa Fija
Tasa de Re,erencia -E-UVR
ar)en de Valoración 0#0'.2
ULTIMO CUPON 3/10/2015 DIA CAUADO ANT! VALO"ACI#N 1$2 INT!"!! CAUADO 1%3& UV" 30/07/2015 222%'0
1% (Valoración )e in*+r,-en+o* )e ren+a .ia con in*,-o* )e aloración ! partir de la in,ormación ,ija 4e se presentan en el !nexo 1 *ota5 Utilice como ,echa de aloración 30/6lio/201$#
0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0
CECUVR
Dia* Venci-ien+o C!CUV" FLUO F!C4A
1 0#7'2% 0 ./30/201$
2 0#7'8% 1 3/10/201'
3 0#7''% 2 3/10/201.
8 0#7'7% 3 3/10/2017
$ 0#7'9% 8 3/10/2019
' 0#7.1% $ 3/10/2020
. 0#7.3% ' 3/10/2021
7 0#7.8%
9 0#7.'%
10 0#7.7%
11 0#7.9%
12 0#771%
13 0#773%
18 0#778%
1$ 0#77'%
1' 0#777%
1. 0#779%
17 0#791%
19 0#793%
20 0#79$%
21 0#79'%
22 0#797%
23 0#900%
28 0#901%
2$ 0#903%
2' 0#90$%
2. 0#90'%
27 0#907%
29 0#910%
30 0#911%
31 0#913%
32 0#91$%
33 0#91'%
38 0#917%
3$ 0#920%
3' 0#921%
3. 0#923%
37 0#92$%
39 0#92'%
80 0#927%
81 0#930%
82 0#931%
83 0#933%
88 0#93$%

3'$ 228 3#$0% 3#$0 0
3'$ $79 3#$0% 3#$0 0
3'$ 9$8 3#$0% 3#$0 0
3'$ 1319 3#$0% 3#$0 0
3'$ 1'78 3#$0% 3#$0 0
3'$ 2089 3#$0% 3#$0 100
sos de cada no de los ttlos de renta
DIA !NT"! FLUO
3#$0 1#.$% 7#$9% 3#1
3#$0 2#20% 9#0.% 2#7
3#$0 2#$9% 9#89% 2#$
3#$0 2#92% 9#78% 2#3
103#$0 3#20% 10#18% '0#2
P"!CIO UCIO 7$ VP 57'$3'$88 P"!CIO LIMPIO 73

Fecha de Emisión $/1'/2018
Fecha de Vencimiento $/1'/2030
&ase 3'$
oneda (ri)en -(<
Tasa de Re,erencia R!!!3
ar)en de Valoración 0#080'
ULTIMO CUPON 5/1&/2015 DIA CAUADO ANT! VALO"ACI#N 75 INT!"!! CAUADO 0%$$ IPC 30/07/205 $%$&9
P"!AD TOTAL '%'09
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79 '$$ 2#07% 2#07 0
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92 1$'9 2#1$% 2#1$ 0
92 1''1 2#1$% 2#1$ 0
79 1.$0 2#07% 2#07 0
92 1782 2#1$% 2#1$ 0
92 1938 2#1$% 2#1$ 0
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92 8032 2#1$% 2#1$ 0
92 8128 2#1$% 2#1$ 0
92 821' 2#1$% 2#1$ 0
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DIA !NT"! FLUO

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2#1$ '#00% 10#30% 2#1
2#1$ '#12% 10#83% 2#0
2#07 '#28% 10#$$% 1#9
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2#07 7#99% 13#81% 0#$

2#1$ 9#0.% 13#$0% 0#8
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2#07 9#27% 13#.2% 0#3
2#1$ 9#30% 13#.8% 0#3
102#1$ 9#32% 13#.'% 18#2

