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    (舊版)中國人壽天生新貴變額年金保險

    商品DM
    商品條款 商品費率
    這是主約保險
    這張保險可以單獨購買，也可以搭配其他附約保險一起購買。
    這是終身險
    可以保障終身，你可以選擇要分幾期繳完，假設選擇30年期，代表保費要繳30年，每年保費都不會變，30年後就不用再繳保費，可以保障一輩子。
    這張保險還沒做好 :(
    保險商品真的太多了......再給我們一點時間。
    如果急著想了解這張商品，問問網站其他會員，
    可以得到即時的建議哦！
    VA03 -1/51-
    中國人壽
    中國人壽中國人壽
    中國人壽天生新貴
    天生新貴天生新貴
    天生新貴變額
    變額變額
    變額年金
    年金年金
    年金保
    保保
    保險
    險險
    險
    保單條款
    保單條款保單條款
    保單條款
    【本保險為不分紅保險單，不參加紅利分配，並無紅利給付項目。】
    0800 021200 96.11.16 0961116022
    www.chinalife.com.tw 97.04.28 0970428013
    【保險契約的構成】
    【名詞定義】
    VA03 -2/51-
    VA03 -3/51-
    【貨幣單位與匯率計算】
    【保險公司應負責任的開始】
    【契約撤銷權】
    VA03 -4/51-
    【第二期以後保險費的交付、寬限期間及契約效力的停止】
    【本契約效力的恢復】
    【保單帳戶價值的通知】
    【投資標的之收益分配】
    【保險費之配置及變更】
    VA03 -5/51-
    【投資標的轉換】
    【投資標的之增加、關閉或終止】
    【特殊情事之評價】
    【累積期滿選擇權及累積期滿一次給付之年金的給付】
    VA03 -6/51-
    【年金給付的開始】
    【年金金額的計算】
    【契約的終止及其限制】
    【保單帳戶價值的減少】
    VA03 -7/51-
    【被保險人身故的通知與返還保單帳戶價值】
    【失蹤處理】
    【累積期滿一次給付之年金的申領】
    【返還保單帳戶價值的申請】
    【年金的申領】
    VA03 -8/51-
    【未還款項的扣除】
    【保險單借款】
    【保險單紅利的計算及給付】
    【年齡的計算及錯誤的處理】
    【受益人的指定及變更】
    VA03 -9/51-
    【變更住所】
    【時效】
    【批註】
    【管轄法院】
    VA03 -10/51-
    【
    【【
    【附表一
    附表一附表一
    附表一】
    】】
    】相關費用
    相關費用相關費用
    相關費用
    1.
    ≤ ≤
    ≤
    ≤
    ≤
    ≤
    ≤
    ≤
    ≤
    ≤
    ≤
    VA03 -11/51-
    2.
    VA03 -12/51-
    VA03 -13/51-
    VA03 -14/51-
    【
    【【
    【附表二
    附表二附表二
    附表二】
    】】
    】投資標的
    投資標的投資標的
    投資標的
    VA03 -15/51-
    VA03 -16/51-
    【
    【【
    【附件
    附件附件
    附件】
    】】
    】結構型債券說明
    結構型債券說明結構型債券說明
    結構型債券說明
    -- Structured Notes
    JPMorgan Chase Bank N.A.
    5 108 8
    02 2725-9800
    Societe Generale
    02 2175-0000
    The Hong Kong and Shanghai Banking Corporation
    02 2723-0088
    ING
    02 2734-7600
    CALYON
    02 2717-5252
    BNP Paribas SA
    02 2716-1167
    Fortis Bank Fortis Banque SA
    02 2719-6331
    Australia and New Zealand Banking Group Limited
    02 2757-7299
    Deutsche Bank AG
    02 2192-4666
    UBS AG
    02 8722-7888
    VA03 -17/51-
    ABN AMRO BANK N.V.
    02 8722-5000
    Dresdner Bank AG
    02 2719-0022
    Barclays Bank PLC
    02 8722-
    1800
    Morgan Stanley Dean Witter & Co.
    02 2730-2800
    Bank of America Corp.
    02 8101-1288
    Credit Suisse First Boston
    02 2717-0174
    Merrill Lynch & Co. Inc.
    02 2376-3766
    VA03 -18/51-
    --
    ( ) 200 KOSPI 200
    1. KOSPI 200
    2. 93%
    3. 1990 1 3 100 Bloomberg KOSPI2
    ( ) 50 DJ Eurostoxx 50 Index
    1. 50
    2. 1991 12 31 1,000 Bloomberg SX5P
    ( ) DJ Global Titans Index
    1. 50
    2. 1991 12 31 100 Bloomberg DJGT
    ( ) 225 Nikkei 225 Index
    1. 225
    2. 1949 5 16 Bloomberg NKY
    ( ) TOPIX Index
    1. 1492
    2. 1968 1 4 100 Bloomberg TPX
    ( ) 500 S&P 500 Index
    1. 500
    2. 1941~1943 10 Bloomberg SPX
    ( ) 100 Nasdaq 100 Index
    1. NASDAQ
    2. 1985 2 1 Bloomberg NDX
    ( ) Dow Jones Industrial Average
    1. 30
    2. NYSE 15~20% Bloomberg INDU
    ( ) Nasdaq Composite Index
    1. 5400 Nasdaq
    2. 1971 2 5 100 Bloomberg CCMP
    ( ) Hang Seng Index
    1. 38 66%
    2. 1964 7 31 100 Bloomberg HSI
    ( ) 100 FTSE 100 Index
    1. 100
    2. 1984 1 3 1,000 Bloomberg UKX
    (
    ) 40 CAC 40 Index
    1. 40
    VA03 -19/51-
    2. 1987 12 31 1,000 Bloomberg CAC
    ( ) DAX Index
    1. 30
    2. 1987 12 31 1,000 Bloomberg DAX
    ( ) Amsterdam Exchange Index
    1. 25
    2. 1999 1 4 538.36 Bloomberg AEX
    ( ) IBEX IBEX 35 Index
    1. 35
    2. 1989 12 29 3,000 Bloomberg IBEX
    ( ) Swiss Market Index
    1.
    2. 1988 6 30 1,500 Bloomberg SMI
    ( ) TECDAX Performance Index
    1. TDXP 30
    2. 1997 12 30 1,000 Bloomberg TDXP
    ( ) MSCI MSCI World Index
    1. MSCI World Bloomberg
    MXWO
    2. MSCI World Index 23
    ( ) S&P 200 S&P /ASX 200 Index
    1. 200
    2. 10 Bloomberg AS51
    ( ) 2000 Russell 2000 Index
    1. Russell 3000 2000
    2. 1986 12 31 135 Bloomberg RTY
    ( ) MSCI MSCI Singapore Index
    1.
    2. Bloomberg MXSG
    ( ) SET 50 SET 50 Index
    1. 50
    2. 1995 8 16 100 Bloomberg SET50
    ( ) KLCI Index
    1. 100
    2.
    1977 1 3 95.83 Bloomberg KLCI
    ( ) CBOE CBOE Gold Index
    VA03 -20/51-
    1. 10
    2. 1994 12 16 1,000 Bloomberg GOX
    ( ) S&P 500 S&P 500 Real Estate Index
    1. 6
    2. Bloomberg S5REAL
    ( ) Brent Crude Oil nearest month future contract price
    1.
    2. Bloomberg CO1
    ( ) Goldman Sachs Commodity Index Excess Return
    1.
    2.
    3. Bloomberg GEXCME
    ( ) Phila Gold & Silver Index
    1. 13
    2. 1979 1 100 Bloomberg XAU
    ( ) AIG DJ-AIG Commodity Index
    1. 19 4 /6 /9
    2. 1991 1 2 100 Bloomberg DJAIG
    ( ) DJ US Real Estate Index
    1. 82 REIT
    2. Bloomberg DJUSRE
    ( ) London Gold Market Fixing Ltd PM Fix Price/USD
    1. London Gold Market Fixing Ltd.
    3
    2. Bloomberg GOLDLNPM
    ( ) WTI Crude Oil nearest month future contract price
    1. NYMEX/New York Merchantile Exchange
    2. Bloomberg CL1
    ( ) JPMorgan Global Asset Rotator Index
    1. 10 / / / / /
    5
    1 31 7 31
    2.
    1994 7 31 100 Bloomberg GARJPMUS
    ( ) Constant Maturity Swap CMS
    VA03 -21/51-
    1. 1 30
    2. USD swap rate or USD CMS Euro
    swap rate or Euro CMS
    (1) USD swap rate or USD CMS
    British Banker Association
    mid swap market rates 11:00
    (2) Euro swap rate or Euro CMS
    British Banker Association 7-8
    mid swap market rates
    11:00
    3. Bloomberg Telerate
    ( ) London Inter-Bank Offering Rate Libor
    1. 11:00 Telerate Page 3750
    2. British
    Bankers Association 25% 25%
    3. Bloomberg Telerate
    ( ) (Hong Kong Interbank Offered Rat Hibor)
    1. “HIBOR” “Hong Kong Interbank Offer Rate”
    2. 11:00 Telerate Page 9898
    VA03 -22/51-
    ( )
    1 Lockheed Martin Corp LMT UN
    2 Rockwell Collins Inc COL UN
    3 BOEING CO BA UN
    4 Bae Systems Plc BA/ LN
    5 Rolls-Royce Group PLC RR/ LN 6 FINMECCANICA SPA FNC IM
    7 General Dynamics Corp GD UN 8 United Technologies Corp UTX UN
    9 British Airways PLC BAY LN
    10
    Japan Airlines Corp 9205 JT 11
    Qantas Airways Ltd QAN AU
    12
    Southwest Airlines Co LUV UN
    13
    Deutsche Lufthansa AG LHA GY
    14
    Cathay Pacific Airways
    Limited
    293 HK 15
    Air France-KLM AF FP
    16
    Coach INC COH UN
    17
    Polo Ralph Lauren Corp RL UN 18
    Whirlpool Corp WHR UN
    19
    INFOSYS TECHNOLOGIES
    LTD
    INFY UW
    20
    Intuit Inc INTU UW
    21
    Microsoft Corp MSFT UW
    22
    Adidas AG ADS GY
    23
    Nike Inc NKE UN
    24
    Sony Corp 6758 JT
    25
    Yamaha Corp 7951 JT 26
    Peugeot SA UG FP 27
    Renault SA RNO FP
    28
    Bayerische Motoren Werke
    AG
    BMW GY
    29
    Volkswagen AG VOW GY
    30
    DaimlerChrysler AG DCX GY
    31
    Honda Motor Co Ltd 7267 JT 32
    Isuzu Motors Ltd 7202 JT 33
    Mazda Motor Corp 7261 JT
    34
    Suzuki Motor Corp 7269 JT 35
    Toyota Motor Corp 7203 JT 36
    Nissan Motor Co Ltd 7201 JT
    37
    Fiat SPA F IM 38
    FORD MOTOR CO F UN 39
    GENERAL MOTORS CORP
    GM UN
    40
    Pepsi Bottling Group Inc PBG UN
    41
    Coca-Cola Co/The KO UN 42
    Pernod-Ricard SA RI FP
    43
    DIAGEO PLC DGE LN
    44
    Daikin Industries Ltd 6367 JT 45
    American Standard Cos Inc
    ASD UN
    46
    LAFARGE SA LG FP 47
    Hanson PLC HNS LN
    48
    Rinker Group Ltd RIN AU
    49
    Holcim Ltd
    HOLN VX
    50
    Cie de Saint-Gobain SGO FP 51
    Matsushita Electric Works Ltd
    6991 JT
    52
    Persimmon PLC PSN LN
    53
    Sekisui House Ltd 1928 JT 54
    Centex Corp CTX UN
    55
    DR Horton Inc DHI UN
    56
    KB Home KBH UN
    57
    Lennar Corp LEN UN
    58
    Pulte Homes Inc PHM UN
    59
    HEINEKEN NV HEIA NA
    60
    ASAHI BREWERIES LTD 2502 JT
    61
    SAPPORO HOLDINGS LTD
    2501 JT 62
    FOSTER'S GROUP LTD FGL AU
    63
    SABMILLER PLC SAB LN
    64
    SCOTTISH & NEWCASTLE
    PLC
    SCTN LN
    65
    ANHEUSER-BUSCH COS
    INC
    BUD UN
    66
    Vinci SA DG FP
    67
    ACS ACTIVIDADES CONS Y
    SERV
    ACS SM
    68
    Grupo Ferrovial SA FER SM 69
    Comcast Corp
    CMCSA
    UW
    70
    HARRAH'S
    ENTERTAINMENT INC
    HET UN
    71
    International Game
    Technology
    IGT UN 72
    Vodafone Group PLC VOD LN
    73
    NTT DoCoMo Inc 9437 JT 74
    Alltel Corp AT UN 75
    KONINKLIJKE DSM NV DSM NA
    76
    Bayer AG BAY GY
    77
    Imperial Chemical Industries
    PLC
    ICI LN 78
    Akzo Nobel NV
    AKZOY
    UW
    79
    Shin-Etsu Chemical Co Ltd
    4063 JT 80
    Sumitomo Chemical Co Ltd
    4005 JT 81
    Dow Chemical Co/The DOW UN
    82
    EI Du Pont de Nemours & Co
    DD UN 83
    Akzo Nobel NV
    AKZA NA
    84
    BASF AG BAS GY
    85
    Johnson Matthey PLC JMAT LN
    86
    Asahi Kasei Corp 3407 JT 87
    Rohm & Haas Co ROH UN
    88
    Ciba Specialty Chemicals AG
    CIBN VX
    89
    FORTIS FORA NA
    90
    ABN AMRO HOLDING NV
    AABA NA
    91
    CREDIT AGRICOLE SA ACA FP
    92
    BNP PARIBAS BNP FP 93
    Societe Generale GLE FP
    94
    Commerzbank AG CBK GY
    95
    Deutsche Bank AG DBK GY
    96
    Standard Chartered plc STAN LN
    97
    HSBC Holdings PLC 5 HK 98
    Barclays PLC BARC LN
    99
    LLOYDS TSB GROUP PLC
    LLOY LN
    100
    Royal Bank of Scotland Group
    PLC
    RBS LN 101
    Mizuho Trust & Banking Co
    Ltd
    8404 JT 102
    HBOS PLC HBOS LN
    103
    Mitsui Trust Holdings Inc 8309 JT 104
    Skandinaviska Enskilda
    Banken AB
    SEBA SS
    105
    DBS Group Holdings Ltd DBS SP
    106
    Dexia DEXB BB
    107
    KBC Groep NV KBC BB 108
    Moody's Corp MCO UN
    109
    Apple Inc
    AAPL UW
    110
    HEWLETT-PACKARD CO
    HPQ UN
    111
    International Business
    Machines Corp
    IBM UN
    VA03 -23/51-
    112
    DELL INC DELL UW
    113
    TDK CORP 6762 JT 114
    EMC Corp/Massachusetts EMC UN
    115
    SanDisk Corp SNDK UW
    116
    Lexmark International Inc LXK UN
    117
    L'Oreal SA OR FP
    118
    Shiseido Co Ltd 4911 JT 119
    Avon Products Inc AVP UN 120
    Colgate-Palmolive Co CL UN
    121
    Estee Lauder Cos Inc/The EL UN 122
    PROCTER & GAMBLE CO PG UN 123
    Carnival PLC CCL LN
    124
    CARNIVAL CORP CCL UN 125
    Patterson Cos Inc PDCO UW
    126
    Siemens AG SIE GY
    127
    Kawasaki Heavy Industries Ltd
    7012 JT 128
    Mitsubishi Heavy Industries Ltd
    7011 JT 129
    Eaton Corp ETN UN
    130
    Tyco International Ltd TYC UN
    131
    3M Co MMM UN
    132
    Honeywell International Inc HON UN
    133
    Xstrata PLC XTA LN 134
    Anglo American PLC AAL LN 135
    BHP Billiton Ltd BHP AU
    136
    LVMH Moet Hennessy Louis
    Vuitton SA
    MC FP 137
    AMAZON.COM INC
    AMZN UW
    138
    EBAY INC EBAY UW
    139
    Hitachi Ltd 6501 JT 140
    MITSUBISHI ELECTRIC
    CORP
    6503 JT 141
    SANYO ELECTRIC CO LTD
    6764 JT
    142
    Drax Group Plc DRX LN
    143
    AES Corp/The AES UN 144
    E.ON AG EOA GY
    145
    International Power PLC IPR LN 146
    ENDESA SA ELE SM 147
    IBERDROLA SA IBE SM
    148
    Kansai Electric Power Co
    Inc/The
    9503 JT 149
    Tokyo Electric Power Co Inc/The
    9501 JT 150
    ENEL SPA ENEL IM
    151
    Consolidated Edison Inc ED UN 152
    Duke Energy Corp DUK UN
    153
    EDISON INTERNATIONAL
    EIX UN
    154
    PPL Corp PPL UN 155
    TXU Corp TXU UN
    156
    Electricite de France EDF FP
    157
    Suez SA SZE FP 158
    RWE AG RWE GY
    159
    Scottish Power PLC SPW LN
    160
    UNION FENOSA SA UNF SM
    161
    Ameren Corp AEE UN 162
    Centerpoint Energy Inc CNP UN
    163
    Constellation Energy Group Inc
    CEG UN
    164
    Dominion Resources Inc/VA D UN 165
    Entergy Corp ETR UN
    166
    Exelon Corp EXC UN
    167
    FIRSTENERGY CORP FE UN 168
    FPL Group Inc FPL UN
    169
    PG&E Corp PCG UN 170
    Progress Energy Inc PGN UN
    171
    Public Service Enterprise Group
    Inc
    PEG UN
    172
    CHUBU Electric Power Co Inc.
