Name: 全球人壽全球精選變額萬能壽險
Brand: 全球人壽

1 116

: (96) ( ) 050201

: 96 5 2

: (96) ( ) 052101

: 96 5 21

: (96) ( ) 060401

: 96 6 4

: (96) ( ) 070201

: 96 7 2

: (96) ( ) 070901

: 96 7 9

: (96) ( ) 073001

: 96 7 30

: (96) ( ) 081601

: 96 8 16

: (96) ( ) 082701

: 96 8 27

: (96) ( ) 091908

: 96 9 19

: (96) ( ) 102203

: 96 10 22

: (96) ( ) 110501

: 96 11 05

: (96) ( ) 123108

: 96 12 31

: (97) ( ) 020103

: 97 2 1

: 96.12.28 09602505761

: 97 5 31

: (97) ( ) 070101

: 97 7 01

全球人壽全球精選

全球人壽全球精選全球人壽全球精選

全球人壽全球精選變額萬能壽險

變額萬能壽險變額萬能壽險

變額萬能壽險

:

契約條款

契約條款契約條款

契約條款

0800-000-662

2 116

5%

C D

C

A

1

2

C

B D

C

D

(http://www.aegon.com.tw)

(

)

( )

3 116

(

)

(http://www.aegon.com.tw)

4 116

5 116

12

( )

6 116

( )

5%

( )

7 116

A C

8 116

D

9 116

10 116

http : // www.aegon.com.tw

:

( )

11 116

( )

12 116

:

13 116

【

【【

【附件一

附件一附件一

附件一】

】】

】保險金最低比率

被保險人到達年齡所對應之「保險金最低比率」，其數值如下表。

被保險人之到達年齡 40 歲(含)以下 41 歲至 70 歲 71 歲(含)以上

最低比率 130% 115% 101%

14 116

【

【【

【附件二

附件二附件二

附件二】

】】

】費用結構

費用結構費用結構

費用結構

全球人壽全球精選變額萬能壽險保險公司收取之相關費用表

全球人壽全球精選變額萬能壽險保險公司收取之相關費用表全球人壽全球精選變額萬能壽險保險公司收取之相關費用表

全球人壽全球精選變額萬能壽險保險公司收取之相關費用表

5%

1%

1.

2.

5%

0.1%

1.0%

3%

15 116

全球人壽全球精選變額萬能壽險投資機構收取之相關費用表

全球人壽全球精選變額萬能壽險投資機構收取之相關費用表全球人壽全球精選變額萬能壽險投資機構收取之相關費用表

全球人壽全球精選變額萬能壽險投資機構收取之相關費用表

( )

6.25%

2010

5.25%

2020

5.25%

0.00%

A

5.75%

1.50%

L

0.00%

L

0.00%

L

0.00%

( )

6.00%

( )

6.00%

( ) B

6.00%

( )

4.00%

A

5.00%

3.00%

5.00%

2015

2.00%

2020

2.00%

2030

2.00%

5.00%

-

5.00%

2.00%

JF

2.00%

JF

1.50%

JF

2.00%

JF

2.00%

α

2.00%

35

2.00%

( ) A (

)

5.00%

500 ( iShares S

P

500 Index Fund )

1.00%

100

(PowerShares

QQQ Nasdaq 100)

1.00%

100

( iShares

S&P Global 100 Index Fund )

1.00%

16 116

( )

50

1.00%

350 (

iShares

S&P Europe 350 Index Fund )

1.00%

( )

( iShares MSCI Pacific ex-

Japan Index

Fund )

1.00%

MSCI

( iShares MSCI

Japan Index Fund )

1.00%

1-3

( iShares

Lehman 1-3 Year Treasury Bond Fund )

1.00%

7-10

( iShares

Lehman 7-10 Year Treasury Bond Fund )

1.00%

(iShares

iBoxx $ Investment Grade Corporate

Bond Fund)

1.00%

10%

Exchange Traded Funds, ETFs

1%

3%

( ) A ( )

17 116

【

【【

【附件二之一

附件二之一附件二之一

附件二之一】

】】

】臺灣壽險業第三回經驗生命表死亡率的百分之九十

臺灣壽險業第三回經驗生命表死亡率的百分之九十臺灣壽險業第三回經驗生命表死亡率的百分之九十

臺灣壽險業第三回經驗生命表死亡率的百分之九十

( )

