Programa de Especialización en Gestión de Tesore

Tesorería Estratégica:
TAF - EXAMEN FINAL

INTEGRANTES:

Castro Casani, Anthony Said

Chacón Dávila, Zoraida Iris
Loayza Grández, Marleny
Velasquez Ventura, Sonia Pilar
Wyngart Campos, Joaquin Fernando

PROFESOR:
Arana Barbier, Pablo
estión de Tesorería III

a:
L
 1. La empresa Alicor pemitió bonos por un total de US$ 300’000,000.00, en 10,000 documentos
de valor nominal de US$ 30,000.00 cada uno. El horizonte de tiempo de la colocación son 15
años. El sistema de emisión fue mediante una subasta de tasa, la cual inició en 10% TNA, con
pagos trimestrales de cupones correspondientes a intereses. La empresa esperaba que la tasa se
redujera hasta 6% TNA, pero sorprendentemente la subasta logró reducirla hasta 5% TNA. Esta
diferencia, sin duda, representa un gran beneficio para la compañía. Luego de transcurridos 3
años, el mercado considera que los bonos corporativos con 12 años de vida útil restante
deberían rendir 7%. ¿Cuál es la diferencia entre el valor de mercado de la deuda de Alicorp
(valor presente total de la deuda restante) con el cronograma de pagos de 6% que esperaba y el
de 5% que realmente se dio? (12puntos).
TOTAL BONOS $300,000,000.00
DOCUMENTOS 10,000

TNA 10.00%
TNT 2.50%
CUPON $7,500,000.00

TIEMPO COLOCACIÓN RESTANTE 12 AÑOS

PERIODO 0 1 2
FLUJO DE CAJA PRINCIPAL
FLUJO DE CAJA INTERESES (CUPONES) $7,500,000.00 $7,500,000.00
FLUJO DE CAJA TOTAL $7,500,000.00 $7,500,000.00
VA 7,317,073.17 7,138,607.97
VA TOTAL 300,000,000.00

TOTAL BONOS $300,000,000.00

DOCUMENTOS 10,000

TNA 6.00%
TNT 1.50%
CUPON $4,500,000.00

PERIODO 0 1 2
FLUJO DE CAJA PRINCIPAL
FLUJO DE CAJA INTERESES(CUPONES) $4,500,000.00 $4,500,000.00
FLUJO DE CAJA TOTAL $4,500,000.00 $4,500,000.00
VA $4,433,497.54 $4,367,977.87
VA TOTAL $300,000,000.00

TOTAL BONOS $300,000,000.00

DOCUMENTOS 10,000

TNA 5.00%
TNT 1.25%
CUPON $3,750,000.00

PERIODO 0 1 2
FLUJO DE CAJA PRINCIPAL
FLUJO DE CAJA INTERESES(CUPONES) $3,750,000.00 $3,750,000.00
FLUJO DE CAJA TOTAL $3,750,000.00 $3,750,000.00
VA $3,703,703.70 $3,657,978.97
VA TOTAL $300,000,000.00

TNA 7.00%
TNT 1.75%

PERIODO 0 1 2
FLUJO DE CAJA PRINCIPAL
FLUJO DE CAJA INTERESES (CUPONES) $3,750,000.00 $3,750,000.00
FLUJO DE CAJA TOTAL $3,750,000.00 $3,750,000.00
VA $3,685,503.69 $3,622,116.64

VA TOTAL $251,559,298.07

DIFERENCIA VALOR DE MERCADO VS TASA DEL 5% (*) $48,440,701.93

(*) Se considera para los primeros 3 años una tasa de 5% y para los 12 años restantes una tasa de 7%.