    9502 JP 173
    American Electric Power Co Inc
    AEP UN 174
    NATIONAL GRID PLC NG/ LN
    175
    NEC Corp 6701 JP 176
    Micron Technology Inc MU UN 177
    National Semiconductor Corp
    NSM UN
    178
    Nvidia Corp
    NVDA UW
    179
    Intel Corp INTC UW
    180
    ADOBE SYSTEMS INC ADBE UW
    181
    SAP AG SAP GY 182
    Novell Inc NOVL UW
    183
    Konami Corp 9766 JT
    184
    ELECTRONIC ARTS INC ERTS UW
    185
    State Street Corp STT UN 186
    Bank of New York Co Inc/The
    BK UN
    187
    American Express Co AXP UN
    188
    Bear Stearns Cos Inc/The BSC UN 189
    Daiwa Securities Group Inc 8601 JT
    190
    Nomura Holding Inc 8604 JT 191
    Macquarie Bank Ltd MBL AU
    192
    MORGAN STANLEY MS UN
    193
    Citigroup Inc C UN 194
    Goldman Sachs Group Inc/The
    GS UN 195
    JP Morgan Chase & Co JPM UN
    196
    Merrill Lynch & Co MER UN
    197
    Charles Schwab Corp/The
    SCHW UW
    198
    E*Trade Financial Corp ETFC UW
    199
    UBS AG UBSN VX
    200
    Lehman Brothers Holdings Inc
    LEH UN 201
    FREDDIE MAC FRE UN
    202
    Fannie Mae FNM UN
    203
    Deutsche Boerse AG DB1 GY 204
    Chicago Mercantile Exchange
    Holdings Inc
    CME UN
    205
    Credit Suisse Group CSGN VX
    206
    Hershey Co/The HSY UN
    207
    UNILEVER NV UNA NA
    208
    Campbell Soup Co CPB UN 209
    General Mills Inc GIS UN 210
    Nestle SA NESN VX
    211
    KRAFT FOODS KFT US 212
    Kellogg Co K UN 213
    Carrefour SA CA FP
    214
    Tesco Plc TSCO LN
    215
    Weyerhaeuser Co WY UN 216
    TABCORP Holdings Ltd TAH AU
    217
    GAS NATURAL SDG SA GAS SM
    218
    Osaka Gas Co Ltd 9532 JT 219
    Newcrest Mining Ltd NCM AU
    220
    NEWMONT MINING Corp NEM US
    221
    Accor SA AC FP 222
    HILTON HOTELS CORP HLT UN
    223
    Marriott International Inc MAR UN
    224
    Starwood Hotels & Resorts
    Worldwide Inc
    HOT UN
    225
    Monster Worldwide Inc MNST UW
    VA03 -24/51-
    226
    Samsung Corp 000830 KS
    227
    Rockwell Automation Inc ROK UN
    228
    Air Liquide AI FP
    229
    AON Corp AOC UN
    230
    Marsh & McLennan Cos Inc MMC UN
    231
    Trend Micro Inc 4704 JT
    232
    SYMANTEC CORP
    SYMC UW
    233
    Franklin Resources Inc BEN UN
    234
    Amvescap PLC AVZ LN
    235
    T Rowe Price Group Inc
    TROW UW
    236
    Macquarie Infrastructure Group
    MIG AU 237
    Prudential Financial Inc PRU UN
    238
    Volvo AB
    VOLVB SS
    239
    Zimmer Holdings Inc ZMH UN
    240
    Johnson & Johnson JNJ UN
    241
    Amgen Inc
    AMGN UW
    242
    AstraZeneca PLC AZN LN 243
    ABBOTT LABORATORIES ABT UN
    244
    BRISTOL-MYERS SQUIBB CO
    BMY UN
    245
    Wyeth WYE UN
    246
    Merck & Co Inc MRK UN
    247
    Pfizer Inc PFE UN 248
    Allergan Inc AGN UN
    249
    WELLPOINT INC WLP UN
    250
    AETNA INC AET UN 251
    Vedanta Resources PLC VED LN 252
    Zinifex Ltd ZFX AU
    253
    Freeport-McMoRan Copper &
    Gold Inc
    FCX UN 254
    ING Groep NV INGA NA
    255
    AXA SA CS FP
    256
    Allianz SE ALV GY 257
    Assicurazioni Generali SpA G IM 258
    ACE Ltd ACE UN
    259
    Metlife Inc MET UN
    260
    American International Group
    Inc
    AIG UN 261
    Zurich Financial Services AG
    ZURN VX
    262
    AEGON NV AGN NA
    263
    Hartford Financial Services
    Group Inc
    HIG UN 264
    Allstate Corp/The ALL UN
    265
    Pearson PLC PSON LN
    266
    Reuters Group PLC RTR LN 267
    McGraw-Hill Cos Inc/The MHP UN
    268
    TIME WARNER INC TWX UN
    269
    Walt Disney Co DIS UN 270
    Publishing & Broadcasting Ltd
    PBL AU
    271
    News Corp
    NWS/A UN
    272
    Juniper Networks Inc JNPR UW
    273
    Cisco Systems Inc. CSCO US
    274
    MITSUBISHI MATERIALS
    CORP
    5711 JT 275
    Waste Management Inc WMI UN
    276
    Xerox Corp XRX UN
    277
    Oil Search Ltd OSH AU 278
    Origin Energy Ltd ORG AU
    279
    Santos Ltd STO AU
    280
    Woodside Petroleum Ltd WPL AU
    281
    Saipem SpA SPM IM 282
    XTO Energy Inc XTO UN
    283
    Royal Dutch Shell PLC RDSA NA
    284
    TOTAL SA FP FP 285
    BP PLC BP/ LN
    286
    ENI SPA ENI IM 287
    CHEVRON CORP CVX UN
    288
    CONOCOPHILLIPS COP UN
    289
    Hess Corp HES UN 290
    EXXON MOBIL CORP XOM UN
    291
    BG Group Plc BG/ LN
    292
    Nippon Mining Holdings Inc 5016 JT 293
    NIPPON OIL CORP 5001 JT 294
    Noble Corp NE UN
    295
    International Paper Co IP UN 296
    Konica Minolta Holdings Inc 4902 JT 297
    Olympus Corp 7733 JT
    298
    EASTMAN KODAK CO EK UN 299
    TransCanada Corp TRP CT 300
    El Paso Corp EP UN
    301
    National Fuel Gas Co NFG US 302
    Mitsui Sumitomo Insurance Co
    Ltd
    8752 JT 303
    New York Times Co NYT UN
    304
    Gannett Co Inc GCI UN 305
    Tribune Co TRB UN 306
    SINO LAND CO 83 HK
    307
    Sun Hung Kai Properties Ltd 16 HK 308
    Fadesa Inmobiliaria SA FAD SM 309
    METROVACESA SA MVC SM
    310
    Mitsui Fudosan Co Ltd 8801 JT 311
    Cheung Kong Holdings Ltd 1 HK 312
    Swiss Reinsurance RUKN VX
    313
    Muenchener Rueckversicherungs
    AG
    MUV2 GY
    314
    Nordstrom Inc JWN UN
    315
    GAP INC/THE GPS UN
    316
    Ltd Brands Inc LTD UN 317
    Hennes & Mauritz AB HMB SS
    318
    Autozone Inc AZO UN
    319
    LOWE'S COS INC LOW UN
    320
    HOME DEPOT INC HD UN 321
    Kingfisher PLC KGF LN
    322
    Best Buy Co Inc BBY UN
    323
    Circuit City Stores Inc CC UN 324
    TJX Cos Inc TJX UN
    325
    Target Corp TGT UN 326
    WAL-MART STORES INC WMT UN
    327
    COSTCO WHOLESALE CORP
    COST UW
    328
    CVS Corp CVS UN 329
    Bulgari SpA BUL IM 330
    Tiffany & Co TIF UN
    331
    Swatch Group AG UHR VX
    332
    JC Penney Co Inc JCP UN 333
    Marui Co Ltd 8252 JT
    334
    Takashimaya Co Ltd 8233 JT 335
    SEARS HOLDINGS CORP SHLD UW
    336
    Staples Inc SPLS UW
    337
    STARBUCKS CORP SBUX UW
    338
    Wendy's International Inc WEN UN
    339
    McDonald's Corp MCD UN
    VA03 -25/51-
    340
    Bridgestone Corp 5108 JT 341
    Goodyear Tire & Rubber Co/The
    GT UN 342
    Washington Mutual Inc WM UN
    343
    ASML Holding NV ASML NA
    344
    TOKYO ELECTRON LTD 8035 JT 345
    Vallourec VK FP
    346
    Acerinox SA ACX SM
    347
    JFE Holdings Inc 5411 JT 348
    Kobe Steel Ltd 5406 JT
    349
    Nippon Steel Corp 5401 JT 350
    BlueScope Steel Ltd BSL AU 351
    ThyssenKrupp AG TKA GY
    352
    Corus Group PLC CS/ LN 353
    Sumitomo Metal Industries
    Ltd
    5405 JT 354
    Hyundai Steel Co 004020 KS
    355
    POSCO 005490 KS
    356
    Arcelor Mittal MT NA 357
    TATA STEEL LIMITED TATA IN
    358
    Tate & Lyle PLC TATE LN
    359
    Bank of America Corp BAC UN
    360
    PNC Financial Service
    s Group
    Inc
    PNC UN
    361
    Wells fargo & Co WFC UN
    362
    Wachovia Corp WB UN 363
    NORTEL NETWORKS CORP
    NT CT
    364
    Deutsche Telekom AG DTE GY
    365
    BT Group PLC BT/A LN
    366
    Softbank Corp 9984 JT
    367
    TELECOM ITALIA SPA TIT IM 368
    Sprint Nextel Corp S UN 369
    Verizon Communications Inc
    VZ UN
    370
    AT&T INC T UN 371
    France Telecom SA FTE FP 372
    BRITISH AMERICAN
    TOBACCO PLC
    BATS LN
    373
    Gallaher Group PLC GLH LN
    374
    Imperial Tobacco Group PLC
    IMT LN 375
    ALTADIS SA ALT SM
    376
    REYNOLDS AMERICAN INC
    RAI UN
    377
    UST INC UST UN
    378
    Black & Decker Corp BDK UN
    379
    Nintendo Co., Ltd 7974 JP 380
    FEDEX CORP FDX UN
    381
    Deutsche Post AG DPW GY
    382
    Veolia Environnement VIE FP 383
    Kelda Group Plc KEL LN
    384
    Severn Trent PLC SVT LN
    385
    United Utilities Plc UU/ LN
    386
    GOOGLE INC
    GOOG
    UW
    387
    Yahoo Inc
    YHOO
    UW
    388
    Nokia OYJ NOKI SS
    389
    Telefonaktiebolaget LM
    Ericsson
    ERICB SS
    390
    Motorola Inc MOT UN
    VA03 -26/51-
    —
    = [ 1 + ]
    h h
    h R
    h
    h = 1,2,…,T
    R
    h
    = Min { A
    h
    %, B
    h
    % Max [ C
    h
    %, Rportfolio
    h
    ] }
    Rportfolio
    h
    =
    ∑
    =
    −
    ×
    N
    n
    n
    n
    dh,h
    n
    h
    n
    Underlying
    UnderlyingUnderlying
    W
    1
    0
    0
    T T =
    ∑
    =
    H
    i
    i
    M
    1
    H
    M
    i
    i M
    i
    = 12 / t
    mi
    t
    mi
    i 1 2 3 6
    12
    h t
    mi
    12
    t
    mi
    = 12 M
    i
    = 1 2004/12/11 1
    2004/12/11 2005/12/11 2 2005/12/11 2006/12/11 3
    2006/12/11 2007/12/11
    A
    h
    %, B
    h
    %, C
    h
    %
    Rportfolio
    h
    h
    N
    h
    n
    W
    n h
    ∑
    =
    N
    n
    h
    n
    W
    1
    = 1
    0
    n
    Underlying
    n
    dh,h
    n
    Underlying
    n h dh
    dh
    1.1997 9 15 6 H = 6 10,000
    2. S&P500 N = 1 d1 = = d6 = 5
    3. 1 t
    mi
    = 12 M
    i
    = 12 / t
    mi
    = 12 / 12 = 1 T =
    ∑
    =
    H
    1i
    i
    M
    =
    ∑
    =
    6
    1
    1
    i
    = 6
    4.A
    h
    % = 5% B
    h
    % = 80% C
    h
    % = 0% h = 1,2,…,6
    5. 10%
    VA03 -27/51-
    6.