Fecha de Vencimiento 3/20/201.
Tasa Facial DTF *!/T!
&ase 3'0
oneda (ri)en -(<
Tasa de Re,erencia &!!!12
ar)en de Valoración 0#2211
ULTIMO CUPON 7/20/2015 DIA CAUADO ANT! VALO"ACI#N 10 INT!"!! CAUADO 0%02 P"!AD !A 2%$$9
DTF 20UL15 $%5$9
DTF 30UL15 $%5'9
0.0
0.0
0.0
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0.1
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$ 8#39% 8 11/20/201$
22 8#88%
23 8#88%
28 8#8$%
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27 8#8'%
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DIA !NT"! FLUO
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0#$. $#88% 27#.$% 0#8
0#$. $#8.% 27#.9% 0#8
100#$. $#$0% 27#73% ''#3

Fecha de Vencimiento 10/9/2020
Tasa Facial ;&R *!/V
&ase 3'$
oneda (ri)en -(<
ar)en de Valoración ?0#01$1
ULTIMO CUPON 7/8/2015 DIA CAUADO ANT! VALO"ACI#N 21 INT!"!! CAUADO 0%12 P"!AD !A 3%8'9
DTF 20UL15 $%5$9
DTF 30UL15 $%5'9
0.0
0.0
0.0
0.0
0.0
0.1
0.1
0.1
BAAA12
6.30%
6.40%

$ 8#39% 8 ./9/201'
39 8#89%
80 8#$0%
81 8#$0%
82 8#$0%
83 8#$1%
88 8#$1%
8$ 8#$1%
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DIA !NT"! FLUO
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Fecha de Emisión 2/1./201$
Fecha de Vencimiento 2/1./201.
Tasa Facial Tasa Fija
Valor *ominal en oneda de (ri)en 2+$00+000+000
ar)en de Valoración 0#2329
ULTIMO CUPON 5/17/2015 DIA CAUADO ANT! VALO"ACI#N 7$ INT!"!! CAUADO 0%2'
0.0
0.0
0.0
0.1
0.1
0.1
BAAA2
Dia* Venci-ien+o AAA2
$ 8#2'% 8 $/1./201'
92 $'. 1#80% 1#80 100
DIA !NT"! FLUO
1#3$ $#08% 29#$1% 1#1
1#80 $#28% 29#.$% 1#1
1#80 $#82% 29#9.% 1#0
101#80 $#$7% 30#1.% '.#3