TNA 7.00%
TNT 1.75%

PERIODO 0 1 2
FLUJO DE CAJA PRINCIPAL
FLUJO DE CAJA INTERESES (CUPONES) $4,500,000.00 $4,500,000.00
FLUJO DE CAJA TOTAL $4,500,000.00 $4,500,000.00
VA $4,422,604.42 $4,346,539.97
VA TOTAL $275,779,649.03

DIFERENCIA VALOR DE MERCADO VS TASA DEL 6% (**) $24,220,350.97

(**) Se considera para los primeros 3 años una tasa de 6% y para los 12 años restantes una tasa de 7%.
 3 4 5 6 7 8

$7,500,000.00 $7,500,000.00 $7,500,000.00 $7,500,000.00 $7,500,000.00 $7,500,000.00

$7,500,000.00 $7,500,000.00 $7,500,000.00 $7,500,000.00 $7,500,000.00 $7,500,000.00
6,964,495.58 6,794,629.84 6,628,907.16 6,467,226.49 6,309,489.26 6,155,599.28

3 4 5 6 7 8

$4,500,000.00 $4,500,000.00 $4,500,000.00 $4,500,000.00 $4,500,000.00 $4,500,000.00

$4,500,000.00 $4,500,000.00 $4,500,000.00 $4,500,000.00 $4,500,000.00 $4,500,000.00
$4,303,426.47 $4,239,829.04 $4,177,171.46 $4,115,439.87 $4,054,620.56 $3,994,700.06
 3 4 5 6 7 8

$3,750,000.00 $3,750,000.00 $3,750,000.00 $3,750,000.00 $3,750,000.00 $3,750,000.00

$3,750,000.00 $3,750,000.00 $3,750,000.00 $3,750,000.00 $3,750,000.00 $3,750,000.00
$3,612,818.73 $3,568,216.03 $3,524,163.98 $3,480,655.78 $3,437,684.73 $3,395,244.17

3 4 5 6 7 8

$3,750,000.00 $3,750,000.00 $3,750,000.00 $3,750,000.00 $3,750,000.00 $3,750,000.00

$3,750,000.00 $3,750,000.00 $3,750,000.00 $3,750,000.00 $3,750,000.00 $3,750,000.00
$3,559,819.80 $3,498,594.40 $3,438,422.01 $3,379,284.53 $3,321,164.16 $3,264,043.40

3 4 5 6 7 8

$4,500,000.00 $4,500,000.00 $4,500,000.00 $4,500,000.00 $4,500,000.00 $4,500,000.00

$4,500,000.00 $4,500,000.00 $4,500,000.00 $4,500,000.00 $4,500,000.00 $4,500,000.00
$4,271,783.76 $4,198,313.28 $4,126,106.41 $4,055,141.44 $3,985,396.99 $3,916,852.08
 9 10 11 12 13 14

$7,500,000.00 $7,500,000.00 $7,500,000.00 $7,500,000.00 $7,500,000.00 $7,500,000.00

$7,500,000.00 $7,500,000.00 $7,500,000.00 $7,500,000.00 $7,500,000.00 $7,500,000.00
6,005,462.71 5,858,988.01 5,716,085.87 5,576,669.14 5,440,652.82 5,307,953.97

9 10 11 12 13 14

$4,500,000.00 $4,500,000.00 $4,500,000.00 $4,500,000.00 $4,500,000.00 $4,500,000.00

$4,500,000.00 $4,500,000.00 $4,500,000.00 $4,500,000.00 $4,500,000.00 $4,500,000.00
$3,935,665.08 $3,877,502.54 $3,820,199.55 $3,763,743.40 $3,708,121.57 $3,653,321.75
 9 10 11 12 13 14

$3,750,000.00 $3,750,000.00 $3,750,000.00 $3,750,000.00 $3,750,000.00 $3,750,000.00

$3,750,000.00 $3,750,000.00 $3,750,000.00 $3,750,000.00 $3,750,000.00 $3,750,000.00
$3,353,327.58 $3,311,928.47 $3,271,040.47 $3,230,657.25 $3,190,772.59 $3,151,380.34

9 10 11 12 13 14

$3,750,000.00 $3,750,000.00 $3,750,000.00 $3,750,000.00 $3,750,000.00 $3,750,000.00