    h 5 S&P500
    Rportfolio
    h
    R
    h
    0
    1997/9/15 919.77
    5
    1 1998/9/15 1998/9/8 1023.46 11.27% 5.00%
    2 1999/9/15 1999/9/8 1344.15 46.14% 5.00%
    3 2000/9/15 2000/9/8 1494.5 62.49% 5.00%
    4 2001/9/17 2001/9/4 1132.94 23.18% 5.00%
    5 2002/9/16 2002/9/9 902.96 -1.83% 0.00%
    6 2003/9/15 2003/9/8 1031.64 12.16% 5.00%
    1 h = 1
    Rportfolio
    1
    = 1 ( 1023.46 – 919.77 ) / 919.77 = 11.27%
    R
    1
    = Min { 5%, 80% Max [ 0%, 11.27% ] }= Min { 5%, 9.02% }= 5.00%
    1 = 10,000 5.00% = 500
    2 h = 2
    Rportfolio
    2
    = 1 ( 1344.15 – 919.77 ) / 919.77 = 46.14%
    R
    2
    = Min { 5%, 80% Max [ 0%, 46.14% ] }= Min { 5%, 36.91% }= 5.00%
    2 = 10,000 5.00% = 500
    6 h = 6
    Rportfolio
    6
    = 1 ( 1031.64 – 919.77 ) / 919.77 = 12.16%
    R
    6
    = Min { 5%, 80% Max [ 0%, 12.16% ] } = Min { 5%, 9.73% }= 5.00%
    6 = 10,000 5.00% = 500
    = [1 + ] = 10,000 [ 1 + 10% ] = 11,000
    VA03 -28/51-
    =
    h h
    h R
    h
    1.h = 1 1 R
    1
    = A%
    2.h = 2,3,…,T 2
    (1) Portfolio
    h
    < R
    Target
    (a) Portfolio
    h
    D
    h
    % R
    h
    = B
    h
    %
    (b) Portfolio
    h
    < D
    h
    % R
    h
    = C
    h
    %
    (2) Portfolio
    h
    R
    Target
    R
    h
    = E
    h
    %
    R
    h+i
    = F i = 1,2,3,…,T-h ( )
    Portfolio
    h
    =
    ∑
    =
    ×
    N
    n
    n
    dh,h
    n
    h
    n
    Underlying
    Underlying
    W
    1
    0
    T T =
    ∑
    =
    H
    i
    i
    M
    1
    H
    M
    i
    i M
    i
    = 12 / t
    mi
    t
    mi
    i 1 2 3 6
    12
    h t
    mi
    12
    t
    mi
    = 12 M
    i
    = 1 2004/12/11 1
    2004/12/11 2005/12/11 2 2005/12/11 2006/12/11 3
    2006/12/11 2007/12/11
    R
    Target
    A%, B
    h
    %, C
    h
    %, D
    h
    %, E
    h
    %, R
    Target
    F
    Portfolio
    h
    h
    N
    h
    n
    W
    n h
    ∑
    =
    N
    n
    h
    n
    W
    1
    = 1
    0
    n
    Underlying
    n
    dh,h
    n
    Underlying
    n h dh
    dh
    1.1997 9 15 6 H = 6 10,000
    2.
    S&P500 N = 1 d1 = = d6 = 5
    VA03 -29/51-
    3. 1 t
    mi
    = 12 M
    i
    = 12 / t
    mi
    = 12 / 12 = 1 T =
    ∑
    =
    H
    i
    i
    M
    1
    =
    ∑
    =
    6
    1
    1
    i
    = 6
    4.A% = 6% h 2 B
    h
    % = 4.35% C
    h
    % = 0.1% D
    h
    % = 100% E
    h
    % = 4.35% h = 2,3,…,6 R
    Target
    = 120%
    5.F 12 Libor
    6.
    h
    5
    S&P500 12 Libor
    0 1997/9/15 919.77
    5
    1 1998/9/15
    2 1999/9/15 1999/9/8 1344.15
    3 2000/9/15 2000/9/8 1494.5 1999/9/15 6.07%
    4 2001/9/17 2001/9/4 1132.94 2000/9/15 6.84%
    5 2002/9/16 2002/9/9 902.96 2001/9/17 3.05%
    6 2003/9/15 2003/9/8 1031.64 2002/9/16 1.93%
    h
    Portfolio
    h
    R
    Target
    Portfolio
    h
    R
    Target
    12 Libor
    R
    h
    1
    6.00%
    2
    146.14% 120% Y 4.35%
    3
    162.49% 120%
    6.07% 6.07%
    4
    123.18% 120%
    6.84% 6.84%
    5
    98.17% 120%
    3.05% 3.05%
    6
    112.16% 120%
    1.93% 1.93%
    1 h = 1
    R
    1
    = A% = 6.00%
    1 = 10,000 6.00% = 600
    2 h = 2
    Portfolio
    2
    = 1 ( 1344.15 / 919.77 ) = 146.14%
    Portfolio
    2
    = 146.14% R
    Target
    = 120% R
    2
    = E
    2
    % = 4.35%
    2 = 10,000 4.35% = 435
    Portfolio
    2
    = 146.14% R
    Target
    = 120%
    R
    2+i
    = 12 Libor i =1,2,3,4
    R
    3
    = 3 12 Libor = 6.07% 3 = 10,000 6.07% = 607
    R
    4
    = 4 12 Libor = 6.84% 4 = 10,000 6.84% = 684
    R
    5
    = 5 12 Libor = 3.05% 5 = 10,000 3.05% = 305
    R
    6
    = 6 12 Libor = 1.93% 6 = 10,000 1.93% = 193
    = = 10,000
    VA03 -30/51-
    = [ 1 + Max ( ) ]
    =
    ∑
    =
    T
    h
    h
    R
    1
    h h
    h R
    h
    1.h = 1 1 R
    1
    = Min { A + Max [ B
    1
    , C
    1
    + D
    1
    Model
    1
    ] , E }
    2.h = 2 2 R
    2
    = Min { Max [ B
    2
    , C
    2
    + D
    2
    Model
    2
    ] , E – R
    1
    }
    3.h = 3,4,…,T 3
    R
    h
    = Min { Max [ B
    h
    , C
    h
    + D
    h
    Model
    h
    ] , E
    –
    ∑
    −
    =
    1
    1
    h
    t
    t
    R
    }
    ∑
    =
    h
    t
    t
    R
    1
    = E
    R
    h+i
    = F i =1,2,3,…,T-h ( )
    4. h
    ∑
    =
    =
    h
    t
    t
    ER
    1
    R
    h
    ER
    h
    T T =
    ∑
    =
    H
    i
    i
    M
    1
    H
    M
    i
    i M
    i
    = 12 / t
    mi
    t
    mi
    i 1 2 3 6
    12
    h t
    mi
    12
    t
    mi
    = 12 M
    i
    = 1 2004/12/11 1
    2004/12/11 2005/12/11 2 2005/12/11 2006/12/11 3
    2006/12/11 2007/12/11
    E
    A, B
    h
    , C
    h
    , D
    h
    , E, ER
    h
    F
    Model
    h
    =
    ∑
    =
    m
    i
    h
    i
    W
    1
    × Method(S
    i
    )
    N
    m N
    h
    i
    W
    i h
    ∑
    =
    m
    i
    h
    i
    W
    1
    = 1
    Method(S
    i
    ) i
    VA03 -31/51-
    1. m
    dh
    2. m
    dh dh
    dh
    dh
    1.1997 9 15 6 H = 6 10,000
    2. Motorola Cisco Bristol 3 N = 3 m = 1 Model
    h
    3. 1 t
    mi
    = 12 M
    i
    = 12 / t
    mi
    = 12 / 12 = 1 T =
    ∑
    =
    H
    i
    i
    M
    1
    =
    ∑
    =
    6
    1
    1
    i
    = 6
    4.A = 12% B
    1
    = B
    2
    = 0% B
    h
    = R
    h-1
    h = 3,4,…,6 C
    1
    = 0% D
    1
    = 0% C
    h
    = 13% h = 2,3,…,6 D
    h
    = 30% h = 2,3,…,6
    E = 30% dh = 0
    5.F 12 Libor
    6. ER
    h
    1 2 3 4 5 6
    ER
    h
    0% 0% 0% 0% 5% 7%
    7. 0% 0%
    8.
    h
    Motorola Cisco Bristol
    12
    Libor
    0 1997/9/15
    67 69.75 78.56
    1
    1998/9/15
    1997/9/15
    2
    1999/9/15
    86.44 70.5 72.25 1998/9/15
    3
    2000/9/15
    35 62.75 53.25 1999/9/15
    4 2001/9/17
    14.78 14 58.3 2000/9/15
    6.84%
    5 2002/9/16
    11.19 12.93 25.95 2001/9/17
    3.05%
    6 2003/9/15
    10.7 20.39 26.24 2002/9/16
    1.93%
    h
    Motorola Cisco Bristol
    12
    Libor
    Model
    h
    R
    h
    ∑
    =
    h
    t
    t
    R
    1
    1
    12.00% 12.00%
    2
    29.01% 1.08% -8.03%
    -8.03% 10.59% 22.59%
    3
    -47.76% -10.04% -32.22%
    -47.76% 7.41% 30.00%
    4 -77.94% -79.93% -25.79% 6.84% -79.93% 6.84% 36.84%
    5 -83.30% -81.46% -66.97% 3.05% -83.30% 3.05% 39.89%
    6 -84.03% -70.77% -66.60% 1.93% -84.03% 1.93% 41.82%
    1 h = 1
    R
    1
    = Min { 12% + Max [ 0%, 0% +0% Model
    1
    ] , 30% }
    VA03 -32/51-
    = 12.00%
    1 = 10,000 12.00% = 1,200
    R
    1
    = 12.00% < 30% = E =
    2 h = 2
    Motorola = ( 86.44 – 67 ) / 67 = 29.01%
    Cisco = ( 70.5 – 69.75 ) / 69.75 = 1.08%
    Bristol
    R
    2
    = Min { Max [ 0%, 13% + 30% Model
    2
    ] , 30% – R
    1
    }
    = Min { Max [ 0%, 13% + 30% -8.03% ] , 30% – 12% }
    = 10.59%
    2 = 10,000 10.59% = 1,059
    R
    1
    + R
    2
    = 12.00% + 10.59% = 22.59% < 30% = E =
    3 h = 3
    Motorola = ( 35 – 67 ) / 67 = -47.76%
    Cisco = ( 62.75 – 69.75 ) / 69.75 = -10.04%
    Motorola
    R
    3
    = Min { Max [ R
    2
    ,13% + 30% Model
    3
    ] ,30%
    –
    ∑
    =
    2
    1t
    t
    R
    }
    = Min { Max [ 10.59%, 13% + 30% (-47.76%) ] , 30% – 22.59% }
    = 7.41%
    3 = 10,000 7.41% = 741
    R
    1
    + R
    2
    + R
    3
    = 12.00% + 10.59% + 7.41% = 30% = E =
    ∑
    =
    3
    1t
    t
    R
    = E = 30%
    R
    3+i
    = 12 Libor i = 1,2,3
    R
    4
    = 4 12 Libor = 6.84% 4 = 10,000 6.84% = 684
    R
    5
    = 5 12 Libor = 3.05% 5 = 10,000 3.05% = 305
    R
    6
    = 6 12 Libor = 1.93% 6 = 10,000 1.93% = 193
    ER
    3
    = 0% 0 %
    =
    ∑
    =
    T
    h
    h
    R
    1
    = 12.00% + 10.59% + 7.41% + 6.84%+ 3.05% + 1.93% = 41.82%
    VA03 -33/51-
    = [ 1 + Max ( ) ]
    = 10,000 [ 1 + Max ( 41.82% 0% 0% ) ]
    = 10,000
    VA03 -34/51-
    = [ 1 + Max ( ) ]
    =
    ∑
    =
    T
    h
    h
    W
    1
    × Portfolio
    h
    h Portfolio
    h
    1.h = 1 1 N 1 1
    2.h = 2,3,…,T 2 N h - 1
    N – h + 1 h h
    n =
    −
    0
    0,
    n
    n
    dhh
    n
    Underlying
    UnderlyingUnderlying
    T T =
    ∑
    =
    H
    i
    i
    M
    1
    H
    M
    i
    i M
    i
    = 12 / t
    mi
    t
    mi
    i 1 2 3 6
    12
    h t
    mi
    12
    t
    mi
    = 12 M
    i
    = 1 2004/12/11 1
    2004/12/11 2005/12/11 2 2005/12/11 2006/12/11 3
    2006/12/11 2007/12/11
    Portfolio
    h
    h
    N
    W
    h
    h
    ∑
    =
    T
    h
    h
    W
    1
    = 1
    0
    n
    Underlying
    n
    dhh
    n
    Underlying
    ,
    n h dh
    dh
    1.1998 4 15 6 H = 6 10,000
    2. 6 t
    mi
    = 6 M
    i
    = 12 / t
    mi
    = 12 / 6 = 2 T =
    ∑
    =
    H
    i
    i
    M
    1
    =
    ∑
    =
    6
    1
    2
    i
    = 12
    3. 15 N = 15 W
    1
    = W
    2
    = = W
    12
    = 1 / 12
    4.
    65% 23% dh = 0
    VA03 -35/51-
    5.
    h
    NKE
    UN
    T
    UN
    AAPL
    UW
    RL
    UN
    UHR
    VX
    8404
    JT
    HES
    UN
    7267
    JT
    4911
    JT
    C
    UN
    WMT
    UN
    MOT
    UN
    MMM
    UN
    BAC
    UN
    7203
    JT
    0 1998/4/15
    43.50
    39.94
    27.44
    27.94
    987
    203
    57 4550
    1614
    64.75
    53.88
    56.13
    96.94
    80.56
    3450
    1 1998/10/15
    39.94
    44.56
    36.63
    23.25
    681
    80
    58.06
    3330
    1180
    39.81
    64.63
    48.00
    82.00
    49.44
    2790
    2 1999/4/15
    59.00
    51.00
    35.75
    23.00
    918
    146
    53.25
    5140
    1679
    70.31
    97.56
    80.19
    79.31
    71.94
    3530
    3 1999/10/15
    54.69
    48.75
    74.56
    17.56
    1138
    202
    57.56
    4000
    1592
    42.25
    50.81
    88.00
    89.38
    48.25
    3520
    4 2000/4/17
    42.00
    42.00
    123.88
    15.69
    1845
    138
    62.00
    4350
    1379
    59.63
    54.00
    116.44
    89.88
    50.31
    5290
    5 2000/10/16
    3
    9.44
    50.75
    21.50
    18.81
    2300
    116
    65.00
    3870
    1360
    50.81
    47.31
    22.38
    92.19
    45.19
    4290
    6 2001/4/16
    36.95
    41.99
    21.44
    22.95
    1796
    100
    84.69
    4820
    1260
    46.95
    49.05
    13.75
    110.48
    52.45
    4070
    7 2001/10/15
    47.65
    43.87
    17.99
    21.90
    125.5
    63 66.6
    3
    4320
    1213
    44.80
    53.48
    17.58
    105.81
    55.55
    3170
    8 2002/4/15
    57.04
    33.47
    25.00
    29.55
    167.75
    57
    76.77
    5430
    1374
    45.92
    59.93
    13.66
    121.55
    69.20
    3610
    9 2002/10/15
    44.95
    23.76
    15.16
    18.85
    122
    49
    67.61
    4850
    1448
    34.15
    56.29
    10.10
    125.25
    65.75
    3040
    10
    2003/4/15
    53.77
    21.25
    13.39
    23.13
    120.5
    72
    44.67
    3970
    1160
    39.25
    55.29
    7.94
    133.64
    72.68
    2570
    11
    2003/10/15
    64.54
    21.63
    24.85
    30.70
    135.5
    238
    53.10
    4400
    1215
    48.88
    59.07
    13.78
    73.70
    82.06
    3390
    12
    2004/4/15
    75.59
    24.