Bono Cu!n
0.0868 - 0.0151 - 0.1274 1.0135
TE) 3
2- "./#odos Econom/#ricos ara es#imar la curva cero cu E #asa ,a ! psos co! s*s prcios o/sr'ados d" rcado.
*ec+a de vencimien#o
Precio observado
TE)
TE) 5
TE) 4
TE)
as al vencimien#o
TE) 6
TE) 7
TE) 10
9$18$2018 7.75 1205 3.30
9$18$2019 7.75 1570 4.30
9$18$2020 7.75 1936 5.30
9$18$2021 7.75 2301 6.30
9$18$2022 7.75 2666 7.30
9$18$2023 7.75 3031 8.30
9$18$2024 7.75 3397 9.31
9$18$2025 7.75 3762 10.31
9$18$2026 7.75 4127 11.31
9$18$2027 7.75 4492 12.31
9$18$2028 7.75 4858 13.31
9$18$2029 7.75 5223 14.31
9$18$2030 107.75 5588 15.31
TE) 1 TE) 2 TE) 3 rcio /sr'ado 106.048 109.484 101.780
rcio Es#iado 105.614 109.741 102.062
Error 2 0.189 0.066 0.080
b$
E)T8.AC89: E ;A CURVA )"#$% E&P"s"#$$'1
as as Anualiados s"#$ s"#$ EA 1 0.002739726 0.0716 7.43%
2 0.0054794521 0.0715 7.41%
3 0.0082191781 0.0713 7.39%
4 0.0109589041 0.0712 7.38%
5 0.0136986301 0.0710 7.36%
6 0.0164383562 0.0709 7.34%
7 0.0191780822 0.0707 7.33%
8 0.0219178082 0.0706 7.31%
9 0.0246575342 0.0704 7.30%
10 0.0273972603 0.0703 7.28%
11 0.0301369863 0.0701 7.27%
12 0.0328767123 0.0700 7.25%
13 0.0356164384 0.0699 7.23%
14 0.0383561644 0.0697 7.22%
15 0.0410958904 0.0696 7.20%
16 0.0438356164 0.0694 7.19%
17 0.0465753425 0.0693 7.17%
18 0.0493150685 0.0691 7.16%
3.00
4.00
5.00
6.00
7.00
8.00
PREC8O) E)T8.AO)
Bono Cu!n
1 10$28$2015 8.00 106.0482 105-41 2 6$15$2016 7.25 109.4839 107-1 3 11$21$2018 5.00 101.7801 102-042 4 9$11$2019 7.00 110.2048 110-17 5 7$24$2020 11.00 131.5007 131-170 6 5$4$2022 7.00 102.991 102-45 7 7$24$2024 10.00 128.9439 126-64 8 8$26$2026 7.50 107.7909 10-222 9 4$28$2028 6.00 88.5079 66-62
10 9$18$2030 7.75 106.2406 104-756
Precio observado
4.568%
4.708%
5.263%
5.600%
5.888%
6.545%
6.911%
7.220%
7.486%
7.652%
0.04 0.9558080722 102.51041574 107-1054
n$- a fc&a d 'a"oraci! s *!io 1 d 2015 s #i! " sig*i!# co
d"#$ *unci!n descuen#o
)"#$ )o# Precio
)"#$ )o# Precio
)"#$ )o# Precio
)"#$ )o# Precio
)"#$ )o# Precio
0.08 0.3057452419 32.9440498 104-756225
TE) TE) 5 TE) 4 TE) TE) 6 TE) 7 110.205 131.501 102.991 128.944 107.791 88.508
110.179 131.190 102.657 128.486 107.222 88.482
0.001 0.096 0.111 0.210 0.324 0.001
Curva cero cu!n
Tabla 1 8n=ormaci!n emisiones vi<en#es
Bono Tasa *acial Precio
1 1$30$2016 12.0% 109.04
2 1$30$2017 5.0% 101.6
3 1$30$2019 10.0% 117.42
4 1$30$2020 7.0% 106.04
5 1$30$2022 7.0% 103.99
6 1$30$2028 5.0% 84.71
B1
a"or o/sr'ado
ifr!cia
as al vencimien#o
a"or o/sr'ado
ifr!cia
a"or o/sr'ado
ifr!cia
a"or o/sr'ado
ifr!cia
4.500%
5.000%
5.500%
6.000%
6.500%
7.000%
7.500%

4.87 5.503%
96.73 5.620%
9.74 5.503%
9.21 5.620%
89.79 5.973%
Base escuen#o
6.82 5.503%
6.45 5.620%
6.08 5.796%
5.71 5.973%
5.30 6.387%
68.74 7.045%
4.87 5.503%
4.61 5.620%
4.34 5.796%
4.08 5.973%
3.78 6.387%
3.50 6.716%
3.21 7.045%
2.99 7.094%
2.78 7.142%
2.59 7.191%
2.40 7.240%
2.23 7.288%
43.33 7.337% 0.00049 s *#i"i;a *!a f*!cio! "i!a" co!
84.71
(0.00)

<o!#o prs#ao 100
a"or #asa para 30 ,*"io 2018 5.885%
<o!#o a pagar a" !a" d" co!#ra#o 118.71
as Anualiados
Tasa so#
114.4905