0 92.2500

78.4800

50 69.3990

49.2660

1 21.1500

17.8200

51 74.0610

53.0010

2 13.6800

11.0700

52 79.3530

57.1140

3 9.0900

6.7500

53 85.4370

61.6680

4 6.4800

4.4100

54 92.4120

66.5370

5 5.3100

3.2400

55 100.3320

71.5410

6 4.9500

2.8800

56 109.2510

76.4910

7 4.8600

2.7900

57 119.2500

81.2160

8 4.8600

2.7000

58 130.3650

85.6890

9 4.6800

2.6100

59 142.6590

90.5760

10 4.4100

2.6100

60 156.1770

96.6870

11 4.2300

2.7000

61 170.9640

104.8500

12 4.4100

2.8800

62 187.0560

115.8840

13 5.0400

3.1500

63 204.5340

130.2750

14 6.8310

3.7980

64 223.5690

147.2580

15 9.2610

4.5720

65 244.3500

165.7170

16 12.5460

5.5080

66 267.0750

184.5630

17 17.0100

6.6420

67 291.9420

202.6890

18 18.3060

7.0740

68 319.1580

219.3930

19 19.1070

7.3620

69 348.9660

235.5300

20 19.4760

7.5420

70 381.6000

252.3690

21 19.4940

7.6410

71 417.3300

271.1790

22 19.2330

7.6950

72 456.3900

293.2110

23 18.7650

7.7400

73 499.0410

319.5180

24 18.1710

7.8300

74 545.6430

350.2710

25 17.5320

8.0100

75 596.5470

385.4520

26 16.9380

8.3340

76 652.1220

425.0070

27 16.4700

8.8380

77 712.7190

468.9090

28 16.1910

9.5670

78 778.7250

517.2120

29 16.1370

10.4310

79 850.6080

570.3840

30 16.3170

11.3310

80 928.8540

628.9650

31 16.7580

12.1770

81 1013.9400

693.5220

32 17.4690

12.8520

82 1106.3610

764.6040

33 18.4590

13.3110

83 1206.6030

842.7870

34 19.7100

13.6440

84 1315.2150

928.7640

35 21.1860

13.9590

85 1432.7550

1023.2460

36 22.8510

14.3910

86 1559.7990

1126.9350

37 24.6780

15.0750

87 1696.8870

1240.5600

38 26.6490

16.1010

88 1844.5680

1364.8410

39 28.8180

17.4960

89 2003.2920

1500.5430

40 31.2480

19.2420

90 2173.5090

1648.4580

41 34.0110

21.3390

91 2355.6420

1809.3690

42 37.1610

23.7690

92 2550.1230

1984.0590

43 40.7430

26.5230

93 2757.2760

2173.2030

44 44.6580

29.5200

94 2976.8670

2377.0530

45 48.7800

32.6970

95 3208.5450

2595.7350

46 52.9740

35.9730

96 3451.9500

2829.3840

47 57.1140

39.2580

97 3706.7400

3078.1440

48 61.1190

42.5070

98 3972.5730

3342.1590

49 65.1510

45.8100

99 4249.1700

3621.6270

18 116

【

【【

【附件三

附件三附件三

附件三】

】】

】投資標的說明

投資標的說明投資標的說明

投資標的說明

- A

A

L

2030

2020

JF

α

35

( ) A

( )

- A2

L

B

-

A

2015

2020

2010

19 116

JF

500 ( iShares S P

500 Index Fund )

Barclays Global Investors

100 (PowerShares

QQQ Nasdaq 100)

PowerShares Capital

Management LLC

100 ( iShares

S&P Global 100 Index Fund )

Barclays Global Investors

50

350 ( iShares

S&P Europe 350 Index Fund )

Barclays Global Investors

( )

( iShares MSCI Pacific ex-Japan Index

Fund )

Barclays Global Investors

MSCI ( iShares MSCI

Japan Index Fund )

Barclays Global Investors

1-3 ( iShares

Lehman 1-3 Year Treasury Bond Fund )

Barclays Global Investors

7-10

( iShares Lehman 7-10 Year Treasury

Bond Fund )

Barclays Global Investors

( 1)

(iShares

iBoxx $ Investment Grade Corporate

Bond Fund)

Barclays Global Investors

( 2)

( 3)

1 Exchange Traded Funds, ETFs

2

0

(1)

(2)

365

20 116

3

1.

2.

(1)

(2)

( )

1.

3%

5%

2.

21 116

(

)

/ /

T+1 T+1

T T+1

T+1

T T+1

T

( )

1.

2.

(1)

(2)

3.

22 116

【

【【

【附件四

附件四附件四

附件四】

】】

】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)

BNP Paribas Bank

1.

2. 4 52 2- 6

3. 02-2716-1167

Citibank N.A.

1.

2. 3 115 2 1,115 2 2,117-1 ,117 2

3. 02-2715-5931

ING Bank NV

1.

2. 1 2 6

3. 02-2734-7600

Societe Generale

1.

2. 3 109 7

3. 02-2715-5050

JP Morgan Chase Bank N.A.

1.

2. 5 108 8

3. 02-2725-9800

Morgan Stanley Dean Witter & Co.

1.

2. 2 207 22

3. 02-2730-2888

ABN AMRO Bank

1.

2. 7 12, 16-18 89

3. 02-8722-5000

Merrill Lynch & Co., Inc.

1.

2. 2 207 18

3. 02-2376-3666

Deutsche Bank

1.

2. 4 296 6,10,12,13

3. 02-2192-4666

CALYON

1.

2. 167 16

3. 02-2717-5252

( ) UBS AG

1.

2. 7 5,13,22,23

3. 02-8722-7888

( ) HSBC

1.

2.

1 333 13,14

3. 02-8722-6999

( ) Credit Suisse International

23 116

1.

2. 3 109 5

3. 02-2715-6388

( ) Australia and New Zealand Banking Group Limited

1.

2. 1 333 12 1208

3. 02-2757-7299

( ) KBC Bank N.V.

1.

2. 99 15

3. 02-2712-9133

( )

Fortis Bank; Fortis Banque SA

1.

2. 3 131 5

3. 02-2719-6331

( )

Dresdner Bank

1.

2. 3 138 6

3. 02-2719-0022

( )

Barclays Bank PLC

1.

2.

5 108 5

3. 02-8722-1809

--

I

S&P 500 Index ( 500 )

1. 500

2. 1941~1943 10

DJ Eurostoxx 50 Index ( 50 )

1. 50

2. 1991 12 31 1000

Nikkei 225 Index 225

1. 225

2. 1949 5 16

KOSPI KOSPI

1.

2. 1980 1 4 100

Kospi 200 Index KOSPI200

1. 200

2. 1990 1 3 100

Nasdaq 100 Index 100

1. NASDAQ

2. 1985 2 1 125

Dow Jones Industrial Average

30

24 116

Nasdaq Composite Index

1. Nasdaq

2. 1971 2 5 100

Hang Seng Index

1.

2. 1964 7 31 100

CAC-40 Index 40

1. 40 Paris Bourse

2. 1987 12 31 1,000

FTSE 100 Index 100

1. 100

2. 1984 1 3 1,000

Topix Index

1. First Section

2. 1968 1 4 100

Philadelphia Semiconductor Index ( )

1.

2. 1993 12 1 ( 100)

NASDAQ Biotech Index ( )

1.

2. 1993 11 1 ( 200)

DJ Global Titan Index ( )

50

Straits Times Index ( )

S&P/ASX 200 Index ( ASX200 )

ASX200 200

Thailand Set 50 Index ( SET50 )

1. SET50 50

2. 1995 8 16 100

London Inter-Bank Offering Rate LIBOR

1. 11:00

2. British

Bankers Association 25% 25%

3. Bloomberg Telerate

CBOE CBOE Gold Index

1.

2. 1994/12/16 100

S&P 500 S&P 500 Real Estate Index

Brent Crude Index

Goldman Sachs US Commodity Index

25 116

Phila Gold & Silver Index

AIG DJ-AIG Commodity Index

DJ US Real Estate Index

REIT

London Gold Market Fixing Ltd PM Fix Price/USD

London Gold Market Fixing Ltd.

3

WTI Crude Oil nearest month future contract price

NYMEX/New York Merchantile Exchange

Constant Maturity Swap CMS

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

REIT Tokyo Stock Exchange REIT Index TSEREIT Index

REIT

FTSE European Public Real Estate Index EPRA Europe Index

DAX Index

1.

2. 1987 12 31 1,000

Amsterdam Exchange Index

1.