    36
    29.29
    34.91
    171.25
    277
    65.14
    4670
    1442
    49.92
    57.79
    17.19
    82.85
    44.99
    3830
    h
    NKE
    UN
    T
    UN
    AAPL
    UW
    RL
    UN
    UHR
    VX
    8404
    JT
    HES
    UN
    7267
    JT
    4911
    JT
    C
    UN
    WMT
    UN
    MOT
    UN
    MMM
    UN
    BAC
    UN
    7203
    JT
    Portfolio
    h
    1 -8.18%
    11.57%
    33.49%
    -16.79%
    -31.00%
    -60.59%
    1.86%
    -26.81%
    -26.89%
    -38.52%
    19.95%
    -14.48%
    -15.41%
    -38.63%
    -19.13%
    33.49%
    2 35.63%
    27.69%
    -17.68%
    -6.99%
    -28.08%
    -6.58%
    12.97%
    4.03%
    8.59%
    81.07%
    42.86%
    -18.19%
    -10.70%
    2.32%
    81.07%
    3 25.72%
    22.06%
    -37.15%
    15.30%
    -0.49%
    0.98%
    -12.09%
    -1.36%
    -34.75%
    56.78%
    -7.80%
    -40.11%
    2.03%
    56.78%
    4 -3.45%
    5.16%
    -43.84%
    86.93%
    -32.02%
    8.77%
    -4.40%
    -14.56%
    -7.91%
    -7.28%
    -37.55%
    53.33%
    86.93%
    5 -9.33%
    27.07%
    -32.68%
    -42.86%
    14.04%
    -14.95%
    -15.74%
    -21.53%
    -4.90%
    -43.91%
    24.35%
    27.07%
    6 -15.06%
    -17.86%
    -50.74%
    48.58%
    5.93%
    -21.93%
    -27.49%
    13.97%
    -34.89%
    17.97%
    48.58%
    7 9.54%
    -21.62%
    -68.97%
    -5.05%
    -24.85%
    -30.81%
    9.15%
    -31.05%
    -8.12%
    9.54%
    8 5.76%
    -71.92%
    19.34%
    -14.87%
    -29.08%
    25.39%
    -14.10%
    4.64%
    25.39%
    9 -32.53%
    -75.86%
    6.59%
    -10.29%
    -47.26%
    -18.38%
    -11.88%
    6.59%
    10
    -17.22%
    -64.53%
    -28.13%
    -39.38%
    -9.78%
    -25.51%
    -9.78%
    11
    9.88%
    17.24%
    -24.72%
    -24.51%
    -1.74%
    17.24%
    12
    24.95%
    -10.66%
    -22.90%
    11.01%
    24.95%
    0.5 h = 1
    NKE UN = 39.94 / 43.50 –1 = - 8.18% T UN = 44.56 / 39.94 –1 = 11.57%
    BAC UN = 49.44 / 80.56 –1 = - 38.63% 7203 JT = 2790 / 3450 –1 = - 19.13%
    Portfolio
    1
    = 15 = Max ( - 8.18% 11.57% - 38.63% - 19.13% ) = 33.49%
    1 h = 2
    NKE UN = 59.00 / 43.50 –1 = 35.63% T UN = 51.00 / 39.94 –1 = 27.69%
    BAC UN = 71.94 / 80.56 –1 = - 10.70% 7203 JT = 3530 / 3450 –1 = 2.32%
    Portfolio
    2
    = 14 = Max ( 35.63% 27.69% - 10.70% 2.32% ) = 81.07%
    1.5 h = 3
    NKE UN = 54.69 / 43.50 –1 = 25.72% T UN = 48.75 / 39.94 –1 = 22.06%
    BAC UN = 48.25 / 80.56 –1 = - 40.11% 7203 JT = 3520 / 3450 –1 = 2.03%
    Portfolio
    3
    = 13 = Max ( 25.72% 22.06% - 40.11% 2.03% ) = 56.78%
    5.5 h = 11
    RL UN
    = 30.70 / 27.94 –1 = 9.88% 8404 JT = 238 / 203 –1 = 17.24%
    4911 JT = 1215 / 1614 –1 = - 24.72% C UN = 48.88 / 64.75 –1 = - 24.51%
    VA03 -36/51-
    7203 JT = 3390 / 3450 –1 = - 1.74%
    Portfolio
    11
    = 5 = Max ( 9.88% 17.24% - 24.72% - 24.51% - 1.74% ) = 17.24%
    6 h = 12
    RL UN = 34.91 / 27.94 –1 = 24.95% 4911 JT = 1442 / 1614 –1 = - 10.66%
    C UN = 49.92 / 64.75 –1 = - 22.90% 7203 JT = 3830 / 3450 –1 = 11.01%
    Portfolio
    12
    = 4 = Max ( 24.95% - 10.66% - 22.90% 11.01% ) = 24.95%
    =
    ∑
    =
    12
    1h
    h
    W
    × Portfolio
    h
    = [ 33.49% + 81.07% + 56.78% + + 17.24% + 24.95% ] / 12 = 33.99%
    = [ 1 + Max ( ) ]
    = 10,000 [ 1 + Max ( 33.99% 65% 23% ) ]
    = 10,000 [ 1 + Max ( 22.09% 23% ) ] = 12,300
    VA03 -37/51-
    = ( 1 +
    ∑
    =
    H
    j
    j
    CP
    1
    )
    CP
    j
    = Max ( EC
    j
    X
    j
    )
    =
    =
    =
    −
    T~j,CP
    j,%A
    X
    j
    j
    2
    1
    1
    EC
    j
    = ( ) j = 1~T
    = Min [ Return( Index
    1,j
    ) , Return( Index
    2,j
    ) ,…, Return( Index
    N,j
    ) ]
    Min [ Return( Index
    1,1
    ) , Return( Index
    2,1
    ) ,…, Return( Index
    N,1
    ) ] j=1 1
    Min [ Return( Index
    1,2
    ) , Return( Index
    2,2
    ) ,…, Return( Index
    N,2
    ) ] j=2 2
    Min [ Return( Index
    1,T
    ) , Return( Index
    2,T
    ) ,…, Return( Index
    N,T
    ) ] j=T T
    Return( Index
    i,j
    ) i j
    Return( Index
    i,j
    ) =
    1−j,i
    j,i
    Index
    Index
    -1 i =1,2,…,N j = 1,2,…,T
    T T =
    ∑
    =
    H
    i
    i
    M
    1
    H
    M
    i
    i M
    i
    = 12 / t
    mi
    t
    mi
    i 1 2 3 6
    12
    j t
    mi
    12
    t
    mi
    = 12 M
    i
    = 1 2004/12/11 1 2004/12/11
    2005/12/11 2 2005/12/11 2006/12/11 3 2006/12/11 2007/12/11
    A%
    N
    1.1997 9 15 6 H = 6 10,000
    2. S&P500 N = 2
    3. t
    mi
    = 12 M
    i
    = 12 / t
    mi
    = 12 / 12 = 1 T =
    ∑
    =
    H
    i
    i
    M
    1
    =
    ∑
    =
    6
    1
    1
    i
    = 6
    4.A% = 3% = 20%
    VA03 -38/51-
    5.
    j
    S&P500
    0 1997/9/15 919.77 14630.7
    1 1998/9/15 1023.46 7733.47
    2 1999/9/15 1344.15 13430.6
    3 2000/9/15 1494.5 16249.53
    4 2001/9/17 1132.94 9319.35
    5 2002/9/16 902.96 9505.13
    6 2003/9/15 1031.64 10992.73
    j
    Return( Index
    1,j
    ) Return( Index
    2,j
    )
    EC
    j
    X
    j
    CP
    j
    1 11.27% -47.14% 11.27% 2.25% 3.00% 3.00%
    2 31.33% 73.67% 31.33% 6.27% 3.00% 6.27%
    3 11.19% 20.99% 11.19% 2.24% 6.27% 6.27%
    4 -24.19% -42.65% 24.19% 4.84% 6.27% 6.27%
    5 -20.30% 1.99% 1.99% 0.40% 6.27% 6.27%
    6 14.25% 15.65% 14.25% 2.85% 6.27% 6.27%
    1 j = 1
    =Min[ Return( Index
    1,1
    ) , Return( Index
    2,1
    ) ]
    =Min[ 1023.46 / 919.77 - 1 , 7733.47 / 14630.70 - 1 ]
    =Min[ 11.27% , - 47.14% ] = 11.27%
    CP
    1
    = Max ( EC
    1
    , X
    1
    )
    = Max ( , A% )
    = Max ( 20% 11.27% ,3.00% )
    = Max ( 2.25% ,3.00% )
    = 3.00%
    2 j = 2
    =Min[ Return( Index
    1,2
    ) , Return( Index
    2,2
    ) ]
    =Min[ 1344.15 / 1023.46 - 1 , 13430.6 / 7733.47 - 1 ]
    =Min[ 31.33% , 73.67% ] = 31.33%
    CP
    2
    = Max ( EC
    2
    , X
    2
    )
    = Max ( , CP
    1
    )
    = Max ( 20% 31.33% , 3.00% )
    = Max ( 6.27% ,3.00% )
    = 6.27%
    6 j = 6
    =Min[ Return( Index
    1,6
    ) , Return( Index
    2,6
    ) ]
    =Min[ 1031.64 / 902.96 - 1 , 10992.73 / 9505.13 - 1 ]
    =Min[ 14.25% , 15.65% ] = 14.25%
    CP
    6
    = Max ( EC
    6
    , X
    6
    )
    = Max ( , CP
    5
    )
    = Max ( 20% 14.25% , 6.27% )
    = Max ( 2.85% ,6.27% )
    = 6.27%
    VA03 -39/51-
    = ( 1 +
    ∑
    =
    H
    j
    j
    CP
    1
    )
    = 10,000 [ 1 + 3.00% + 6.27% + 6.27% + 6.27% + 6.27% + 6.27% ]
    = 13,433
    VA03 -40/51-
    =
    h h
    h R
    h
    1.h = 1 1 R
    1
    = A%
    2.h = 2,3,…,T 2
    (1)
    ∑
    −
    =
    1h
    1t
    t
    R
    < R
    min
    h = 2,3,…,T-1 2 T-1 R
    h
    = Max [ B% , C ] C = D % E F
    h = T T R
    T
    = R
    min
    ∑
    −
    =
    1
    1
    T
    t
    t
    R
    (2)
    ∑
    −
    =
    1
    1
    h
    t
    t
    R
    R
    min
    R
    h
    = G
    T T =
    ∑
    =
    H
    i
    i
    M
    1
    H
    M
    i
    i M
    i
    = 12 / t
    mi
    t
    mi
    i 1 2 3 6
    12
    h t
    mi
    12
    t
    mi
    = 12 M
    i
    = 1 2004/12/11 1
    2004/12/11 2005/12/11 2 2005/12/11 2006/12/11 3
    2006/12/11 2007/12/11
    R
    min
    A%, B%, D%, E, R
    min
    F, G
    1.1997 9 15 6 H = 6 10,000
    2. 1 t
    mi
    = 12 M
    i
    = 12 / t
    mi
    = 12 / 12 = 1 T =
    ∑
    =
    H
    i
    i
    M
    1
    =
    ∑
    =
    6
    1i
    1
    = 6
    3.A% = 6% B% = 0% D% = 7% E = 2
    4.R
    min
    = 18%
    5.F 5 12 Libor G 12 Libor
    6.