- "Alicaciones de la Curva de Rendimien#os ' e Ra#e
Bono Cu!n
07150616 6$15$2016 7.25
06110919 9$11$2019 7.00
10040522 5$4$2022 7.00
15260826 8$26$2026 7.50
*ec+a Valoraci!n 7$30$2015
6$15$2016 107.25 321 0.88
TE) 2 *ec+a *lu,o as al vencimien#oas Anualiados
9$11$2015 7.00 43 0.12
9$11$2016 7.00 409 1.12
9$11$2017 7.00 774 2.12
9$11$2018 7.00 1139 3.12
9$11$2019 107.00 1504 4.12
TE) 3 *ec+a *lu,o as al vencimien#oas Anualiados
5$4$2016 7.00 279 0.76
5$4$2017 7.00 644 1.76
5$4$2018 7.00 1008 2.76
5$4$2019 7.00 1373 3.76
5$4$2020 7.00 1739 4.76
5$4$2021 7.00 2104 5.76
5$4$2022 107.00 2468 6.76
TE) *ec+a *lu,o as al vencimien#oas Anualiados
as al vencimien#o
E)T8.AC89: E ;A CURVA )"#$% E&P"d"#$$'1
as as Anualiados s"#$ EA 1 0.002739726 4.15%
2 0.0054794521 4.15%
3 0.0082191781 4.15%
4 0.0109589041 4.16%
5 0.0136986301 4.16%
6 0.0164383562 4.16%
7 0.0191780822 4.16%
8 0.0219178082 4.16%
9 0.0246575342 4.16%
10 0.0273972603 4.16%
11 0.0301369863 4.17%
12 0.0328767123 4.17%
13 0.0356164384 4.17%
5848 16.0219178082 8.95% 9.25
5849 16.0246575342 8.95% 8.00
5850 16.0273972603 8.95% 11.00
5851 16.0301369863 8.95% 10.00
5852 16.0328767123 8.95% 7.50
5857 16.0465753425 8.95%
5858 16.0493150685 8.95%
5859 16.0520547945 8.95%
5860 16.0547945205 8.95%
5861 16.0575342466 8.95%
5871 16.0849315068 8.96% (77.432)
5872 16.0876712329 8.96% (77.459)
5873 16.0904109589 8.96% (77.485)
5874 16.0931506849 8.96% (77.512)
5877 16.101369863 8.96%
5878 16.104109589 8.96%
5881 16.1123287671 8.96%
5882 16.1150684932 8.96%
5883 16.1178082192 8.96%
5884 16.1205479452 8.96%
5885 16.1232876712 8.96%
5886 16.1260273973 8.96%
5887 16.1287671233 8.96%
5888 16.1315068493 8.96%
5889 16.1342465753 8.96%
5890 16.1369863014 8.97%
5891 16.1397260274 8.97%
5892 16.1424657534 8.97%
5893 16.1452054795 8.97%
5894 16.1479452055 8.97%
5895 16.1506849315 8.97%
5896 16.1534246575 8.97%
5897 16.1561643836 8.97%
5898 16.1589041096 8.97%
5899 16.1616438356 8.97%
5900 16.1643835616 8.97%
5901 16.1671232877 8.97%
5902 16.1698630137 8.97%
5903 16.1726027397 8.97%
5904 16.1753424658 8.97%
5905 16.1780821918 8.97%
5906 16.1808219178 8.97%
)"#$ )o# VP escuen#o Precio
4.58% 103.11 103-11
4.69% 6.65
5.14% 6.29
5.56% 5.91
4.98% 6.42
5.41% 6.05
5.81% 5.66
6.18% 5.26
6.53% 4.86

8.42% 37.34 10-02
4 .eses 1 ao 5 aos riodo 1 (#1) 0.0027397 0.5013699 3.0000000
riodo 2 (#2) 1.0000000 2.0000000 7.0000000
riodo 3 (#3) 0.5013699 1.0000000 5.0000000
riodo 1 (s1) 0.0415140 0.0439710 0.0550810
riodo 2 (s2) 0.0463450 0.0508660 0.0692250
riodo 3 (s3) 0.0439710 0.0463450 0.0626610
1 0.0049275 0.0047610 0.0037900
/1 0.0415005 0.0415840 0.0437110
2 0.0047610 0.0045210 0.0032820
/2 0.0415840 0.0418240 0.0462510
4 .eses 1 ao 5 aos 4.15% 4.15% 4.15%
4.15% 4.15% 4.15%
4.15% 4.15% 4.15%
4.16% 4.16% 4.16%
4.16% 4.16% 4.16%
4.16% 4.16% 4.16%
4.16% 4.16% 4.16%
4.16% 4.16% 4.16%
4.16% 4.16% 4.16%
4.16% 4.16% 4.16%
4.16% 4.17% 4.17%
4.17% 4.17% 4.17%
4.17% 4.17% 4.17%