2. 1999 1 4 538.36

IBEX IBEX 35 Index

1. 35

2. 1989/12/29 3,000

Swiss Market Index

1.

2. 1988/6/30 1,500

TECDAX TECDAX Performance Index

1.

2. 1997/12/30 1,000

MSCI MSCI World Index

1.MSCI World

2.MSCI World Index

2000 Russell 2000 Index

26 116

1.

Russell 3000 2000

2. 1986/12/31 135

MSCI MSCI Singapore Index

KLCI Index

1.

2. 1977 1 2 100

/NIFTY India Nifty 50 Index

1. 50

2. 1995/11/3 1,000

EUR/USD Spot

1.

2.

USD/JPY Spot

1.

2.

USD/KRW Spot

1.

2.

USD/HKD Spot

1.

2.

USD/SGD Spot

1.

2.

CAD/USD Spot

1.

2.

AUD/USD Spot

1.

2.

NZD/USD Spot

1.

2.

GBP/USD Spot

1.

2.

CHF/USD Spot

1.

2.

EUR/JPY Spot

1.

2.

FTSE Global Cyclical Index

FTSE Global Energy Index

FTSE Global Utilities Index

SENSEX 30 (BSE Sensex 30 Index)

1.

27 116

2.

1978-1979 100

(Brazil Bovespa Stock Index)

RTS (Russian RTS Index $)

1. RTS ( Russian

Trading System)

2. 1995 9 1 100

(S&P GSCI Index)

(S&P GSCI Excess Return Index)

(S&P GSCI Energy Excess Return Index)

(S&P GSCI Index)

(S&P GSCI Precious Metal Index)

(S&P GSCI Index)

(S&P GSCI Agriculture Index)

(S&P GSCI Index)

Wilderhill (WilderHill New Energy Global Innovation Index)

1. WilderHill New Energy Finance,LLC

2. 2002 12 30 100

MSCI (MSCI Emerging Markets Index)

MSCI GDP

MSCI MSCI Singapore Cash Index

1. MSCI

2. 1988 1 1 100

S&P GSCI Agriculture Excess Return Index

S&P GSCI Excess Return Index

RICI RICI Enhanced Index ER

1. Jim Rogers

2.

…

3.1998/07/31

RICI RICI Enhanced Index

1. Jim Rogers

2.

…

3. 1998/07/31

RICI RICI Enhanced Metals Excess Return Index

1. RICI RICI Enhanced Index ER

2.1998/07/31

RICI RICI Enhanced Metals Index

1. RICI RICI Enhanced Index

2.1998/07/31

RICI RICI Enhanced Energy Excess Return Index

1.

RICI RICI Enhanced Index ER

Brent RBOB heating oil gasoil

2.1998/07/31

28 116

RICI RICI Enhanced Energy Index

1. RICI RICI Enhanced Index

Brent RBOB heating oil gasoil

2.1998/07/31

RICI RICI Enhanced Agriculture Excess Return Index

1. RICI RICI Enhanced Index ER

Wheat Kansas City Wheat Minneapolis Wheat

Coffee Robusta Soymeal Orange

Juice Live Cattle Lumber Barley

2.1998/07/31

RICI RICI Enhanced Agriculture Index

1. RICI RICI Enhanced Index

Wheat Kansas City Wheat Minneapolis Wheat

Coffee Robusta Soymeal Orange

Juice Live Cattle Lumber Barley

2. 1998/07/31

Hong Kong Interbank Offered Rate (HIBOR )

1. “HIBOR” “Hong Kong Interbank Offer Rate”

2. 11:00 Telerate Page 9898

II

1

2

3

4

5

6

7

8

9

10

11

12 I

13

14 (B )

15

16

17 (B )

18

19 (B )

20

21

22

23

24

25

26

27

28

29 (B )

30

31

32

33

34

35

36

37

38

39 (B )

29 116

40

41

42

43

44

45 (B )

46

47

48 (B )

49

50 (B )

51

52

53 (B )

54

55 (B )

56

57 50TM

58 50TM (B )

59

60 (B )

61

62

63

64

65 ING(L) ING

66 ING(L) ING

67 ING(L) ING

68 ING(L) ING

69 ING(L) ING

70 ING(L) ING

71 ING(L) ING

72 ING(L)

ING

73 ING(L)Renta ING

74 JF JF

75 JF

JF

76 JF

JF

77 JF ( )

JF

78 JF ( )

JF

79 JF

JF

80 JF

JF

81 JF

JF

82 JF

JF

83 JF JF

84 JF

JF

85 JF

JF

86 JF ( ) A ( ) JF

87 JF ( ) A ( ) JF

88 JF ( ) A ( )

JF

89

JF ( )

A ( )

JF

90 JF ( ) A ( )

JF

91 II JF

JF

92 II JF JF

93 JF ( ) A ( ) JF

94

(

) A ( )

JF

95

JF ( )

A ( )

JF

96 JF ( ) A ( ) JF

97 JF ( ) A ( ) JF

98 ( ) A ( ) JF

99 JF ( ) A ( ) JF

100 JF ( ) A ( ) JF

101 ( ) A ( )

102

( )

A ( )

103

( ) A ( )

104

A ( )

105

( ) A ( )

30 116

106

( ) A ( )

107

( ) A ( )

108

( ) A ( )

109

LEGG MASON INVESTMENTS(LUXEMBOURG )S.A.

110 LEGG MASON INVESTMENTS(LUXEMBOURG )S.A.

111

LEGG MASON INVESTMENTS(LUXEMBOURG )S.A.

112 LEGG MASON INVESTMENTS(LUXEMBOURG )S.A.

113 ( ) (USD)

114 ( ) (EUR)

115 ( ) (USD)

116 ( ) (USD)

117 ( ) (EUR)

118 ( ) (EUR)

119 ( ) (EUR)

120 ( ) (USD)

121 A2

122 A2 ( )

123 A2

124 A2 ( )

125 A2

126 A2 ( )

127 A2

128 A2 ( )

129 A2

130 A2 ( )

131 A2

132 A2 ( )

133 A2

134 A2 ( )

135 A2

136 A2 ( )

137 A2

138 A2 ( )

139 A2

140 A2 ( )

141 A2

142 A2 ( )

143 A2

144 A2 ( )

145 A2

146 A2 ( )

147 A2

148 A2 ( )

149 A2

150 A2 ( )

151 A2

152

153 ( )

154 A

155 C

156 C

157 C

158

( )

C

159 C

160 C

161 C

162 C

163 C

164 A

( )

165 A

( )

166 A ( )

167 A

( )

168 A

( )

169 A

( )

170 A

( )

171 A ( )

172 A ( )

173 ( )

(LION CAPITAL MANAGEMENT

LTD.)