    VA03 -41/51-
    h
    5
    5 12
    Libor
    12
    Libor
    R
    h
    ∑
    =
    h
    t
    t
    R
    1
    1
    1998/9/15
    6.00%
    6.00%
    2
    1999/9/15
    1999/9/8 6.07% 1998/9/15
    5.25% 0.00%
    6.00%
    3
    2000/9/15
    2000/9/8 6.88% 1999/9/15
    6.07% 0.00%
    6.00%
    4
    2001/9/17
    2001/9/4 3.59% 2000/9/15
    6.84% 0.00%
    6.00%
    5
    2002/9/16
    2002/9/9 1.90% 2001/9/17
    3.05% 3.20%
    9.20%
    6
    2003/9/15
    2002/9/16
    1.93% 8.80%
    18.00%
    1 h = 1
    R
    1
    =A% = 6.00%
    1 = 10,000 6.00% = 600
    2 h = 2
    ∑
    −
    =
    12
    1t
    t
    R
    = R
    1
    = 6.00% < 18.00%
    R
    2
    = Max [ 0%, 7% 2 5 12 Libor ]
    = Max [ 0%, 7% 2 6.07%, ] = 0.00%
    2 = 10,000 0.00% = 0
    5 h = 5
    ∑
    −
    =
    15
    1t
    t
    R
    = R
    1
    + R
    2
    + R
    3
    + R
    4
    = 6.00% + 0.00% + 0.00% + 0.00% = 6.00% < 18.00%
    R
    5
    = Max [ 0%, 7% 2 5 12 Libor ]
    = Max [ 0%, 7% 2 1.90%] = 3.20%
    5 = 10,000 3.20% = 320
    6 h = 6
    h = 6 = T
    ∑
    −
    =
    16
    1t
    t
    R
    = R
    1
    + R
    2
    + R
    3
    + R
    4
    + R
    5
    = 6.00% + 0.00% + 0.00% + 0.00% + 3.20% = 9.20% < 18.00%
    R
    6
    = R
    min
    ∑
    −
    =
    16
    1t
    t
    R
    = 18.00% 9.20% = 8.80%
    6 = 10,000 8.80% = 880
    = = 10,000
    VA03 -42/51-
    = [ 1 + ]
    h h
    h R
    h
    1.h = 1 1 R
    1
    = A%
    2.h = 2,…,T 2 R
    h
    = Max [B
    h
    % C
    h
    % + PR
    h
    % Portfolio
    h
    ]
    Portfolio
    h
    h Portfolio
    h
    = h t
    nh
    t
    nh
    t
    mi
    Portfolio
    h
    = Min [
    h
    (t) t = 1,2,…, t
    mi
    / t
    nh
    ]
    h
    (t) = Abs [( h t dh / h t-1
    dh ) 1] h 0 dh
    h-1 t
    mi
    / t
    nh
    dh
    Abs
    T T =
    ∑
    =
    H
    i
    i
    M
    1
    H
    M
    i
    i M
    i
    = 12 / t
    mi
    t
    mi
    i 1 2 3 6
    12
    t
    nh
    h 1 2
    3 6 12
    h t
    mi
    12
    t
    mi
    = 12 M
    i
    = 1 2004/12/11 1
    2004/12/11 2005/12/11 2 2005/12/11 2006/12/11 3
    2006/12/11 2007/12/11
    A%, B
    h
    %, C
    h
    %, PR
    h
    %, dh
    1.2000 12 20 6 H = 6 10,000
    2. 1 t
    mi
    = 12 M
    i
    = 12 / t
    mi
    = 12 / 12 = 1 T =
    ∑
    =
    H
    i
    i
    M
    1
    =
    ∑
    =
    6
    1
    1
    i
    = 6
    3.A% = 8% B
    h
    % = 3% C
    h
    % = 0% PR
    h
    % = 50% h = 2,3,…,6 dh = 5 0%
    VA03 -43/51-
    4. t
    nh
    = 3 h = 1,…,6 5
    h
    1 5
    2 5
    3 5
    4 5
    1 2001/12/13
    2 2002/3/13 2002/6/13 2002/9/13 2002/12/13
    3 2003/3/13 2003/6/13 2003/9/15 2003/12/15
    4 2004/3/15 2004/6/14 2004/9/13 2004/12/13
    5 2005/3/14 2005/6/13 2005/9/12 2005/12/13
    6 2006/3/13 2006/6/13 2006/9/13 2006/12/13
    5. 5
    h
    1 5
    2 5
    3 5
    4 5
    1 11529.50
    2 11217.50 11119.33 9650.97 9728.43
    3 8787.45 9855.64 10992.73 12520.17
    4 12919.41 12076.57 13139.57 13886.16
    5 13906.85 13952.02 15199.79 14942.62
    6 15542.07 15234.42 17210.04 18718.19
    h
    h
    (1)
    h
    (2)
    h
    (3)
    h
    (4)
    Portfolio
    h
    R
    h
    1 8.00%
    2 2.71% 0.88% 13.21% 0.80% 0.80% 3.00%
    3 9.67% 12.16% 11.54% 13.90% 9.67% 4.84%
    4 3.19% 6.52% 8.80% 5.68% 3.19% 3.00%
    5 0.15% 0.32% 8.94% 1.69% 0.15% 3.00%
    6 4.01% 1.98% 12.97% 8.76% 1.98% 3.00%
    1 h = 1
    R
    1
    = A% = 8.00%
    1 = 10,000 8.00% = 800
    2 h = 2
    2
    (1)
    = Abs [( 2 1 5 / 2 0 5 )
    1]
    = Abs [( 2 1 5 / 1 4 5 )
    1]
    = Abs [( 11217.50 / 11529.50 ) 1] = 2.71%
    2
    (2)
    = Abs [( 2 2 5 / 2 1 5 )
    1]
    = Abs [( 11119.33 / 11217.50 ) 1] = 0.88%
    VA03 -44/51-
    2
    (4)
    = Abs [( 2 4 5 / 2 3 5 )
    1]
    = Abs [( 9728.43 / 9650.97 ) 1] = 0.80%
    Portfolio
    2
    = Min [
    2
    (t) t = 1,2,…,4 ] = Min [2.71% 0.88% 13.21% 0.80% ] = 0.80%
    R
    2
    = Max [B
    2
    % C
    2
    % + PR
    2
    % Portfolio
    2
    ] = Max [3% 0% + 50% 0.80% ] = 3.00%
    2 = 10,000 3.00% = 300
    6 h = 6
    6
    (1)
    = Abs [( 6 1 5 / 6 0 5 )
    1]
    = Abs [( 6 1 5 / 5 4 5 )
    1]
    = Abs [( 15542.07 / 14942.62 ) 1] = 4.01%
    6
    (2)
    = Abs [( 6 2 5 / 6 1 5 )
    1]
    = Abs [( 15234.42 / 15542.07 ) 1] = 1.98%
    6
    (4)
    = Abs [( 6 4 5 / 6 3 5 )
    1]
    = Abs [( 18718.19 / 17210.04 ) 1] = 8.76%
    Portfolio
    6
    = Min [
    6
    (t) t = 1,2,…,4 ] = Min [4.01% 1.98% 12.97% 8.76% ] = 1.98%
    R
    6
    = Max [B
    6
    % C
    6
    % + PR
    6
    % Portfolio
    6
    ] = Max [3% 0% + 50% 1.98% ] = 3.00%
    6 = 10,000 3.00% = 300
    = [ 1 + ]
    = 10,000 [ 1 + 0% ] = 10,000
    VA03 -45/51-
    =
    h h
    h R
    h
    1.h = 1 1 R
    h
    = Min{Max [(A
    h
    % + PR
    h
    % Portfolio
    h
    )
    h
    h
    D
    d
    , Floor
    h
    % ] , Cap
    h
    % }
    2.h = 2,3,…,T 2
    (1)
    ∑
    −
    =
    1
    1
    h
    t
    t
    R
    < R
    Target
    R
    Target
    R
    h
    = Min{Max [(A
    h
    % + PR
    h
    % Portfolio
    h
    )
    h
    h
    D
    d
    , Floor
    h
    % ] , Cap
    h
    %, R
    Target
    ∑
    −
    =
    1
    1
    h
    t
    t
    R
    }
    (2)
    ∑
    −
    =
    1
    1
    h
    t
    t
    R
    R
    Target
    R
    Target
    R
    h
    =
    i
    Start
    h
    M
    tmLibor
    h (Portfolio
    h
    ) Portfolio
    h
    = [X]CMS
    h
    [Y]CMS
    h
    T T =
    ∑
    =
    H
    i
    i
    M
    1
    H
    M
    i
    i M
    i
    = 12 / t
    mi
    t
    mi
    i 1 2 3 6
    12
    h t
    mi
    12
    t
    mi
    = 12 M
    i
    = 1 2004/12/11 1
    2004/12/11 2005/12/10 2 2005/12/11 2006/12/10 3
    2006/12/11 2007/12/10
    A
    h
    %, PR
    h
    %, Floor
    h
    %, Cap
    h
    % h
    R
    Target
    D
    h
    h
    d
    h
    h
    d
    h
    Spread
    Barrier
    h
    d
    h
    Spread
    d
    h
    CMSX ][
    d
    h
    CMSY ][
    d
    h
    d
    h
    d
    h
    CMSYCMSXSpread ][][ −=
    d
    h
    CMSX ][
    h d X
    d
    h
    CMSY ][
    h d Y
    Y X X Y
    Barrier
    h
    h
    [X]CMS
    h
    h X
    [Y]CMS
    h
    h Y
    Start
    h
    tmLibor
    h t
    mi
    VA03 -46/51-
    Libor
    Start
    h
    mLibor3
    h 3
    Start
    h
    mLibor6
    h 6
    Start
    h
    mLibor12
    h
    12
    Constant
    Maturity Swap CMS
    1.1998 7 1 7 H 7 10,000
    2. 1 t
    mi
    = 12 M
    i
    = 12 / t
    mi
    = 12 / 12 = 1 T =
    ∑
    =
    H
    i
    i
    M
    1
    =
    ∑
    =
    7
    1
    1
    i
    = 7
    3.A
    h
    % = 7% PR
    h
    % = 100% Floor
    h
    % = 1% Cap
    h
    % = 10% h = 1,2,…,7 R
    Target
    = 20 X = 10 Y = 2
    4. [10]CMS
    h
    [2]CMS
    h
    Barrier
    h
    h
    Barrier
    h
    5
    [10]CMS
    h
    [2]CMS
    h
    Portfolio
    h
    1
    1999/6/30
    0%~0.75%
    1999/6/23 6.77% 6.09%
    0.68%
    2
    2000/6/30
    0%~1.00%
    2000/6/23 7.35% 7.27%
    0.08%
    3
    2001/7/2
    0%~1.50%
    2001/6/25 5.99% 4.47%
    1.52%
    4
    2002/7/1
    0%~2.00%
    2002/6/24 5.26% 3.22%
    2.04%
    5
    2003/6/30
    0%~2.00%
    2003/6/23 3.71% 1.36%
    2.35%
    6
    2004/6/30
    0%~2.00%
    2004/6/23 5.20% 3.20%
    2.00%
    7
    2005/6/30
    0%~2.00%
    2005/6/23 4.36% 3.98%
    0.38%
    Portfolio
    1
    = [10]CMS
    1
    [2]CMS
    1
    = 6.77% - 6.09% = 0.68%
    Portfolio
    2
    = [10]CMS
    2
    [2]CMS
    2
    = 7.35% - 7.27% = 0.08%
    Portfolio
    3
    = [10]CMS
    3
    [2]CMS
    3
    = 5.99% - 4.47% = 1.52%
    5.
    = = 10,000
    6.
    (1) 1998/7/1~1999/6/30 h = 1
    D
    1
    = = 261
    d
    1
    =
    d
    Spread
    1
    0%~0.75%
    = 248
    VA03 -47/51-
    d
    CMS
    1
    ]10[
    d
    CMS
    1
    ]2[
    d
    Spread
    1
    1 2 3 4
    d
    CMS
    1
    ]10[
    d
    CMS
    1
    ]2[
    d
    Spread
    1
    d
    CMS
    1
    ]10[
    d
    CMS
    1
    ]2[
    d
    Spread
    1
    d
    CMS
    1
    ]10[
    d
    CMS
    1
    ]2[
    d
    Spread
    1
    d
    CMS
    1
    ]10[
    d
    CMS
    1
    ]2[
    d
    Spread
    1
    1 1998/7/1
    6.01% 5.86% 0.15%
    1998/10/1
    5.20% 4.75% 0.45%
    1999/1/1
    5.45% 5.12% 0.33%
    1999/4/5
    5.98% 5.42% 0.56%
    2 1998/7/2
    5.95% 5.81% 0.14%
    1998/10/2
    5.17% 4.72% 0.45%
    1999/1/4
    5.45% 5.11% 0.34%
    1999/4/6
    5.95% 5.41% 0.54%
    3 1998/7/3
    5.97% 5.82% 0.15%
    1998/10/5
    5.17% 4.71% 0.46%
    1999/1/5
    5.47% 5.14% 0.33%
    1999/4/7
    5.91% 5.39% 0.52%
    4 1998/7/6
    5.95% 5.80% 0.15%
    1998/10/6
    5.18% 4.71% 0.47%
    1999/1/6
    5.46% 5.14% 0.32%
    1999/4/8
    5.88% 5.38% 0.50%
    5 1998/7/7
    5.96% 5.79% 0.17%
    1998/10/7
    5.21% 4.79% 0.42%
    1999/1/7
    5.48% 5.13% 0.35%
    1999/4/9
    5.81% 5.34% 0.47%
    6 1998/7/8
    5.96% 5.80% 0.16%
    1998/10/8
    5.23% 4.65% 0.58%
    1999/1/8
    5.53% 5.15% 0.38%
    1999/4/12
    5.78% 5.31% 0.47%
    7 1998/7/9
    5.96% 5.81% 0.15%
    1998/10/9
    5.49% 4.75% 0.74%
    1999/1/11
    5.64% 5.24% 0.40%
    1999/4/13
    5.83% 5.37% 0.46%
    8 1998/7/10
    5.97% 5.79% 0.18%
    1998/10/12
    5.70% 4.95% 0.75%
    1999/1/12
    5.68% 5.29% 0.39%
    1999/4/14
    5.85% 5.37% 0.48%
    9 1998/7/13
    5.96% 5.78% 0.18%
    1998/10/13
    5.63% 4.86% 0.77%
    1999/1/13
    5.52% 5.10% 0.42%
    1999/4/15
    5.87% 5.40% 0.47%
    10 1998/7/14
    6.04% 5.83% 0.21%
    1998/10/14
    5.61% 4.79% 0.82%
    1999/1/14
    5.53% 5.10% 0.43%
    1999/4/16
    5.93% 5.41% 0.52%
    11 1998/7/15
    6.03% 5.83% 0.20%
    1998/10/15
    5.49% 4.73% 0.76%
    1999/1/15
    5.47% 5.07% 0.40%
    1999/4/19
    5.96% 5.47% 0.49%
    12 1998/7/16
    6.07% 5.84% 0.23%
    1998/10/16
    5.37% 4.51% 0.86%
    1999/1/18
    5.50% 5.11% 0.39%