"41$ "41$ "41$ "41$
>RE*D >RE*D
4 .E)E)
)"#$ )o# unci!n desc P escuen# Precio )"#$ )o# 4.58% 0.96054595 103.0185532 103-016553146 4.58%
)"#$ )o# unci!n desc P escuen# Precio )"#$ )o# 4.21% 0.99505478 6.965383463 4.21%
5.56% 0.84079641 5.885574872 5.56%
5.95% 0.782695223 83.74838887 74-57732005 5.95%
)"#$ )o# unci!n desc P escuen# Precio )"#$ )o# 4.52% 0.966022758 6.762159308 4.52%
4.98% 0.915836459 6.410855213 4.98%
5.41% 0.861213174 6.028492217 5.41%
5.81% 0.803694176 5.625859232 5.81%
6.18% 0.744867831 5.214074814 6.18%
6.53% 0.686389185 4.804724292 6.53%
)"#$ )o# unci!n desc P escuen# Precio )"#$ )o#

10 aos 7.0000000

1 AFO 5 AFO)
unci!n desc P escuen# Precio )"#$ )o# unci!n desc P escuen# 0.96054595 103.0185532 103-016553 4.58% 0.960539248 103.0178343
unci!n desc P escuen# Precio )"#$ )o# unci!n desc P escuen# 0.995053843 6.965376898 4.21% 0.995053843 6.965376898
0.84079641 5.885574872 5.55% 0.840878074 5.886146517
0.782695223 83.74838887 74-577304 5.93% 0.783124681 83.79434088
unci!n desc P escuen# Precio )"#$ )o# unci!n desc P escuen# 0.966022758 6.762159308 4.52% 0.966014798 6.762103586
0.915882064 6.411174445 4.98% 0.915836459 6.410855213
0.861213174 6.028492217 5.41% 0.861213174 6.028492217
0.803694176 5.625859232 5.80% 0.804082359 5.628576513
0.744867831 5.214074814 6.18% 0.745062994 5.215440955
0.686389185 4.804724292 6.52% 0.686833629 4.807835401
0.629318048 67.33703112 102-163515 6.84% 0.629527801 67.35947473

0.332396972 35.73267447 107-7715 8.42% 0.332396972 35.73267447
6
10 AFO)
Precio )"#$ )o# unci!n desc P escuen# Precio 103-0163 4.58% 0.960539248 103.0178343 103-0163
Precio )"#$ )o# unci!n desc P escuen# Precio 4.21% 0.995053843 6.965376898
5.56% 0.84079641 5.885574872
Precio )"#$ )o# unci!n desc P escuen# Precio 4.52% 0.966014798 6.762103586
4.98% 0.915836459 6.410855213
5.41% 0.861213174 6.028492217
5.81% 0.803694176 5.625859232
6.18% 0.744867831 5.214074814
6.53% 0.686389185 4.804724292
Precio )"#$ )o# unci!n desc P escuen# Precio

R= 2.16% *!#B -/o!ds 10 ar
Rm 6.28%
e EEUU real 6.80%
e colombia 9.64%
E 14.03%
#or i!s*ra!c /#a dsapa"a!cado

.OE;O E HORO: Tasa de crecimien#o 3.20% *!#B Drcii!#o sprado
ividendo Iuar#el 422.00 f*!#B r*po s*ra #ocF i!for
valor de accion G 15587.07