31 116

174 ( )

(LION CAPITAL MANAGEMENT

LTD.)

175 ( )

(LION CAPITAL MANAGEMENT

LTD.)

176 ( )

(LION CAPITAL MANAGEMENT

LTD.)

177 ( )

(LION CAPITAL MANAGEMENT

LTD.)

178 ( )

(LION CAPITAL MANAGEMENT

LTD.)

179 ( )

(LION CAPITAL MANAGEMENT

LTD.)

180 A2 ( )

181 A2

( )

182 A2

( )

183 A2

( )

184 A2

( )

185 A2

( )

186 A2

( )

187 A2

( )

188 C2

( )

189 A2 ( )

190 A2 ( )

191 A2 ( )

192 A2 ( )

193 A2 ( )

194 A2 ( )

195 A2 ( )

196 A2 ( )

197 A2

( )

198 A2

( )

199 A2 ( )

200 A2 ( )

201 A2

( )

202 A2

( )

203 A2

( )

204 A2

( )

205 A2

( )

206 A2

( )

207 A2

( )

208 A2

( )

209 A2

( )

210 A2 ( )

211 Hedged A2 ( )

212 A2 ( )

213 A2 ( )

214 A2 ( )

215 A2 ( )

216 A2 ( )

217 A2 ( )

218 A2 ( )

219 A2 ( )

220 A2 ( )

221 A2 ( )

222 A2 ( )

223 A2 ( )

224 A2 ( )

225 A2 ( )

226 A2 ( )

227 A2 ( )

228 A2 ( )

229 A2 ( )

230 A2 ( )

231 A2 ( )

232 A2 ( )

233 A

234 A

235 A

236

( ) A

(acc)

237

A (Ydis)

238 B (acc)

239 A

32 116

240

A

(Ydis)

241 A (acc)

242 A (acc)

243 A (acc)

244 C

245 C

246 I

247 L

248 C

249 I

250 L

251 P

252 C

253 I

254 L

255 C

256 C

257 C

258 I

259 C

260 C

261 C

262 I

263 C

264 I

265 L

266 C

267 C

268 I

269 C

270 C

271 I

272 C

273 C

274 C

275 I

276 C

277 I

278 C

279 C

280 I

281 C

282 I

283 C

284 I

285 C

286 C

287 A

288 A

289 A

290 B

291 A

292 A

293 A

294 B

295 P

296 A

297 A

298 A

299 A

300 A

301 AH

302 / H

303 4 A

304 A

305 A

306 A

307 2 A

308 A

33 116

309 /

310 A

311 /

312 /

313 A

314 /

315 A

316 A

317 3 A

318 A

319 A

320 A

321 A

322 A

323

A (Qdis)

324 A (acc)

325

A

(Ydis)

326

A

(Ydis)

327 A (Ydis)

328

A

(acc)

329

A

(Qdis)

330

B

(acc)

331

A(acc)

332

A

(Mdis)

333

B

(Mdis)

334

A(Mdis)

335

A

(Mdis)

336

A (Qdis)

337

A

(Mdis)

338

B (Qdis)

339 B (Mdis)

340 B (Mdis)

341 A

342 A

343 A

344 A

345 A

346 A

347 B

348 A

349 A

350 A

351 A

352 A

353 A

354 A

355 A

356 A

357 A

358 ( )

359 ( )

360 ( )

361

( )

362

( )

363

( )

364

( )

365 ( )

366 ( )

367 ( )

368 ( )

369 ( )

370 ( )

371 ( )

372 ( )

34 116

373 ( )

374

375

376

377

378

379

380

381

382

383 ( )

384 ( )

385 ( )

386 ( )

387 ( )

388 ( )

389 ( )

390 ( )

391 ( )

392 ( )

393 ( )

394 ( )

395 ( )

396 ( )

397 ( ) B

398 ( ) B

399 ( ) B

400 ( ) B

401 ( )

402 ( ) AM

403 ( ) ( )

404 ( ) ( )

405 ( ) ( )

406 ( ) ( )

407 ( ) ( )

408 ( ) ( )

409 ( ) ( )

410 ( ) ( )

411 ( ) ( )

412 ( ) ( )

413 ( ) ( )

414 B

415 A

416 A

417 B

418 I

419 B2

420 A2

421 AT

422 BT

423 A

424 A

425 A

426 A

427 A2

428 AT

429 A

430 BT

431 B

432 A

433 A

434 A

435 A

436 A EUR

437 A USD

438

A1

439

( ) A1

440

( ) A1

35 116

441

A1

442

A1

443

A1

444

B1

445

( ) A1

446

A1

447

( ) A1

448

A

449

A1

450

A1

451

A1

452

A1

453

A1

454

( ) A1

455

A1

456

( ) A1

457

A1

458

( ) A1

459

A1

460

( ) A1

461

A1

462

A1

463

A1

464

A1

465

B1

466

A1

467

A

468

A1

469

A1

470

A1

471

A1

472

A1

473

A1

474

( ) A1

475

A1

476

A1

477

A1

478

A1

479

A1

480

A1

36 116

481

482

483

484

485

486

487

488

489

490

491

492

493

MSCI (iShares MSCI Emerging Markets

Index Fund)