    1999/4/20
    5.90% 5.41% 0.49%
    13 1998/7/17
    6.05% 5.84% 0.21%
    1998/10/19
    5.29% 4.50% 0.79%
    1999/1/19
    5.51% 5.11% 0.40%
    1999/4/21
    5.88% 5.40% 0.48%
    14 1998/7/20
    6.06% 5.84% 0.22%
    1998/10/20
    5.30% 4.55% 0.75%
    1999/1/20
    5.55% 5.17% 0.38%
    1999/4/22
    5.91% 5.43% 0.48%
    15 1998/7/21
    6.01% 5.82% 0.19%
    1998/10/21
    5.38% 4.58% 0.80%
    1999/1/21
    5.46% 5.17% 0.29%
    1999/4/23
    5.96% 5.47% 0.49%
    16 1998/7/22
    6.02% 5.84% 0.18%
    1998/10/22
    5.40% 4.64% 0.76%
    1999/1/22
    5.44% 5.08% 0.36%
    1999/4/26
    6.00% 5.48% 0.52%
    17 1998/7/23
    6.02% 5.84% 0.18%
    1998/10/23
    5.43% 4.64% 0.79%
    1999/1/25
    5.43% 5.07% 0.36%
    1999/4/27
    5.96% 5.45% 0.51%
    18 1998/7/24
    6.01% 5.84% 0.17%
    1998/10/26
    5.50% 4.68% 0.82%
    1999/1/26
    5.45% 5.08% 0.37%
    1999/4/28
    5.97% 5.46% 0.51%
    19 1998/7/27
    6.02% 5.86% 0.16%
    1998/10/27
    5.47% 4.67% 0.80%
    1999/1/27
    5.48% 5.13% 0.35%
    1999/4/29
    5.98% 5.47% 0.51%
    20 1998/7/28
    6.03% 5.85% 0.18%
    1998/10/28
    5.41% 4.61% 0.80%
    1999/1/28
    5.48% 5.11% 0.37%
    1999/4/30
    5.90% 5.39% 0.51%
    21 1998/7/29
    6.05% 5.86% 0.19%
    1998/10/29
    5.40% 4.62% 0.78%
    1999/1/29
    5.40% 5.13% 0.27%
    1999/5/3
    6.05% 5.55% 0.50%
    22 1998/7/30
    6.07% 5.89% 0.18%
    1998/10/30
    5.32% 4.58% 0.74%
    1999/2/1
    5.45% 5.14% 0.31%
    1999/5/4
    6.06% 5.51% 0.55%
    23 1998/7/31
    6.05% 5.87% 0.18%
    1998/11/2
    5.40% 4.71% 0.69%
    1999/2/2
    5.52% 5.18% 0.34%
    1999/5/5
    6.09% 5.53% 0.56%
    24 1998/8/3
    6.05% 5.87% 0.18%
    1998/11/3
    5.50% 4.73% 0.77%
    1999/2/3
    5.55% 5.21% 0.34%
    1999/5/6
    6.05% 5.51% 0.54%
    25 1998/8/4
    6.03% 5.85% 0.18%
    1998/11/4
    5.53% 4.80% 0.73%
    1999/2/4
    5.59% 5.22% 0.37%
    1999/5/7
    6.16% 5.59% 0.57%
    26 1998/8/5
    6.00% 5.82% 0.18%
    1998/11/5
    5.54% 4.95% 0.59%
    1999/2/5
    5.63% 5.24% 0.39%
    1999/5/10
    6.20% 5.57% 0.63%
    27 1998/8/6
    6.00% 5.81% 0.19%
    1998/11/6
    5.60% 4.97% 0.63%
    1999/2/8
    5.70% 5.30% 0.40%
    1999/5/11
    6.18% 5.57% 0.61%
    28 1998/8/7
    6.01% 5.79% 0.22%
    1998/11/9
    5.67% 5.12% 0.55%
    1999/2/9
    5.66% 5.29% 0.37%
    1999/5/12
    6.24% 5.58% 0.66%
    29 1998/8/10
    6.00% 5.79% 0.21%
    1998/11/10
    5.53% 5.01% 0.52%
    1999/2/10
    5.69% 5.26% 0.43%
    1999/5/13
    6.16% 5.56% 0.60%
    30 1998/8/11
    5.95% 5.72% 0.23%
    1998/11/11
    5.54% 5.03% 0.51%
    1999/2/11
    5.68% 5.27% 0.41%
    1999/5/14
    6.11% 5.50% 0.61%
    31 1998/8/12
    6.03% 5.77% 0.26%
    1998/11/12
    5.49% 5.01% 0.48%
    1999/2/12
    5.73% 5.30% 0.43%
    1999/5/17
    6.34% 5.68% 0.66%
    32 1998/8/13
    6.00% 5.73% 0.27%
    1998/11/13
    5.50% 4.99% 0.51%
    1999/2/15
    5.83% 5.39% 0.44%
    1999/5/18
    6.34% 5.69% 0.65%
    33 1998/8/14
    6.06% 5.77% 0.29%
    1998/11/16
    5.57% 5.07% 0.50%
    1999/2/16
    5.79% 5.39% 0.40%
    1999/5/19
    6.35% 5.76% 0.59%
    34 1998/8/17
    5.99% 5.71% 0.28%
    1998/11/17
    5.59% 5.05% 0.54%
    1999/2/17
    5.81% 5.39% 0.42%
    1999/5/20
    6.33% 5.75% 0.58%
    35 1998/8/18
    6.03% 5.75% 0.28%
    1998/11/18
    5.56% 5.03% 0.53%
    1999/2/18
    5.74% 5.35% 0.39%
    1999/5/21
    6.34% 5.76% 0.58%
    36 1998/8/19
    6.04% 5.77% 0.27%
    1998/11/19
    5.60% 5.05% 0.55%
    1999/2/19
    5.80% 5.37% 0.43%
    1999/5/24
    6.31% 5.74% 0.57%
    37 1998/8/20
    6.07% 5.79% 0.28%
    1998/11/20
    5.55% 5.11% 0.44%
    1999/2/22
    5.84% 5.42% 0.42%
    1999/5/25
    6.30% 5.73% 0.57%
    38 1998/8/21
    6.01% 5.70% 0.31%
    1998/11/23
    5.53% 5.12% 0.41%
    1999/2/23
    5.78% 5.37% 0.41%
    1999/5/26
    6.30% 5.73% 0.57%
    39 1998/8/24
    6.06% 5.70% 0.36%
    1998/11/24
    5.60% 5.15% 0.45%
    1999/2/24
    5.85% 5.49% 0.36%
    1999/5/27
    6.33% 5.79% 0.54%
    40 1998/8/25
    6.08% 5.67% 0.41%
    1998/11/25
    5.57% 5.12% 0.45%
    1999/2/25
    5.91% 5.53% 0.38%
    1999/5/28
    6.43% 5.89% 0.54%
    41 1998/8/26
    6.04% 5.66% 0.38%
    1998/11/26
    5.59% 5.20% 0.39%
    1999/2/26
    6.02% 5.61% 0.41%
    1999/5/31
    6.42% 5.87% 0.55%
    42 1998/8/27
    5.95% 5.59% 0.36%
    1998/11/27
    5.56% 5.18% 0.38%
    1999/3/1
    6.00% 5.59% 0.41%
    1999/6/1
    6.46% 5.91% 0.55%
    43 1998/8/28
    5.90% 5.52% 0.38%
    1998/11/30
    5.57% 5.15% 0.42%
    1999/3/2
    6.12% 5.67% 0.45%
    1999/6/2
    6.56% 6.01% 0.55%
    44 1998/8/31
    5.93% 5.54% 0.39%
    1998/12/1
    5.50% 5.06% 0.44%
    1999/3/3
    6.07% 5.63% 0.44%
    1999/6/3
    6.58% 5.98% 0.60%
    45 1998/9/1
    5.89% 5.46% 0.43%
    1998/12/2
    5.49% 5.03% 0.46%
    1999/3/4
    6.13% 5.66% 0.47%
    1999/6/4
    6.59% 6.00% 0.59%
    46 1998/9/2
    5.89% 5.49% 0.40%
    1998/12/3
    5.41% 4.93% 0.48%
    1999/3/5
    6.15% 5.68% 0.47%
    1999/6/7
    6.58% 6.01% 0.57%
    47 1998/9/3
    5.82% 5.43% 0.39%
    1998/12/4
    5.42% 4.93% 0.49%
    1999/3/8
    6.07% 5.58% 0.49%
    1999/6/8
    6.57% 5.98% 0.59%
    48 1998/9/4
    5.81% 5.50% 0.31%
    1998/12/7
    5.47% 5.02% 0.45%
    1999/3/9
    6.07% 5.61% 0.46%
    1999/6/9
    6.60% 6.00% 0.60%
    49 1998/9/7
    5.78% 5.43% 0.35%
    1998/12/8
    5.48% 5.06% 0.42%
    1999/3/10
    5.97% 5.50% 0.47%
    1999/6/10
    6.69% 6.07% 0.62%
    50 1998/9/8
    5.77% 5.42% 0.35%
    1998/12/9
    5.41% 5.01% 0.40%
    1999/3/11
    6.00% 5.54% 0.46%
    1999/6/11
    6.72% 6.08% 0.64%
    51 1998/9/9
    5.69% 5.32% 0.37%
    1998/12/10
    5.40% 5.01% 0.39%
    1999/3/12
    5.99% 5.53% 0.46%
    1999/6/14
    6.81% 6.17% 0.64%
    52 1998/9/10
    5.67% 5.24% 0.43%
    1998/12/11
    5.34% 4.94% 0.40%
    1999/3/15
    5.93% 5.47% 0.46%
    1999/6/15
    6.76% 6.10% 0.66%
    53 1998/9/11
    5.53% 5.12% 0.41%
    1998/12/14
    5.43% 4.99% 0.44%
    1999/3/16
    5.92% 5.46% 0.46%
    1999/6/16
    6.78% 6.08% 0.70%
    54 1998/9/14
    5.63% 5.18% 0.45%
    1998/12/15
    5.43% 4.95% 0.48%
    1999/3/17
    5.89% 5.44% 0.45%
    1999/6/17
    6.74% 6.03% 0.71%
    55 1998/9/15
    5.63% 5.17% 0.46%
    1998/12/16
    5.45% 5.00% 0.45%
    1999/3/18
    5.91% 5.46% 0.45%
    1999/6/18
    6.58% 5.91% 0.67%
    56 1998/9/16
    5.66% 5.23% 0.43%
    1998/12/17
    5.43% 4.98% 0.45%
    1999/3/19
    5.89% 5.43% 0.46%
    1999/6/21
    6.61% 5.96% 0.65%
    57 1998/9/17
    5.61% 5.16% 0.45%
    1998/12/18
    5.44% 5.00% 0.44%
    1999/3/22
    5.96% 5.50% 0.46%
    1999/6/22
    6.72% 6.04% 0.68%
    58 1998/9/18
    5.61% 5.19% 0.42%
    1998/12/21
    5.45% 5.04% 0.41%
    1999/3/23
    5.99% 5.51% 0.48%
    1999/6/23
    6.77% 6.09% 0.68%
    59 1998/9/21
    5.47% 5.07% 0.40%
    1998/12/22
    5.53% 5.12% 0.41%
    1999/3/24
    5.94% 5.45% 0.49%
    1999/6/24
    6.83% 6.09% 0.74%
    60 1998/9/22
    5.55% 5.18% 0.37%
    1998/12/23
    5.54% 5.11% 0.43%
    1999/3/25
    5.94% 5.43% 0.51%
    1999/6/25
    6.85% 6.14% 0.71%
    61 1998/9/23
    5.52% 5.11% 0.41%
    1998/12/24
    5.59% 5.21% 0.38%
    1999/3/26
    6.00% 5.47% 0.53%
    1999/6/28
    6.86% 6.16% 0.70%
    62 1998/9/24
    5.51% 5.04% 0.47%
    1998/12/25
    5.64% 5.27% 0.37%
    1999/3/29
    5.98% 5.43% 0.55%
    1999/6/29
    6.80% 6.12% 0.68%
    63 1998/9/25
    5.35% 4.88% 0.47%
    1998/12/28
    5.62% 5.27% 0.35%
    1999/3/30
    6.05% 5.47% 0.58%
    1999/6/30
    6.62% 6.15% 0.47%
    64 1998/9/28
    5.38% 4.92% 0.46%
    1998/12/29
    5.60% 5.23% 0.37%
    1999/3/31
    6.01% 5.44% 0.57%
    65 1998/9/29
    5.39% 4.94% 0.45%
    1998/12/30
    5.53% 5.14% 0.39%
    1999/4/1
    6.01% 5.41% 0.60%
    66 1998/9/30
    5.33% 4.90% 0.43%
    1998/12/31
    5.48% 5.14% 0.34%
    1999/4/2
    6.08% 5.48% 0.60%
    R
    1
    = Min{Max [(7% + 100% Portfolio
    1
    )
    1
    1
    D
    d
    , 1% ] , 10 % }
    = Min{Max [(7% + 100%
    0.68%
    )
    261
    248
    , 1% ] , 10 % } = 7.30%
    1 = 10,000 7.30% = 730
    VA03 -48/51-
    (2) 1999/7/1~2000/6/30 h = 2
    D
    2
    = = 262
    d
    2
    =
    d
    Spread
    2
    0%~1.00% = 262
    d
    CMS
    2
    ]10[
    d
    CMS
    2
    ]2[
    d
    Spread
    2
    1 2 3 4
    d
    CMS
    2
    ]10[
    d
    CMS
    2
    ]2[
    d
    Spread
    2
    d
    CMS
    2
    ]10[
    d
    CMS
    2
    ]2[
    d
    Spread
    2
    d
    CMS
    2
    ]10[
    d
    CMS
    2
    ]2[
    d
    Spread
    2
    d
    CMS
    2
    ]10[
    d
    CMS
    2
    ]2[
    d
    Spread
    2
    1 1999/7/1
    6.69% 6.04% 0.65%
    1999/10/1
    6.90% 6.25% 0.65%
    2000/1/3
    7.23% 6.80% 0.43%
    2000/4/4
    7.25% 7.15% 0.10%
    2 1999/7/2
    6.67% 6.06% 0.61%
    1999/10/4
    6.93% 6.31% 0.62%
    2000/1/4
    7.33% 6.90% 0.43%
    2000/4/5
    7.14% 6.95% 0.19%
    3 1999/7/5
    6.66% 6.04% 0.62%
    1999/10/5
    6.88% 6.29% 0.59%
    2000/1/5
    7.31% 6.86% 0.45%
    2000/4/6
    7.19% 7.02% 0.17%
    4 1999/7/6
    6.70% 6.05% 0.65%
    1999/10/6
    6.95% 6.41% 0.54%
    2000/1/6
    7.34% 6.86% 0.48%
    2000/4/7
    7.24% 7.08% 0.16%
    5 1999/7/7
    6.74% 6.09% 0.65%
    1999/10/7
    6.97% 6.47% 0.50%
    2000/1/7
    7.33% 6.87% 0.46%
    2000/4/10
    7.13% 7.03% 0.10%
    6 1999/7/8
    6.67% 6.10% 0.57%
    1999/10/8
    6.93% 6.43% 0.50%
    2000/1/10
    7.29% 6.89% 0.40%
    2000/4/11
    7.15% 6.97% 0.18%
    7 1999/7/9
    6.67% 6.06% 0.61%
    1999/10/11
    6.94% 6.42% 0.52%
    2000/1/11
    7.35% 6.91% 0.44%
    2000/4/12
    7.22% 7.07% 0.15%
    8 1999/7/12
    6.60% 6.08% 0.52%
    1999/10/12
    6.95% 6.44% 0.51%
    2000/1/12
    7.43% 6.95% 0.48%
    2000/4/13
    7.27% 7.07% 0.20%
    9 1999/7/13
    6.59% 6.02% 0.57%
    1999/10/13
    6.90% 6.42% 0.48%
    2000/1/13
    7.44% 6.85% 0.59%
    2000/4/14
    7.24% 7.07% 0.17%
    10 1999/7/14
    6.62% 6.02% 0.60%
    1999/10/14
    6.98% 6.47% 0.51%
    2000/1/14