#io! ! psos
3-200
0.200% 12205.351
0.700% 12663.166
1.200% 13156.664
1.700% 13690.187
2.200% 14268.808
2.700% 14898.5
3.200% 15586.334
3.700% 16340.755
3.300% 15731.594
4.700% 18092.176
5.200% 19116.648
5.700% 20264.106
6.200% 21558.11
5000
10000
15000
20000
25000
30000
35000
Do"*! D
5000
10000
15000
20000
25000

a#e Oen ?i<+ ;oM Close Volume 8$3$2015 2104.49 2112.66 2052.09 2102.44 3825980900
7$1$2015 2067 2132.82 2044.02 2103.84 3709178600
6$1$2015 2108.64 2129.87 2056.32 2063.11 3513296300
5$1$2015 2087.38 2134.72 2067.93 2107.39 3298780000
4$1$2015 2067.63 2125.92 2048.38 2085.51 3521458000
3$2$2015 2105.23 2117.52 2039.69 2067.89 3638745400
2$2$2015 1996.67 2119.59 1980.9 2104.5 3806470500
1$2$2015 2058.9 2072.36 1988.12 1994.99 4091934500
12$1$2014 2065.78 2093.55 1972.56 2058.9 3788631300
11$3$2014 2018.21 2075.76 2001.01 2067.56 3479201500
10$1$2014 1971.44 2018.19 1820.66 2018.05 4260310800
9$2$2014 2004.07 2019.26 1964.04 1972.29 3364623800
8$1$2014 1929.8 2005.04 1904.78 2003.37 2875718500
7$1$2014 1962.29 1991.39 1930.67 1930.67 3214440400
6$2$2014 1923.87 1968.17 1915.98 1960.23 3158130000
5$1$2014 1884.39 1924.03 1859.79 1923.57 3185100900
4$1$2014 1873.96 1897.28 1814.36 1883.95 3589287600
3$3$2014 1857.68 1883.97 1834.44 1872.34 3579015700
2$3$2014 1782.68 1867.92 1737.92 1859.45 3875949400
1$2$2014 1845.86 1850.84 1770.45 1782.59 3806266600
12$2$2013 1806.55 1849.44 1767.99 1848.36 3203412300
11$1$2013 1758.7 1813.55 1746.2 1805.81 3261324500
10$1$2013 1682.41 1703.44 1646.47 1703.2 3513823300
9$3$2013 1635.95 1729.86 1633.41 1681.55 3474152000
8$1$2013 1689.42 1709.67 1627.47 1632.97 3069868600
7$1$2013 1609.78 1698.78 1604.57 1685.73 3270645900
6$3$2013 1631.71 1654.19 1560.33 1606.28 3996199000
5$1$2013 1597.55 1687.18 1581.28 1630.74 3661220400
4$1$2013 1569.18 1597.57 1536.03 1597.57 3674685000
3$1$2013 1514.68 1570.28 1501.48 1569.19 3591577500
2$1$2013 1498.11 1530.94 1485.01 1514.68 3851884200
1$2$2013 1426.19 1509.94 1426.19 1498.11 3802304200
12$3$2012 1416.34 1448 1398.11 1426.19 3479625500
11$1$2012 1412.2 1434.27 1343.35 1416.18 3593110000
10$1$2012 1440.9 1470.96 1403.28 1412.16 3587115700
9$4$2012 1406.54 1474.51 1396.56 1440.67 3857553100
8$1$2012 1379.32 1426.68 1354.65 1406.58 3183567800
7$2$2012 1362.33 1391.74 1325.41 1379.32 3663113300
6$1$2012 1309.87 1363.46 1266.74 1362.16 4103472300
5$1$2012 1397.86 1415.32 1291.98 1310.33 4158095900
4$2$2012 1408.47 1422.38 1357.38 1397.91 3916786000
3$1$2012 1365.9 1419.15 1340.03 1408.47 3980752200
2$1$2012 1312.45 1378.04 1312.45 1365.68 4143404000
1$3$2012 1258.86 1333.47 1258.86 1312.41 4190155500

Taller No. 2 Valoración de Activos

Documents

Transcript of Taller No. 2 Valoración de Activos