$3,750,000.00 $3,750,000.00 $3,750,000.00 $3,750,000.00 $3,750,000.00 $3,750,000.00
$3,207,905.06 $3,152,732.25 $3,098,508.35 $3,045,217.05 $2,992,842.31 $2,941,368.36

9 10 11 12 13 14

$4,500,000.00 $4,500,000.00 $4,500,000.00 $4,500,000.00 $4,500,000.00 $4,500,000.00

$4,500,000.00 $4,500,000.00 $4,500,000.00 $4,500,000.00 $4,500,000.00 $4,500,000.00
$3,849,486.07 $3,783,278.70 $3,718,210.02 $3,654,260.46 $3,591,410.77 $3,529,642.04
 15 16 17 18 19 20

$7,500,000.00 $7,500,000.00 $7,500,000.00 $7,500,000.00 $7,500,000.00 $7,500,000.00

$7,500,000.00 $7,500,000.00 $7,500,000.00 $7,500,000.00 $7,500,000.00 $7,500,000.00
5,178,491.68 5,052,187.00 4,928,962.93 4,808,744.32 4,691,457.87 4,577,032.07

15 16 17 18 19 20

$4,500,000.00 $4,500,000.00 $4,500,000.00 $4,500,000.00 $4,500,000.00 $4,500,000.00

$4,500,000.00 $4,500,000.00 $4,500,000.00 $4,500,000.00 $4,500,000.00 $4,500,000.00
$3,599,331.77 $3,546,139.68 $3,493,733.67 $3,442,102.14 $3,391,233.64 $3,341,116.88
 15 16 17 18 19 20

$3,750,000.00 $3,750,000.00 $3,750,000.00 $3,750,000.00 $3,750,000.00 $3,750,000.00

$3,750,000.00 $3,750,000.00 $3,750,000.00 $3,750,000.00 $3,750,000.00 $3,750,000.00
$3,112,474.41 $3,074,048.80 $3,036,097.58 $2,998,614.89 $2,961,594.96 $2,925,032.06

15 16 17 18 19 20

$3,750,000.00 $3,750,000.00 $3,750,000.00 $3,750,000.00 $3,750,000.00 $3,750,000.00

$3,750,000.00 $3,750,000.00 $3,750,000.00 $3,750,000.00 $3,750,000.00 $3,750,000.00
$2,890,779.72 $2,841,061.15 $2,792,197.69 $2,744,174.63 $2,696,977.53 $2,650,592.16

15 16 17 18 19 20

$4,500,000.00 $4,500,000.00 $4,500,000.00 $4,500,000.00 $4,500,000.00 $4,500,000.00

$4,500,000.00 $4,500,000.00 $4,500,000.00 $4,500,000.00 $4,500,000.00 $4,500,000.00
$3,468,935.66 $3,409,273.38 $3,350,637.23 $3,293,009.56 $3,236,373.03 $3,180,710.60
 21 22 23 24 25 26

$7,500,000.00 $7,500,000.00 $7,500,000.00 $7,500,000.00 $7,500,000.00 $7,500,000.00

$7,500,000.00 $7,500,000.00 $7,500,000.00 $7,500,000.00 $7,500,000.00 $7,500,000.00
4,465,397.14 4,356,485.02 4,250,229.29 4,146,565.16 4,045,429.42 3,946,760.41

21 22 23 24 25 26

$4,500,000.00 $4,500,000.00 $4,500,000.00 $4,500,000.00 $4,500,000.00 $4,500,000.00

$4,500,000.00 $4,500,000.00 $4,500,000.00 $4,500,000.00 $4,500,000.00 $4,500,000.00
$3,291,740.77 $3,243,094.36 $3,195,166.85 $3,147,947.64 $3,101,426.24 $3,055,592.36
 21 22 23 24 25 26

$3,750,000.00 $3,750,000.00 $3,750,000.00 $3,750,000.00 $3,750,000.00 $3,750,000.00

$3,750,000.00 $3,750,000.00 $3,750,000.00 $3,750,000.00 $3,750,000.00 $3,750,000.00
$2,888,920.55 $2,853,254.86 $2,818,029.49 $2,783,239.01 $2,748,878.03 $2,714,941.27