Barclays Global Investors

III

1 3COM CORP 2 3I GROUP PLC 3 3I INFRASTRUCTURE LTD

4 3M CO 5 77 BANK LTD/THE 6 A P MOLLER - MAERSK A/S

7 A2A SPA 8 AAR CORP 9 AARE-TESSIN AG ELEKTRIZITAT

10 ABB GRAIN LIMITED 11

ABB LTD/INDIA 12 ABB LTD-REG

13 ABBOTT LABORATORIES 14

ABC LEARNING CENTRES LTD 15 ABC-MART INC

16 ABENGOA SA 17

ABERCROMBIE & FITCH CO-CL A 18 ABERTIS INFRAESTRUCTURAS SA

19 ABITIBIBOWATER INC 20

ABN AMRO HOLDING NV 21

ABOU KIR FERTILIZERS & CHEMICAL

INDUSTRI

22 ABRAXIS BIOSCIENCE INC 23

ABSA GROUP LTD 24 ABU DHABI COMMERCIAL BANK

25 ABU DHABI NATIONAL HOTELS 26

ACC LTD 27 ACCENTURE LTD-CL A

28 ACCESS CO LTD 29

ACCIONA SA 30 ACCOR SA

31 ACE AVIATION HOLDINGS INC-B 32

ACE LTD 33 ACERGY SA

34 ACERINOX SA 35

ACOM CO LTD 36 ACS ACTIVIDADES CONS Y SERV

37 ACTELION LTD-REG 38

ACTIVISION INC 39 ACTUANT CORP-CL A

40 ACUITY BRANDS INC 41

ADAMS RESPIRATORY THERA INC 42 ADANI ENTERPRISES LTD

43 ADC TELECOMMUNICATIONS INC 44

ADDAX PETROLEUM CORP 45 ADECCO SA-REG

46 ADELAIDE BRIGHTON LIMITED 47

ADIDAS AG 48 ADMIRAL GROUP PLC

49 ADOBE SYSTEMS INC 50

ADP 51 ADTRAN INC

52 ADVANCE AUTO PARTS INC 53

ADVANCED INFO SERVICE PCL 54 ADVANCED MEDICAL OPTICS

55 ADVANCED METALLURGICAL GROUP NV 56

ADVANCED MICRO DEVICES 57 ADVANTAGE ENERGY INCOME FUND

58 ADVANTEST CORP 59

ADVENT SOFTWARE INC 60 ADVISORY BOARD CO/THE

61 AECOM TECHNOLOGY CORP 62

AEGEAN MARINE PETROLEUM NETW 63 AEGIS GROUP PLC

64 AEON CO LTD 65

AEON CREDIT SERVICE CO LTD 66 AEON MALL CO LTD

67 AERCAP HOLDINGS NV 68

AEROPLAN INCOME FUND 69 AEROPORTS DE PARIS

70 AEROPOSTALE INC 71

AES CORP 72 AETNA INC

73 AFFILIATED COMPUTER SVCS-A 74

AFFILIATED MANAGERS GROUP 75 AFFIN HOLDINGS BERHAD

76 AFFYMETRIX INC 77

AFLAC INC 78 AFRICA ISRAEL INVESTMENTS LTD

79 AFRICAN RAINBOW MINERALS LTD 80

AGCO CORP 81 AGF MANAGEMENT LTD-CL B

82 AGGREKO PLC 83

AGILENT TECHNOLOGIES INC 84 AGL ENERGY LTD

85 AGL RESOURCES INC 86

AGNICO-EAGLE MINES 87 AGRIUM INC

88 AGUAS ANDINAS SA 89

AGUAS DE BARCELONA-CLASS A 90 AHLI UNITED BANK

91 AIFUL CORP 92

AIOI INSURANCE CO LTD 93 AIR FRANCE-KLM

94 AIR LIQUIDE 95

AIR NEW ZEALAND LTD 96 AIR PRODUCTS & CHEMICALS INC

97 AIR WATER INC 98

AIRASIA BHD 99 AIRCASTLE LTD

100

AIRGAS INC 101

AIRPORTS OF THAILAND PCL 102

AISIN SEIKI CO LTD

103

AIXTRON AG-SPONSORED ADR 104

AJINOMOTO CO INC 105

AK STEEL HOLDING CORP

106

AKAMAI TECHNOLOGIES 107

AKBANK TAS 108

AKER KVAERNER

109

AKRUTI CITY LTD 110

AKZO NOBEL 111

AL ABDULLATIF INDUSTRIAL INVESTMENT

CO

112

AL RAJHI BANK 113

ALABAMA NATIONAL BANCORP/DEL 114

ALBANY INTL CORP-CL A

115

ALBEMARLE CORP 116

ALBERTO-CULVER CO 117

ALCATEL-LUCENT

118

ALCHEVSKIY METALURGIYNIY KOMBINAT 119

ALCOA INC 120

ALCON INC

121

ALDAR PROPERTIES PJSC 122

ALEXANDER & BALDWIN INC 123

ALEXANDER'S INC

124

ALEXANDRIA REAL ESTATE EQUIT 125

ALEXION PHARMACEUTICALS INC 126

ALFA CORPORATION

127

ALFA LAVAL AB 128

ALFRED MCALPINE PLC 129

ALFRESA HOLDINGS CORP

130

ALIMENTATION COUCHE-TARD -B 131

ALKERMES INC 132

ALL AMERICA LATINA LOGISTICA SA

133

ALL NIPPON AIRWAYS CO LTD 134

ALLCO FINANCE GROUP LTD 135

ALLEANZA ASSICURAZIONI

136

ALLEGHANY CORP 137

ALLEGHENY ENERGY INC 138

ALLEGHENY TECHNOLOGIES INC

139

ALLERGAN INC 140

ALLETE INC 141

ALLGREEN PROPERTIES LTD

142

ALLIANCE & LEICESTER PLC 143

ALLIANCE DATA SYSTEMS CORP 144

ALLIANCE FINANCIAL GROUP BHD

145

ALLIANCE GLOBAL GROUP INC 146

ALLIANCE HOLDINGS GP LP 147

ALLIANCE RESOURCE PARTNERS

148

ALLIANT ENERGY CORP 149

ALLIANT TECHSYSTEMS INC 150

ALLIANZ LEBENSVERSICHERUNGS-AG

151

ALLIANZ SE-REG 152

ALLIED CAPITAL CORP 153

ALLIED IRISH BANKS PLC

154

ALLIED IRISH BANKS-SPONS ADR 155

ALLIED WASTE INDUSTRIES INC 156

ALLIED WORLD ASSURANCE CO

37 116

157

ALLREAL HOLDING AG 158

ALLSTATE CORP 159

ALMACENES EXITO SA

160

ALMARAI CO LTD 161

ALNYLAM PHARMACEUTICALS INC 162

ALPHA BANK A.E.