    7.40% 6.93% 0.47%
    2000/4/17
    7.18% 6.93% 0.25%
    11 1999/7/15
    6.63% 6.04% 0.59%
    1999/10/15
    7.03% 6.52% 0.51%
    2000/1/17
    7.43% 6.95% 0.48%
    2000/4/18
    7.20% 6.99% 0.21%
    12 1999/7/16
    6.56% 6.05% 0.51%
    1999/10/18
    7.00% 6.46% 0.54%
    2000/1/18
    7.45% 6.98% 0.47%
    2000/4/19
    7.23% 7.00% 0.23%
    13 1999/7/19
    6.56% 6.00% 0.56%
    1999/10/19
    7.04% 6.50% 0.54%
    2000/1/19
    7.50% 6.98% 0.52%
    2000/4/20
    7.20% 7.00% 0.20%
    14 1999/7/20
    6.53% 6.01% 0.52%
    1999/10/20
    7.06% 6.55% 0.51%
    2000/1/20
    7.50% 6.99% 0.51%
    2000/4/21
    7.21% 7.03% 0.18%
    15 1999/7/21
    6.55% 5.93% 0.62%
    1999/10/21
    7.05% 6.54% 0.51%
    2000/1/21
    7.52% 6.99% 0.53%
    2000/4/24
    7.21% 7.03% 0.18%
    16 1999/7/22
    6.67% 5.95% 0.72%
    1999/10/22
    7.07% 6.51% 0.56%
    2000/1/24
    7.48% 6.97% 0.51%
    2000/4/25
    7.24% 7.05% 0.19%
    17 1999/7/23
    6.73% 6.08% 0.65%
    1999/10/25
    7.11% 6.56% 0.55%
    2000/1/25
    7.42% 6.93% 0.49%
    2000/4/26
    7.29% 7.12% 0.17%
    18 1999/7/26
    6.84% 6.16% 0.68%
    1999/10/26
    7.11% 6.56% 0.55%
    2000/1/26
    7.39% 6.94% 0.45%
    2000/4/27
    7.32% 7.13% 0.19%
    19 1999/7/27
    6.80% 6.16% 0.64%
    1999/10/27
    7.10% 6.56% 0.54%
    2000/1/27
    7.38% 6.96% 0.42%
    2000/4/28
    7.43% 7.28% 0.15%
    20 1999/7/28
    6.77% 6.14% 0.63%
    1999/10/28
    7.06% 6.55% 0.51%
    2000/1/28
    7.44% 6.99% 0.45%
    2000/5/1
    7.42% 7.32% 0.10%
    21 1999/7/29
    6.86% 6.15% 0.71%
    1999/10/29
    6.95% 6.40% 0.55%
    2000/1/31
    7.48% 7.12% 0.36%
    2000/5/2
    7.46% 7.35% 0.11%
    22 1999/7/30
    6.90% 6.24% 0.66%
    1999/11/1
    6.92% 6.40% 0.52%
    2000/2/1
    7.48% 7.12% 0.36%
    2000/5/3
    7.51% 7.36% 0.15%
    23 1999/8/2
    6.94% 6.31% 0.63%
    1999/11/2
    6.90% 6.38% 0.52%
    2000/2/2
    7.48% 7.14% 0.34%
    2000/5/4
    7.66% 7.43% 0.23%
    24 1999/8/3
    6.99% 6.34% 0.65%
    1999/11/3
    6.92% 6.39% 0.53%
    2000/2/3
    7.52% 7.20% 0.32%
    2000/5/5
    7.70% 7.46% 0.24%
    25 1999/8/4
    6.98% 6.27% 0.71%
    1999/11/4
    6.81% 6.32% 0.49%
    2000/2/4
    7.39% 7.15% 0.24%
    2000/5/8
    7.79% 7.55% 0.24%
    26 1999/8/5
    6.89% 6.32% 0.57%
    1999/11/5
    6.81% 6.28% 0.53%
    2000/2/7
    7.49% 7.23% 0.26%
    2000/5/9
    7.83% 7.58% 0.25%
    27 1999/8/6
    7.09% 6.32% 0.77%
    1999/11/8
    6.78% 6.25% 0.53%
    2000/2/8
    7.48% 7.21% 0.27%
    2000/5/10
    7.80% 7.57% 0.23%
    28 1999/8/9
    7.20% 6.44% 0.76%
    1999/11/9
    6.78% 6.24% 0.54%
    2000/2/9
    7.44% 7.21% 0.23%
    2000/5/11
    7.72% 7.49% 0.23%
    29 1999/8/10
    7.22% 6.52% 0.70%
    1999/11/10
    6.77% 6.26% 0.51%
    2000/2/10
    7.47% 7.21% 0.26%
    2000/5/12
    7.72% 7.53% 0.19%
    30 1999/8/11
    7.16% 6.46% 0.70%
    1999/11/11
    6.81% 6.32% 0.49%
    2000/2/11
    7.56% 7.20% 0.36%
    2000/5/15
    7.83% 7.63% 0.20%
    31 1999/8/12
    7.15% 6.50% 0.65%
    1999/11/12
    6.78% 6.31% 0.47%
    2000/2/14
    7.54% 7.15% 0.39%
    2000/5/16
    7.81% 7.62% 0.19%
    32 1999/8/13
    7.03% 6.50% 0.53%
    1999/11/15
    6.74% 6.28% 0.46%
    2000/2/15
    7.52% 7.14% 0.38%
    2000/5/17
    7.76% 7.65% 0.11%
    33 1999/8/16
    6.96% 6.39% 0.57%
    1999/11/16
    6.72% 6.28% 0.44%
    2000/2/16
    7.55% 7.18% 0.37%
    2000/5/18
    7.81% 7.63% 0.18%
    34 1999/8/17
    6.85% 6.37% 0.48%
    1999/11/17
    6.78% 6.35% 0.43%
    2000/2/17
    7.54% 7.17% 0.37%
    2000/5/19
    7.89% 7.64% 0.25%
    35 1999/8/18
    6.85% 6.27% 0.58%
    1999/11/18
    6.84% 6.41% 0.43%
    2000/2/18
    7.54% 7.26% 0.28%
    2000/5/22
    7.81% 7.59% 0.22%
    36 1999/8/19
    6.85% 6.26% 0.59%
    1999/11/19
    6.81% 6.39% 0.42%
    2000/2/21
    7.51% 7.21% 0.30%
    2000/5/23
    7.78% 7.60% 0.18%
    37 1999/8/20
    6.92% 6.24% 0.68%
    1999/11/22
    6.87% 6.43% 0.44%
    2000/2/22
    7.46% 7.21% 0.25%
    2000/5/24
    7.75% 7.58% 0.17%
    38 1999/8/23
    6.94% 6.26% 0.68%
    1999/11/23
    6.90% 6.46% 0.44%
    2000/2/23
    7.43% 7.17% 0.26%
    2000/5/25
    7.78% 7.63% 0.15%
    39 1999/8/24
    6.84% 6.29% 0.55%
    1999/11/24
    6.90% 6.44% 0.46%
    2000/2/24
    7.42% 7.17% 0.25%
    2000/5/26
    7.70% 7.57% 0.13%
    40 1999/8/25
    6.74% 6.21% 0.53%
    1999/11/25
    6.89% 6.48% 0.41%
    2000/2/25
    7.38% 7.08% 0.30%
    2000/5/29
    7.64% 7.53% 0.11%
    41 1999/8/26
    6.76% 6.18% 0.58%
    1999/11/26
    6.93% 6.50% 0.43%
    2000/2/28
    7.38% 7.00% 0.38%
    2000/5/30
    7.69% 7.57% 0.12%
    42 1999/8/27
    6.88% 6.22% 0.66%
    1999/11/29
    6.91% 6.51% 0.40%
    2000/2/29
    7.45% 7.07% 0.38%
    2000/5/31
    7.69% 7.61% 0.08%
    43 1999/8/30
    6.97% 6.28% 0.69%
    1999/11/30
    6.98% 6.55% 0.43%
    2000/3/1
    7.42% 7.07% 0.35%
    2000/6/1
    7.63% 7.56% 0.07%
    44 1999/8/31
    6.99% 6.33% 0.66%
    1999/12/1
    7.01% 6.58% 0.43%
    2000/3/2
    7.41% 7.06% 0.35%
    2000/6/2
    7.52% 7.48% 0.04%
    45 1999/9/1
    7.05% 6.36% 0.69%
    1999/12/2
    7.00% 6.57% 0.43%
    2000/3/3
    7.40% 7.06% 0.34%
    2000/6/5
    7.36% 7.32% 0.04%
    46 1999/9/2
    7.07% 6.38% 0.69%
    1999/12/3
    7.05% 6.60% 0.45%
    2000/3/6
    7.37% 7.06% 0.31%
    2000/6/6
    7.34% 7.29% 0.05%
    47 1999/9/3
    7.12% 6.39% 0.73%
    1999/12/6
    6.96% 6.52% 0.44%
    2000/3/7
    7.41% 7.09% 0.32%
    2000/6/7
    7.37% 7.33% 0.04%
    48 1999/9/6
    6.96% 6.28% 0.68%
    1999/12/7
    6.93% 6.52% 0.41%
    2000/3/8
    7.41% 7.09% 0.32%
    2000/6/8
    7.39% 7.34% 0.05%
    49 1999/9/7
    6.96% 6.29% 0.67%
    1999/12/8
    6.91% 6.51% 0.40%
    2000/3/9
    7.37% 7.07% 0.30%
    2000/6/9
    7.42% 7.37% 0.05%
    50 1999/9/8
    7.04% 6.34% 0.70%
    1999/12/9
    6.93% 6.51% 0.42%
    2000/3/10
    7.39% 7.08% 0.31%
    2000/6/12
    7.42% 7.37% 0.05%
    51 1999/9/9
    7.00% 6.32% 0.68%
    1999/12/10
    6.93% 6.50% 0.43%
    2000/3/13
    7.41% 7.07% 0.34%
    2000/6/13
    7.33% 7.33% 0.00%
    52 1999/9/10
    6.96% 6.29% 0.67%
    1999/12/13
    6.88% 6.44% 0.44%
    2000/3/14
    7.43% 7.10% 0.33%
    2000/6/14
    7.34% 7.28% 0.06%
    53 1999/9/13
    6.93% 6.29% 0.64%
    1999/12/14
    6.94% 6.47% 0.47%
    2000/3/15
    7.41% 7.09% 0.32%
    2000/6/15
    7.30% 7.23% 0.07%
    54 1999/9/14
    6.86% 6.24% 0.62%
    1999/12/15
    7.02% 6.60% 0.42%
    2000/3/16
    7.41% 7.10% 0.31%
    2000/6/16
    7.25% 7.22% 0.03%
    55 1999/9/15
    6.92% 6.29% 0.63%
    1999/12/16
    7.09% 6.66% 0.43%
    2000/3/17
    7.35% 7.13% 0.22%
    2000/6/19
    7.16% 7.15% 0.01%
    56 1999/9/16
    6.83% 6.20% 0.63%
    1999/12/17
    7.13% 6.71% 0.42%
    2000/3/20
    7.30% 7.12% 0.18%
    2000/6/20
    7.21% 7.19% 0.02%
    57 1999/9/17
    6.78% 6.17% 0.61%
    1999/12/20
    7.15% 6.74% 0.41%
    2000/3/21
    7.30% 7.10% 0.20%
    2000/6/21
    7.29% 7.25% 0.04%
    58 1999/9/20
    6.78% 6.18% 0.60%
    1999/12/21
    7.18% 6.74% 0.44%
    2000/3/22
    7.27% 7.08% 0.19%
    2000/6/22
    7.35% 7.29% 0.06%
    59 1999/9/21
    6.77% 6.26% 0.51%
    1999/12/22
    7.22% 6.79% 0.43%
    2000/3/23
    7.30% 7.05% 0.25%
    2000/6/23
    7.35% 7.27% 0.08%
    60 1999/9/22
    6.86% 6.22% 0.64%
    1999/12/23
    7.16% 6.74% 0.42%
    2000/3/24
    7.24% 7.12% 0.12%
    2000/6/26
    7.39% 7.31% 0.08%
    61 1999/9/23
    6.85% 6.22% 0.63%
    1999/12/24
    7.22% 6.81% 0.41%
    2000/3/27
    7.37% 7.22% 0.15%
    2000/6/27
    7.32% 7.27% 0.05%
    62 1999/9/24
    6.71% 6.13% 0.58%
    1999/12/27
    7.22% 6.80% 0.42%
    2000/3/28
    7.36% 7.25% 0.11%
    2000/6/28
    7.32% 7.26% 0.06%
    63 1999/9/27
    6.73% 6.13% 0.60%
    1999/12/28
    7.20% 6.78% 0.42%
    2000/3/29
    7.40% 7.24% 0.16%
    2000/6/29
    7.35% 7.27% 0.08%
    64 1999/9/28
    6.74% 6.14% 0.60%
    1999/12/29
    7.22% 6.78% 0.44%
    2000/3/30
    7.40% 7.24% 0.16%
    2000/6/30
    7.26 7.20% 0.06%
    65 1999/9/29
    6.83% 6.17% 0.66%
    1999/12/30
    7.17% 6.74% 0.43%
    2000/3/31
    7.33% 7.21% 0.12%
    66 1999/9/30
    6.90% 6.24% 0.66%
    1999/12/31
    7.16% 6.75% 0.41%
    2000/4/3
    7.27% 7.16% 0.11%
    VA03 -49/51-
    ∑
    −
    =
    12
    1t
    t
    R
    = R
    1
    = 7.30% < 20.00%
    R
    2
    = Min{Max [(7% +100% Portfolio
    2
    )
    2
    2
    D
    d
    , 1% ] , 10%, 20%
    ∑
    −
    =
    12
    1t
    t
    R
    }
    = Min{Max [(7% +100% 0.08%)
    262
    262
    , 1% ] , 10% , 12.70%} = 7.08%
    2 = 10,000 7.08% = 708
    (3) 2000/7/3~2001/7/2 h = 3
    D
    3
    = = 255
    d
    3
    =
    d
    Spread
    3
    0%~1.50% = 247
    d
    CMS
    3
    ]10[
    d
    CMS
    3
    ]2[
    d
    Spread
    3
    1 2 3 4
    d
    CMS
    3
    ]10[
    d
    CMS
    3
    ]2[
    d
    Spread
    3
    d
    CMS
    3
    ]10[
    d
    CMS
    3
    ]2[
    d
    Spread
    3
    d
    CMS
    3
    ]10[
    d
    CMS
    3
    ]2[
    d
    Spread
    3
    d
    CMS
    3
    ]10[
    d
    CMS
    3
    ]2[
    d
    Spread
    3
    1 2000/7/3
    7.28% 7.23% 0.05%
    2000/10/3
    6.89% 6.69% 0.20%
    2001/1/9
    5.84% 5.30% 0.54%
    2001/4/13
    6.06% 4.95% 1.11%
    2 2000/7/4
    7.21% 7.11% 0.10%
    2000/10/4
    6.93% 6.69% 0.24%
    2001/1/10
    5.83% 5.33% 0.50%
    2001/4/16
    6.06% 4.95% 1.11%
    3 2000/7/5
    7.19% 7.10% 0.09%
    2000/10/5
    6.99% 6.73% 0.26%
    2001/1/11
    5.93% 5.39% 0.54%
    2001/4/17
    6.10% 4.97% 1.13%
    4 2000/7/6
    7.18% 7.10% 0.08%
    2000/10/6
    6.99% 6.72% 0.27%
    2001/1/12
    6.00% 5.42% 0.58%
    2001/4/18
    6.15% 5.08% 1.07%
    5 2000/7/7
    7.22% 7.13% 0.09%
    2000/10/10
    6.99% 6.76% 0.23%
    2001/1/16
    6.08% 5.48% 0.60%
    2001/4/19
    5.99% 4.70% 1.29%
    6 2000/7/10
    7.18% 7.08% 0.10%
    2000/10/11
    6.98% 6.72% 0.26%
    2001/1/17
    6.14% 5.55% 0.59%
    2001/4/20
    6.12% 4.82% 1.30%
    7 2000/7/11
    7.20% 7.07% 0.13%
    2000/10/12