21 22 23 24 25 26

$3,750,000.00 $3,750,000.00 $3,750,000.00 $3,750,000.00 $3,750,000.00 $3,750,000.00

$3,750,000.00 $3,750,000.00 $3,750,000.00 $3,750,000.00 $3,750,000.00 $3,750,000.00
$2,605,004.58 $2,560,201.07 $2,516,168.12 $2,472,892.50 $2,430,361.18 $2,388,561.36

21 22 23 24 25 26

$4,500,000.00 $4,500,000.00 $4,500,000.00 $4,500,000.00 $4,500,000.00 $4,500,000.00

$4,500,000.00 $4,500,000.00 $4,500,000.00 $4,500,000.00 $4,500,000.00 $4,500,000.00
$3,126,005.50 $3,072,241.28 $3,019,401.75 $2,967,471.01 $2,916,433.42 $2,866,273.63
 27 28 29 30 31 32

$7,500,000.00 $7,500,000.00 $7,500,000.00 $7,500,000.00 $7,500,000.00 $7,500,000.00

$7,500,000.00 $7,500,000.00 $7,500,000.00 $7,500,000.00 $7,500,000.00 $7,500,000.00
3,850,497.96 3,756,583.38 3,664,959.39 3,575,570.14 3,488,361.11 3,403,279.13

27 28 29 30 31 32

$4,500,000.00 $4,500,000.00 $4,500,000.00 $4,500,000.00 $4,500,000.00 $4,500,000.00

$4,500,000.00 $4,500,000.00 $4,500,000.00 $4,500,000.00 $4,500,000.00 $4,500,000.00
$3,010,435.82 $2,965,946.62 $2,922,114.90 $2,878,930.93 $2,836,385.16 $2,794,468.14
 27 28 29 30 31 32

$3,750,000.00 $3,750,000.00 $3,750,000.00 $3,750,000.00 $3,750,000.00 $3,750,000.00

$3,750,000.00 $3,750,000.00 $3,750,000.00 $3,750,000.00 $3,750,000.00 $3,750,000.00
$2,681,423.47 $2,648,319.48 $2,615,624.18 $2,583,332.52 $2,551,439.53 $2,519,940.27

27 28 29 30 31 32

$3,750,000.00 $3,750,000.00 $3,750,000.00 $3,750,000.00 $3,750,000.00 $3,750,000.00

$3,750,000.00 $3,750,000.00 $3,750,000.00 $3,750,000.00 $3,750,000.00 $3,750,000.00
$2,347,480.45 $2,307,106.10 $2,267,426.14 $2,228,428.64 $2,190,101.85 $2,152,434.25

27 28 29 30 31 32

$4,500,000.00 $4,500,000.00 $4,500,000.00 $4,500,000.00 $4,500,000.00 $4,500,000.00

$4,500,000.00 $4,500,000.00 $4,500,000.00 $4,500,000.00 $4,500,000.00 $4,500,000.00
$2,816,976.54 $2,768,527.31 $2,720,911.37 $2,674,114.36 $2,628,122.23 $2,582,921.11
 33 34 35 36 37 38

$7,500,000.00 $7,500,000.00 $7,500,000.00 $7,500,000.00 $7,500,000.00 $7,500,000.00

$7,500,000.00 $7,500,000.00 $7,500,000.00 $7,500,000.00 $7,500,000.00 $7,500,000.00
3,320,272.32 3,239,290.07 3,160,283.00 3,083,202.92 3,008,002.85 2,934,636.93

33 34 35 36 37 38

$4,500,000.00 $4,500,000.00 $4,500,000.00 $4,500,000.00 $4,500,000.00 $4,500,000.00

$4,500,000.00 $4,500,000.00 $4,500,000.00 $4,500,000.00 $4,500,000.00 $4,500,000.00
$2,753,170.58 $2,712,483.33 $2,672,397.37 $2,632,903.81 $2,593,993.90 $2,555,659.02
 33 34 35 36 37 38