163

ALPHA NATURAL RESOURCES INC 164

ALPS ELECTRIC CO LTD 165

AL-QURAIN PETROCHEMICALS CO

166

ALRO SA 167

ALSTOM 168

ALTADIS SA

169

ALTAGAS INCOME TRUST 170

ALTANA AG 171

ALTAREA

172

ALTERA CORPORATION 173

ALTRIA GROUP INC 174

ALUAR ALUMINIO ARGENTINO SAIC

175

ALUMINA LTD 176

AMADA CO LTD 177

AMAZON.COM INC

178

AMB GENERALI HOLDING AG 179

AMB PROPERTY CORP 180

AMBAC FINANCIAL GROUP INC

181

AMBUJA CEMENTS LTD 182

AMCOR LTD 183

AMDOCS LTD

184

AMEC PLC 185

AMEDISYS INC 186

AMER SPORTS OYJ

187

AMERCO 188

AMEREN CORPORATION 189

AMERICA MOVIL SAB DE CV

190

AMERICAN AXLE & MANUFACTURING

HOLDINGS I

191

AMERICAN CAPITAL STRATEGIES 192

AMERICAN EAGLE OUTFITTERS

193

AMERICAN ELECTRIC POWER 194

AMERICAN EXPRESS CO 195

AMERICAN FINANCIAL GROUP INC

196

AMERICAN FINANCIAL REALTY TR 197

AMERICAN GREETINGS CORP-CL A 198

AMERICAN INTERNATIONAL GROUP

199

AMERICAN NATIONAL INSURANCE 200

AMERICAN TOWER CORP-CL A 201

AMERICREDIT CORP

202

AMERIGROUP CORP 203

AMERIPRISE FINANCIAL INC 204

AMERISOURCEBERGEN CORP

205

AMERISTAR CASINOS INC 206

AMETEK INC 207

AMGEN INC

208

AMKOR TECHNOLOGY INC 209

AMLIN PLC 210

AMMB HOLDINGS BHD

211

AMOREPACIFIC CORP 212

AMP LTD 213

AMPHENOL CORP-CL A

214

AMR CORP 215

AMTEK AUTO LTD 216

AMYLIN PHARMACEUTICALS INC

217

ANADARKO PETROLEUM CORP 218

ANADOLU EFES BIRACILIK VE MALT

SANAYII A

219

ANALOG DEVICES

220

ANANT RAJ INDUSTRIES LTD 221

ANDRITZ AG 222

ANEKA TAMBANG TBK PT

223

ANGLO AMERICAN PLC 224

ANGLO AMERICAN PLC-UNSP ADR 225

ANGLO IRISH BANK CORP PLC

226

ANGLO PLATINUM LTD 227

ANGLOGOLD ASHANTI LTD 228

ANGLOGOLD ASHANTI-SPON ADR

229

ANHEUSER-BUSCH COS INC. 230

ANIXTER INTERNATIONAL INC 231

ANNALY CAPITAL MANAGEMENT IN

232

ANNTAYLOR STORES CORP 233

ANSELL LTD 234

ANSYS INC

235

ANTARCHILE SA 236

ANTENA 3 TELEVISION 237

ANTOFAGASTA PLC

238

AON CORP 239

AOYAMA TRADING CO LTD 240

AOZORA BANK LTD

241

APA GROUP 242

APACHE CORP 243

APARTMENT INVT & MGMT CO -A

244

APN NEWS & MEDIA LIMITED 245

APOLLO GROUP INC-CL A 246

APOLLO INVESTMENT CORP

247

APP PHARMACEUTICALS INC 248

APPLE INC 249

APPLERA CORP - CELERA GROUP

250

APPLIED BIOSYSTEMS GROUP 251

APPLIED INDUSTRIAL TECH INC 252

APPLIED MATERIALS INC

253

APTARGROUP INC 254

AQUA AMERICA INC 255

AQUARIUS PLATINUM LIMITED

256

AQUILA INC 257

ARAB BANK 258

ARAB NATIONAL BANK

259

ARAB POTASH CO 260

ARABIAN CEMENT 261

ARACRUZ CELULOSE SA

262

ARACRUZ CELULOSE SA-SPON ADR 263

ARBITRON INC 264

ARC ENERGY TRUST-UNITS

265

ARCADIS NV 266

ARCANDOR AG 267

ARCELIK

268

ARCELOR MITTAL 269

ARCELORMITTAL INOX BRASIL SA 270

ARCELORMITTAL-NY REGISTERED

271

ARCH CAPITAL GROUP LTD 272

ARCH COAL INC 273

ARCHER-DANIELS-MIDLAND CO

274

ARENA RESOURCES INC 275

AREVA SA 276

AREVA T&D INDIA LTD

277

ARGO GROUP INTERNATIONAL 278

ARISTOCRAT LEISURE LTD 279

ARKEMA

280

ARM HOLDINGS PLC 281

ARMSTRONG WORLD INDUSTRIES INC 282

ARRIS GROUP INC

283

ARRIVA PLC 284

ARROW ELECTRONICS INC 285

ARROW ENERGY LTD

286

ARTHROCARE CORP 287

ARTHUR J GALLAGHER & CO 288

ARUZE CORP

289

ASAHI BREWERIES LTD 290

ASAHI GLASS CO LTD 291

ASAHI KASEI CORP

292

ASAHI SOFT DRINKS CO LTD 293

ASATSU-DK INC 294

ASCIANO GROUP

295

ASCOTT GROUP LTD/THE 296

ASE TEST LIMITED 297

ASEER

298

ASHLAND INC 299

ASHMORE GROUP PLC. 300

ASIAN PAINTS LTD

301

ASICS CORP 302

ASM INTERNATIONAL N.V. 303

ASML HOLDING NV

304

ASPEN INSURANCE HOLDINGS LTD 305

ASPEN TECHNOLOGY INC 306

ASSA ABLOY AB-B

307

ASSICURAZIONI GENERALI 308

ASSOCIATED BANC-CORP 309

ASSOCIATED BRITISH FOODS PLC

310

ASSURANT INC 311

ASSURED GUARANTY LTD 312

ASTELLAS PHARMA INC

313

ASTORIA FINANCIAL CORP 314

ASTRA AGRO LESTARI TBK PT 315

ASTRAL MEDIA INC

316

ASTRAZENECA PLC 317

ASTRO ALL ASIA NETWORKS PLC 318

ASX LTD

319

AT&T INC 320

ATCO LTD -CL 'I' 321

ATEL HOLDING AG

322

ATHENAHEALTH INC 323

ATLANTIA SPA 324

ATLAS AIR WORLDWIDE HOLDINGS

325

ATLAS AMERICA INC 326

ATLAS COPCO AB-A SHS 327

ATMEL CORP

328

ATMOS ENERGY CORP 329

ATOS ORIGIN SA 330

ATP OIL & GAS CORPORATION

331

ATRIUM LJUNGBERG AB 332

ATTIJARIWAFA BANK 333

ATWOOD OCEANICS INC

334

AUCKLAND INTERNATIONAL AIRPORT LTD 335

AUDI AG 336

AUST AND NZ BANKING GROUP

337

AUSTAR UNITED COMMUNICATIONS 338

AUSTEVOLL SEAFOOD ASA 339

AUSTRALAND PROPERTY GROUP

340

AUSTRALIA & NEW ZEALAND BANKING GROUP

LTD

341

AUSTRALIAN WORLDWIDE EXPLORA 342

AUTODESK INC

343

AUTOGRILL SPA 344

AUTOLIV INC 345

AUTOMATIC DATA PROCESSING

346

AUTONATION INC 347

AUTONOMY CORP PLC 348

AUTOSTRADA TORINO-MILANO SPA

349

AUTOZONE INC 350

AUXILIUM PHARMACEUTICALS INC 351

AVALONBAY COMMUNITIES INC

352

AVERY DENNISON CORP 353

AVIS BUDGET GROUP INC 354

AVISTA CORP

355

AVIVA PLC 356

AVNET INC 357

AVON PRODUCTS INC

358

AVX CORP 359

AWA BANK LTD/THE 360

AXA

361

AXA ASIA PACIFIC HOLDINGS 362

AXA SA 363

AXCAN PHARMA INC

38 116

364

AXEL SPRINGER AG 365

AXFOOD AB 366

AXIS CAPITAL HOLDINGS LTD

367

AXIS COMMUNICATIONS AB 368

AYALA LAND INC 369

AZOVSTAL

370

B2W CIA GLOBAL DO VAREJO 371

BABCOCK & BROWN INFRASTRUCTU 372

BABCOCK & BROWN LTD

373

BABCOCK & BROWN POWER 374

BABCOCK & BROWN WIND PARTNER 375

BABCOCK INTL GROUP PLC

376

BACHEM HOLDING AG 377

BAE SYSTEMS PLC 378

BAJAJ AUTO LTD

379

BAKER HUGHES INC 380

BAKKAVOR HF 381

BAKRIELAND DEVELOPMENT TBK PT

382

BALDOR ELECTRIC 383

BALFOUR BEATTY PLC 384

BALL CORP

385

BALLY TECHNOLOGIES INC 386

BALOISE HOLDING-REG 387

BALTIKA BREWERY

388

BANCA CARIGE SPA 389

BANCA MONTE DEI PASCHI SIENA 390

BANCA POPOLARE DI MILANO

391

BANCO BILBAO VIZCAYA ARGENTA 392

BANCO BILBAO VIZCAYA ARGENTARIA 393

BANCO BPI SA.- REG SHS

394

BANCO BRADESCO SA 395

BANCO COMERCIAL PORTUGUES-R 396

BANCO DE ANDALUCIA S.A.