    6.99% 6.73% 0.26%
    2001/1/18
    6.02% 5.42% 0.60%
    2001/4/23
    6.09% 4.76% 1.33%
    8 2000/7/12
    7.22% 7.11% 0.11%
    2000/10/13
    6.94% 6.57% 0.37%
    2001/1/19
    5.99% 5.38% 0.61%
    2001/4/24
    6.04% 4.69% 1.35%
    9 2000/7/13
    7.24% 7.13% 0.11%
    2000/10/16
    6.95% 6.66% 0.29%
    2001/1/22
    6.07% 5.39% 0.68%
    2001/4/25
    6.05% 4.70% 1.35%
    10 2000/7/14
    7.16% 7.07% 0.09%
    2000/10/17
    6.93% 6.65% 0.28%
    2001/1/23
    6.12% 5.39% 0.73%
    2001/4/26
    6.09% 4.77% 1.32%
    11 2000/7/17
    7.27% 7.16% 0.11%
    2000/10/18
    6.87% 6.61% 0.26%
    2001/1/24
    6.21% 5.48% 0.73%
    2001/4/27
    6.03% 4.71% 1.32%
    12 2000/7/18
    7.33% 7.20% 0.13%
    2000/10/19
    6.86% 6.61% 0.25%
    2001/1/25
    6.20% 5.49% 0.71%
    2001/4/30
    6.17% 4.87% 1.30%
    13 2000/7/19
    7.37% 7.22% 0.15%
    2000/10/20
    6.79% 6.60% 0.19%
    2001/1/26
    6.11% 5.45% 0.66%
    2001/5/1
    6.17% 4.88% 1.29%
    14 2000/7/20
    7.38% 7.23% 0.15%
    2000/10/23
    6.75% 6.58% 0.17%
    2001/1/29
    6.11% 5.41% 0.70%
    2001/5/2
    6.09% 4.79% 1.30%
    15 2000/7/21
    7.22% 7.10% 0.12%
    2000/10/24
    6.73% 6.57% 0.16%
    2001/1/30
    6.14% 5.40% 0.74%
    2001/5/3
    6.06% 4.82% 1.24%
    16 2000/7/24
    7.22% 7.10% 0.12%
    2000/10/25
    6.74% 6.56% 0.18%
    2001/1/31
    6.00% 5.28% 0.72%
    2001/5/4
    5.99% 4.76% 1.23%
    17 2000/7/25
    7.22% 7.09% 0.13%
    2000/10/26
    6.80% 6.61% 0.19%
    2001/2/1
    5.89% 5.16% 0.73%
    2001/5/7
    5.99% 4.70% 1.29%
    18 2000/7/26
    7.23% 7.09% 0.14%
    2000/10/27
    6.81% 6.63% 0.18%
    2001/2/2
    5.88% 5.19% 0.69%
    2001/5/8
    5.98% 4.64% 1.34%
    19 2000/7/27
    7.22% 7.09% 0.13%
    2000/10/30
    6.84% 6.66% 0.18%
    2001/2/5
    5.98% 5.29% 0.69%
    2001/5/9
    5.99% 4.58% 1.41%
    20 2000/7/28
    7.21% 7.08% 0.13%
    2000/10/31
    6.86% 6.66% 0.20%
    2001/2/6
    6.01% 5.29% 0.72%
    2001/5/10
    5.94% 4.60% 1.34%
    21 2000/7/31
    7.27% 7.12% 0.15%
    2000/11/1
    6.86% 6.60% 0.26%
    2001/2/7
    6.03% 5.31% 0.72%
    2001/5/11
    6.09% 4.70% 1.39%
    22 2000/8/1
    7.25% 7.11% 0.14%
    2000/11/2
    6.82% 6.59% 0.23%
    2001/2/8
    6.01% 5.32% 0.69%
    2001/5/14
    6.30% 4.86% 1.44%
    23 2000/8/2
    7.21% 7.07% 0.14%
    2000/11/3
    6.82% 6.57% 0.25%
    2001/2/9
    6.01% 5.31% 0.70%
    2001/5/15
    6.25% 4.80% 1.45%
    24 2000/8/3
    7.19% 7.03% 0.16%
    2000/11/6
    6.89% 6.63% 0.26%
    2001/2/12
    5.96% 5.27% 0.69%
    2001/5/16
    6.27% 4.74% 1.53%
    25 2000/8/4
    7.16% 7.02% 0.14%
    2000/11/7
    6.94% 6.67% 0.27%
    2001/2/13
    5.96% 5.29% 0.67%
    2001/5/17
    6.25% 4.77% 1.48%
    26 2000/8/7
    7.11% 6.98% 0.13%
    2000/11/8
    6.95% 6.67% 0.28%
    2001/2/14
    5.99% 5.33% 0.66%
    2001/5/18
    6.17% 4.84% 1.33%
    27 2000/8/8
    7.11% 6.98% 0.13%
    2000/11/9
    6.96% 6.65% 0.31%
    2001/2/15
    6.12% 5.47% 0.65%
    2001/5/21
    6.18% 4.91% 1.27%
    28 2000/8/9
    7.07% 6.95% 0.12%
    2000/11/10
    6.93% 6.62% 0.31%
    2001/2/16
    6.12% 5.42% 0.70%
    2001/5/22
    6.17% 4.89% 1.28%
    29 2000/8/10
    7.06% 6.94% 0.12%
    2000/11/13
    6.91% 6.58% 0.33%
    2001/2/20
    6.08% 5.36% 0.72%
    2001/5/23
    6.18% 4.87% 1.31%
    30 2000/8/11
    7.00% 6.90% 0.10%
    2000/11/14
    6.91% 6.59% 0.32%
    2001/2/21
    6.04% 5.27% 0.77%
    2001/5/24
    6.19% 4.81% 1.38%
    31 2000/8/14
    7.08% 6.99% 0.09%
    2000/11/15
    6.88% 6.60% 0.28%
    2001/2/22
    6.08% 5.26% 0.82%
    2001/5/25
    6.25% 4.84% 1.41%
    32 2000/8/15
    7.05% 6.99% 0.06%
    2000/11/16
    6.82% 6.58% 0.24%
    2001/2/23
    6.09% 5.26% 0.83%
    2001/5/28
    6.29% 4.86% 1.43%
    33 2000/8/16
    7.07% 6.99% 0.08%
    2000/11/17
    6.81% 6.56% 0.25%
    2001/2/26
    6.05% 5.15% 0.90%
    2001/5/29
    6.27% 4.82% 1.45%
    34 2000/8/17
    7.08% 7.00% 0.08%
    2000/11/20
    6.84% 6.57% 0.27%
    2001/2/27
    5.96% 5.08% 0.88%
    2001/5/30
    6.29% 4.84% 1.45%
    35 2000/8/18
    7.07% 7.01% 0.06%
    2000/11/21
    6.84% 6.57% 0.27%
    2001/2/28
    5.86% 5.03% 0.83%
    2001/5/31
    6.30% 4.86% 1.44%
    36 2000/8/21
    7.06% 7.00% 0.06%
    2000/11/22
    6.82% 6.53% 0.29%
    2001/3/1
    5.78% 5.02% 0.76%
    2001/6/1
    6.15% 4.75% 1.40%
    37 2000/8/22
    7.07% 6.98% 0.09%
    2000/11/23
    6.81% 6.54% 0.27%
    2001/3/2
    5.80% 5.09% 0.71%
    2001/6/4
    6.14% 4.73% 1.41%
    38 2000/8/23
    7.03% 6.97% 0.06%
    2000/11/24
    6.81% 6.55% 0.26%
    2001/3/5
    5.83% 5.10% 0.73%
    2001/6/5
    6.11% 4.75% 1.36%
    39 2000/8/24
    6.96% 6.92% 0.04%
    2000/11/27
    6.82% 6.58% 0.24%
    2001/3/6
    5.88% 5.13% 0.75%
    2001/6/6
    6.07% 4.70% 1.37%
    40 2000/8/25
    6.98% 6.94% 0.04%
    2000/11/28
    6.79% 6.53% 0.26%
    2001/3/7
    5.87% 5.07% 0.80%
    2001/6/7
    6.03% 4.70% 1.33%
    41 2000/8/28
    6.98% 6.92% 0.06%
    2000/11/29
    6.74% 6.48% 0.26%
    2001/3/8
    5.83% 5.03% 0.80%
    2001/6/8
    6.10% 4.72% 1.38%
    42 2000/8/29
    7.01% 6.95% 0.06%
    2000/11/30
    6.68% 6.39% 0.29%
    2001/3/9
    5.79% 5.03% 0.76%
    2001/6/11
    6.13% 4.72% 1.41%
    43 2000/8/30
    7.07% 6.98% 0.09%
    2000/12/1
    6.66% 6.38% 0.28%
    2001/3/12
    5.85% 5.07% 0.78%
    2001/6/12
    6.09% 4.69% 1.40%
    44 2000/8/31
    7.08% 6.98% 0.10%
    2000/12/4
    6.61% 6.34% 0.27%
    2001/3/13
    5.88% 5.06% 0.82%
    2001/6/13
    6.04% 4.65% 1.39%
    45 2000/9/1
    7.01% 6.90% 0.11%
    2000/12/5
    6.66% 6.35% 0.31%
    2001/3/14
    5.90% 5.02% 0.88%
    2001/6/14
    6.04% 4.62% 1.42%
    46 2000/9/4
    6.93% 6.84% 0.09%
    2000/12/6
    6.50% 6.20% 0.30%
    2001/3/15
    5.83% 4.94% 0.89%
    2001/6/15
    6.03% 4.59% 1.44%
    47 2000/9/5
    6.95% 6.84% 0.11%
    2000/12/7
    6.40% 6.17% 0.23%
    2001/3/16
    5.76% 4.85% 0.91%
    2001/6/18
    6.05% 4.53% 1.52%
    48 2000/9/6
    6.94% 6.84% 0.10%
    2000/12/8
    6.33% 6.15% 0.18%
    2001/3/19
    5.75% 4.89% 0.86%
    2001/6/19
    6.12% 4.53% 1.59%
    49 2000/9/7
    7.00% 6.87% 0.13%
    2000/12/11
    6.38% 6.21% 0.17%
    2001/3/20
    5.77% 4.91% 0.86%
    2001/6/20
    6.08% 4.50% 1.58%
    50 2000/9/8
    7.01% 6.86% 0.15%
    2000/12/12
    6.38% 6.23% 0.15%
    2001/3/21
    5.68% 4.77% 0.91%
    2001/6/21
    6.05% 4.51% 1.54%
    51 2000/9/11
    7.03% 6.86% 0.17%
    2000/12/13
    6.37% 6.21% 0.16%
    2001/3/22
    5.66% 4.71% 0.95%
    2001/6/22
    6.03% 4.52% 1.51%
    52 2000/9/12
    7.03% 6.86% 0.17%
    2000/12/14
    6.25% 6.09% 0.16%
    2001/3/23
    5.70% 4.79% 0.91%
    2001/6/25
    5.99% 4.47% 1.52%
    VA03 -50/51-
    1 2 3 4
    d
    CMS
    3
    ]10[
    d
    CMS
    3
    ]2[
    d
    Spread
    3
    d
    CMS
    3
    ]10[
    d
    CMS
    3
    ]2[
    d
    Spread
    3
    d
    CMS
    3
    ]10[
    d
    CMS
    3
    ]2[
    d
    Spread
    3
    d
    CMS
    3
    ]10[
    d
    CMS
    3
    ]2[
    d
    Spread
    3
    53 2000/9/13
    7.03% 6.86% 0.17%
    2000/12/15
    6.18% 6.07% 0.11%
    2001/3/26
    5.75% 4.78% 0.97%
    2001/6/26
    5.98% 4.48% 1.50%
    54 2000/9/14
    6.96% 6.80% 0.16%
    2000/12/18
    6.13% 5.99% 0.14%
    2001/3/27
    5.76% 4.93% 0.83%
    2001/6/27
    6.07% 4.53% 1.54%
    55 2000/9/15
    7.00% 6.79% 0.21%
    2000/12/19
    6.14% 5.98% 0.16%
    2001/3/28
    5.91% 4.93% 0.98%
    2001/6/28
    6.06% 4.63% 1.43%
    56 2000/9/18
    7.05% 6.77% 0.28%
    2000/12/20
    6.13% 5.91% 0.22%
    2001/3/29
    5.92% 4.88% 1.04%
    2001/6/29
    6.23% 4.81% 1.42%
    57 2000/9/19
    7.02% 6.72% 0.30%
    2000/12/21
    6.09% 5.89% 0.20%
    2001/3/30
    5.94% 4.89% 1.05%
    2001/7/2
    6.28% 4.82% 1.46%
    58 2000/9/20
    7.05% 6.77% 0.28%
    2000/12/22
    6.05% 5.84% 0.21%
    2001/4/2
    5.84% 4.77% 1.07%
    59 2000/9/21
    7.06% 6.77% 0.29%
    2000/12/27
    6.07% 5.83% 0.24%
    2001/4/3
    5.89% 4.82% 1.07%
    60 2000/9/22
    7.01% 6.74% 0.27%
    2000/12/28
    6.15% 5.85% 0.30%
    2001/4/4
    5.87% 4.76% 1.11%
    61 2000/9/25
    7.00% 6.78% 0.22%
    2000/12/29
    6.15% 5.89% 0.26%
    2001/4/5
    5.87% 4.78% 1.09%
    62 2000/9/26
    6.98% 6.78% 0.20%
    2001/1/2
    6.10% 5.78% 0.32%
    2001/4/6
    5.88% 4.75% 1.13%
    63 2000/9/27
    6.98% 6.78% 0.20%
    2001/1/3
    5.89% 5.63% 0.26%
    2001/4/9
    5.79% 4.68% 1.11%
    64 2000/9/28
    6.96% 6.74% 6.00%
    2001/1/4
    6.00% 5.50% 0.50%
    2001/4/10
    5.85% 4.71% 1.14%
    65 2000/9/29
    6.91% 6.72% 0.19%
    2001/1/5
    5.92% 5.41% 0.51%
    2001/4/11
    5.97% 4.81% 1.16%
    66 2000/10/2
    6.90% 6.69% 0.21%
    2001/1/8
    5.82% 5.33% 0.49%
    2001/4/12
    6.00% 4.89% 1.11%
    ∑
    −
    =
    13
    1t
    t
    R
    = R
    1
    R
    2
    = 14.38%
    < 20.00%
    R
    3
    = Min{Max [(7% +100% Portfolio
    3
    )
    3
    3
    D
    d
    , 1% ] , 10%, 20%
    ∑
    −
    =
    13
    1t
    t
    R
    }
    = Min{Max [(7% +100% 1.52%)
    255
    247
    , 1% ] , 10% , 5.62%} = 5.62%
    3 = 10,000 5.62% = 562
    ∑
    =
    3
    1t
    t
    R
    = 20% 20%
    4 12 Libor
    R
    h
    =
    Start
    h
    mLibor12
    h
    = 4,5,6,7
    4 7 12 Libor
    h 12 Libor
    4 2001/6/28 4.05%
    5 2002/6/27 2.25%
    6 2003/6/26 1.16%
    7 2004/6/28 2.38%
    R
    4
    =
    4 12 Libor = 4.05%
    4 = 10,000 4.05% = 405
    R
    5
    =
    5 12 Libor = 2.25%
    5 = 10,000 2.25% = 225
    R
    6
    =
    6 12 Libor = 1.16%
    6 = 10,000 1.16% = 116
    R
    7
    =
    7 12 Libor = 2.38%
    7 = 10,000 2.38% = 238
    VA03 -51/51-
    1.
    (1)
    a.
    b.
    c.
    (2)
    a. Affected Share
    Affected Share
    +
    b.
    Affected Share
    2.
    (1)
    a.
    b. Special Bonus
    (2)
    1 +
    中國人壽天生新貴變額年金保險 費率表
    本契約之年金金額係依據本契約在年金给付開始日時之預定利率及主管機關頒
    訂之年金生命表與規範所計算之金額，所以無費率表。

    沒有「中國人壽天生新貴變額年金保險」的相關文章

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