$3,750,000.00 $3,750,000.00 $3,750,000.00 $3,750,000.00 $3,750,000.00 $3,750,000.00

$3,750,000.00 $3,750,000.00 $3,750,000.00 $3,750,000.00 $3,750,000.00 $3,750,000.00
$2,488,829.90 $2,458,103.60 $2,427,756.65 $2,397,784.34 $2,368,182.07 $2,338,945.25

33 34 35 36 37 38

$3,750,000.00 $3,750,000.00 $3,750,000.00 $3,750,000.00 $3,750,000.00 $3,750,000.00

$3,750,000.00 $3,750,000.00 $3,750,000.00 $3,750,000.00 $3,750,000.00 $3,750,000.00
$2,115,414.50 $2,079,031.45 $2,043,274.15 $2,008,131.85 $1,973,593.95 $1,939,650.08

33 34 35 36 37 38

$4,500,000.00 $4,500,000.00 $4,500,000.00 $4,500,000.00 $4,500,000.00 $4,500,000.00

$4,500,000.00 $4,500,000.00 $4,500,000.00 $4,500,000.00 $4,500,000.00 $4,500,000.00
$2,538,497.40 $2,494,837.74 $2,451,928.98 $2,409,758.21 $2,368,312.74 $2,327,580.09
 39 40 41 42 43 44

$7,500,000.00 $7,500,000.00 $7,500,000.00 $7,500,000.00 $7,500,000.00 $7,500,000.00

$7,500,000.00 $7,500,000.00 $7,500,000.00 $7,500,000.00 $7,500,000.00 $7,500,000.00
2,863,060.42 2,793,229.68 2,725,102.12 2,658,636.22 2,593,791.43 2,530,528.23

39 40 41 42 43 44

$4,500,000.00 $4,500,000.00 $4,500,000.00 $4,500,000.00 $4,500,000.00 $4,500,000.00

$4,500,000.00 $4,500,000.00 $4,500,000.00 $4,500,000.00 $4,500,000.00 $4,500,000.00
$2,517,890.66 $2,480,680.45 $2,444,020.15 $2,407,901.62 $2,372,316.87 $2,337,258.00
 39 40 41 42 43 44

$3,750,000.00 $3,750,000.00 $3,750,000.00 $3,750,000.00 $3,750,000.00 $3,750,000.00

$3,750,000.00 $3,750,000.00 $3,750,000.00 $3,750,000.00 $3,750,000.00 $3,750,000.00
$2,310,069.38 $2,281,550.01 $2,253,382.72 $2,225,563.18 $2,198,087.10 $2,170,950.22

39 40 41 42 43 44

$3,750,000.00 $3,750,000.00 $3,750,000.00 $3,750,000.00 $3,750,000.00 $3,750,000.00

$3,750,000.00 $3,750,000.00 $3,750,000.00 $3,750,000.00 $3,750,000.00 $3,750,000.00
$1,906,290.00 $1,873,503.69 $1,841,281.26 $1,809,613.04 $1,778,489.47 $1,747,901.20

39 40 41 42 43 44

$4,500,000.00 $4,500,000.00 $4,500,000.00 $4,500,000.00 $4,500,000.00 $4,500,000.00

$4,500,000.00 $4,500,000.00 $4,500,000.00 $4,500,000.00 $4,500,000.00 $4,500,000.00
$2,287,548.00 $2,248,204.42 $2,209,537.52 $2,171,535.64 $2,134,187.36 $2,097,481.44
 45 46 47 48
$300,000,000.00
$7,500,000.00 $7,500,000.00 $7,500,000.00 $7,500,000.00
$7,500,000.00 $7,500,000.00 $7,500,000.00 $307,500,000.00
2,468,808.03 2,408,593.20 2,349,847.02 93,993,880.86