397

BANCO DE CHILE-ADR 398

BANCO DE SABADELL SA 399

BANCO DE VALENCIA SA

400

BANCO DO BRASIL SA 401

BANCO ESP CREDITO (BANESTO) 402

BANCO ESPIRITO SANTO-REG

403

BANCO GUIPUZCOANO -REGD 404

BANCO ITAU HOLDING FINANCEIRA SA 405

BANCO MACRO SA-ADR

406

BANCO PASTOR 407

BANCO POPOLARE SCARL 408

BANCO POPULAR ESPANOL

409

BANCO SANTANDER CHILE SA 410

BANCO SANTANDER SA 411

BANCO SANTANDER SA/BRAZIL

412

BANCO SANTANDER SA-SPON ADR 413

BANCO SANTANDER-CHILE-ADR 414

BANCORPSOUTH INC

415

BANGKOK BANK PUBLIC CO LTD 416

BANGKOK DUSIT MED SERVICE 417

BANK AUSTRIA CREDITANSTALT AG

418

BANK BPH SA 419

BANK CENTRAL ASIA TBK PT 420

BANK MANDIRI PERSERO TBK PT

421

BANK OF AMERICA CORP 422

BANK OF AYUDHYA PCL 423

BANK OF CYPRUS PUBLIC CO LTD

424

BANK OF EAST ASIA 425

BANK OF EAST ASIA LTD 426

BANK OF GREECE

427

BANK OF HAWAII CORP 428

BANK OF IRELAND 429

BANK OF IWATE LTD/THE

430

BANK OF KYOTO LTD/THE 431

BANK OF MONTREAL 432

BANK OF MOSCOW

433

BANK OF NAGOYA LTD/THE 434

BANK OF NEW YORK MELLON CORP 435

BANK OF NOVA SCOTIA

436

BANK OF QUEENSLAND LTD 437

BANK OF YOKOHAMA LTD/THE 438

BANK PEKAO SA

439

BANK RAKYAT INDONESIA 440

BANK ZACHODNI WBK SA 441

BANKINTER SA

442

BANPU PUBLIC CO LTD 443

BANQUE SAUDI FRANSI 444

BARCLAYS PLC

445

BARCLAYS PLC-SPONS ADR 446

BARD (C.R.) INC 447

BARE ESCENTUALS INC

448

BARITO PACIFIC TBK PT 449

BARNES & NOBLE INC 450

BARNES GROUP INC

451

BARR PHARMACEUTICALS INC 452

BARRATT DEVELOPMENTS PLC 453

BARRICK GOLD CORP

454

BARRY CALLEBAUT AG 455

BARWA REAL ESTATE CO 456

BASF SE

457

BASILEA PHARMACEUTICA 458

BAUER AG 459

BAXTER INTERNATIONAL INC

460

BAYER AG 461

BAYER SCHERING PHARMA AG 462

BAYERISCHE HYPO- UND VEREINSBANK AG

463

BAYERISCHE MOTOREN WERKE AG 464

BAYTEX ENERGY TRUST-UNITS 465

BAYWA AG

466

BB&T CORP 467

BBA AVIATION PLC 468

BBVA BANCO FRANCES SA-ADR

469

BCE INC 470

BE AEROSPACE INC 471

BEA SYSTEMS INC

472

BEACH PETROLEUM LTD 473

BEAR STEARNS COMPANIES INC 474

BEBE STORES INC

475

BEC WORLD PUBLIC CO LTD 476

BECKMAN COULTER INC 477

BECTON DICKINSON & CO

478

BED BATH & BEYOND INC 479

BEFIMMO SCA SICAFI 480

BEIERSDORF AG

481

BEKAERT SA 482

BELDEN INC 483

BELGACOM SA

484

BELK INC 485

BELL ALIANT REGIONAL COMMUNI 486

BELLWAY PLC

487

BELO CORPORATION-A 488

BEMIS COMPANY 489

BEML LTD

490

BENCHMARK ELECTRONICS INC 491

BENDIGO BANK LIMITED 492

BENESSE CORP

493

BENETEAU SA 494

BENETTON GROUP SPA 495

BENI STABILI SPA

496

BENUE CEMENT CO PLC 497

BERJAYA SPORTS TOTO BHD 498

BERKELEY GROUP HOLDINGS-UNIT

499

BERKSHIRE HATHAWAY INC-CL B 500

BERRY PETROLEUM CO-CLASS A 501

BERU AG

502

BEST BUY CO INC 503

BFI CANADA INCOME FUND 504

BG GROUP PLC

505

BHARAT ELECTRONICS LTD 506

BHARAT FORGE LTD 507

BHARAT HEAVY ELECTRICALS LTD

508

BHARTI AIRTEL LTD 509

BHP BILLITON LTD 510

BHP BILLITON PLC

511

BIFFA PLC 512

BIG C SUPERCENTER PCL 513

BIG LOTS INC

514

BIJOU BRIGITTE AG 515

BILFINGER BERGER AG 516

BILL BARRETT CORP

517

BILLABONG INTERNATIONAL LTD 518

BIM BIRLESIK MAGAZALAR AS 519

BINDURA NICKEL CORP LTD

520

BIOCON LTD 521

BIOGEN IDEC INC 522