45 46 47 48
300000000
$4,500,000.00 $4,500,000.00 $4,500,000.00 $4,500,000.00
$4,500,000.00 $4,500,000.00 $4,500,000.00 $304,500,000.00
$2,302,717.24 $2,268,686.94 $2,235,159.54 $149,010,636.22
 45 46 47 48
$300,000,000.00
$3,750,000.00 $3,750,000.00 $3,750,000.00 $3,750,000.00
$3,750,000.00 $3,750,000.00 $3,750,000.00 $303,750,000.00
$2,144,148.36 $2,117,677.40 $2,091,533.23 $167,322,658.43

45 46 47 48
$300,000,000.00
$3,750,000.00 $3,750,000.00 $3,750,000.00 $3,750,000.00
$3,750,000.00 $3,750,000.00 $3,750,000.00 $303,750,000.00
$1,717,839.02 $1,688,293.87 $1,659,256.88 $132,088,262.52

45 46 47 48
$300,000,000.00
$4,500,000.00 $4,500,000.00 $4,500,000.00 $4,500,000.00
$4,500,000.00 $4,500,000.00 $4,500,000.00 $304,500,000.00
$2,061,406.82 $2,025,952.65 $1,991,108.25 $132,414,406.38
 2. Un nuevo instrumento financiero tiene un comportamiento muy extraño debido a su
estacionalidad. Durante los primeros 5 años no produce flujos de caja. Durante los años 6
al 10 genera flujos de caja de US$ 10,000.00 cada trimestre (al final de cada período).
Durante los siguientes 5 años, del 11 al 15, nuevamente no genera flujos de caja, y
durante los años 16 al 20 generaría flujos de caja semestrales de US$ 18,000 con una tasa
de crecimiento de 1% por cada semestre (haciendo que cada vez los flujos de caja
percibidos sean mayores). Usted espera que su costo de oportunidad sea de 16% TEA
durante los primeros 10 años, pero que se reduciría a 14% TEA durante los últimos 10
años de la operación. ¿Cuánto vale dicho instrumento financiero hoy? (8 puntos)
TEA 16.00%
TET 3.78%

PERIODO (TRIMESTRAL) 0 1 2 3 4
FLUJO DE CAJA $0.00 $0.00 $0.00 $0.00
VA $0.00 $0.00 $0.00 $0.00
VA TOTAL (1 - 10 AÑOS) $65,983.15

TEA 14.00%
TES 6.77%
Tasa de Crecimiento 1%

PERIODO (SEMESTRAL) 21 22 23 24
FLUJO DE CAJA $0.00 $0.00 $0.00 $0.00
VA $0.00 $0.00 $0.00 $0.00
VA TOTAL (11 - 20 AÑOS) $18,628.34

VALOR TOTAL DEL

$84,611.49
INSTRUMENTO FINANCIERO
5 6 7 8 9 10 11
$0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00
$0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00

25 26 27 28 29 30 31
$0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $18,000.00
$0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $2,361.82
 12 13 14 15 16 17 18
$0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00
$0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00

32 33 34 35 36 37 38
$18,180.00 $18,361.80 $18,545.42 $18,730.87 $18,918.18 $19,107.36 $19,298.44
$2,234.17 $2,113.42 $1,999.19 $1,891.14 $1,788.92 $1,692.24 $1,600.77
 19 20 21 22 23 24 25
$0.00 $0.00 $10,000.00 $10,000.00 $10,000.00 $10,000.00 $10,000.00
$0.00 $0.00 $4,587.71 $4,420.60 $4,259.58 $4,104.42 $3,954.92

39 40
$19,491.42 $19,686.33
$1,514.25 $1,432.41
 26 27 28 29 30 31 32
$10,000.00 $10,000.00 $10,000.00 $10,000.00 $10,000.00 $10,000.00 $10,000.00
$3,810.86 $3,672.05 $3,538.30 $3,409.41 $3,285.22 $3,165.56 $3,050.25
 33 34 35 36 37 38 39
$10,000.00 $10,000.00 $10,000.00 $10,000.00 $10,000.00 $10,000.00 $10,000.00
$2,939.15 $2,832.09 $2,728.93 $2,629.53 $2,533.75 $2,441.46 $2,352.53
 40
$10,000.00
$2,266.84