BIOMARIN PHARMACEUTICAL INC

523

BIOMED REALTY TRUST INC 524

BIO-RAD LABORATORIES-CL A 525

BIOTON SA

526

BIOVAIL CORPORATION 527

BJ SERVICES CO 528

BJ'S WHOLESALE CLUB INC

529

BKW FMB ENERGIE AG 530

BLACK & DECKER CORP 531

BLACK HILLS CORP

532

BLACKBAUD INC 533

BLACKROCK INC 534

BLUE COAT SYSTEMS INC

535

BLUESCOPE STEEL LTD 536

BMC SOFTWARE INC 537

BNP PARIBAS

538

BOARDWALK REAL ESTATE INVEST 539

BOART LONGYEAR GROUP 540

BOBST GROUP AG

541

BOEHLER-UDDEHOLM AG 542

BOEING CO 543

BOIS D' ARC ENERGY INC

544

BOK FINANCIAL CORPORATION 545

BOLIDEN AB 546

BOLSAS Y MERCADOS ESPANOLES

547

BOMBARDIER INC 548

BONAVISTA ENERGY TRUST 549

BONGRAIN SA

550

BONHEUR A/S 551

BORAL LIMITED 552

BORGWARNER INC

553

BOSCH CORP 554

BOSCH LTD 555

BOSKALIS WESTMINSTER-CVA

556

BOSTON PROPERTIES INC 557

BOSTON SCIENTIFIC CORP 558

BOUBYAN PETROCHEMICALS CO

559

BOURBON SA 560

BOUSTEAD HOLDINGS BHD 561

BOUYGUES

562

BOVIS HOMES GROUP PLC 563

BOYD GAMING CORP 564

BP PLC

565

BPO PROPERTIES LTD 566

BR MALLS PARTICIPACOES SA 567

BRADESPAR SA

568

BRADFORD & BINGLEY PLC 569

BRADY CORPORATION - CL A 570

BRAMBLES LTD

571

BRANDYWINE REALTY TRUST 572

BRASKEM SA 573

BRASMOTOR SA

39 116

574

BRD-GROUPE SOCIETE GENERALE 575

BRE PROPERTIES INC 576

BREDERODE (SA FINANCIERE)

577

BREITBURN ENERGY PARTNERS LP 578

BRICKWORKS LTD 579

BRIDGESTONE CORP

580

BRIGHT HORIZONS FAMILY SOLUT 581

BRINKER INTERNATIONAL INC 582

BRINK'S CO/THE

583

BRISA 584

BRISTOL-MYERS SQUIBB CO 585

BRISTOW GROUP INC

586

BRIT INSURANCE HOLDINGS PLC 587

BRITISH AIRWAYS PLC 588

BRITISH AMERICAN TOBACCO BHD

589

BRITISH AMERICAN TOBACCO PLC 590

BRITISH ENERGY GROUP PLC 591

BRITISH LAND CO PLC

592

BRITISH SKY BROADCASTING GRO 593

BROADCOM CORP-CL A 594

BROADRIDGE FINANCIAL SOLUTIO

595

BROCADE COMMUNICATIONS SYS 596

BROOKDALE SENIOR LIVING INC 597

BROOKFIELD ASSET MANAGE-CL A

598

BROOKFIELD PROPERTIES CORP 599

BROTHER INDUSTRIES LTD 600

BROWN & BROWN INC

601

BROWN-FORMAN CORP-CLASS A 602

BROWN-FORMAN CORP-CLASS B 603

BRUKER BIOSCIENCES CORP

604

BRUNSWICK CORP 605

BT GROUP PLC 606

BUCHER INDUSTRIES AG

607

BUCYRUS INTERNATIONAL INC-A 608

BULGARI SPA 609

BUMI RESOURCES TBK PT

610

BUMIPUTRA-COMMERCE HLDGS BHD 611

BUNGE LTD 612

BUNZL PLC

613

BURBERRY GROUP PLC 614

BURGER KING HOLDINGS INC 615

BURLINGTON NORTHERN SANTA FE

616

BURREN ENERGY PLC 617

BURSA MALAYSIA BHD 618

BUSINESS OBJECTS

619

BUSINESS OBJECTS SA-SP ADR 620

BUZZI UNICEM SPA 621

BW GAS ASA

622

C&C GROUP PLC 623

C.H. ROBINSON WORLDWIDE INC 624

CA IMMOBILIEN ANLAGEN AG

625

CA INC 626

CABCHARGE AUSTRALIA LTD 627

CABLE & WIRELESS PLC

628

CABLEVISION SYSTEMS-NY GRP-A 629

CABOT CORP 630

CABOT OIL & GAS CORP

631

CACI INTERNATIONAL INC -CL A 632

CADBURY SCHWEPPES PLC 633

CADENCE DESIGN SYS INC

634

CAE INC 635

CAIRN ENERGY PLC 636

CALAMOS ASSET MANAGEMENT-A

637

CALLAWAY GOLF COMPANY 638

CALLOWAY REAL ESTATE INVESTM 639

CALSONIC KANSEI CORP

640

CALTEX AUSTRALIA LIMITED 641

CALUMET SPECIALTY PRODUCTS 642

CAMAIEU

643

CAMDEN PROPERTY TRUST 644

CAMECO CORP 645

CAMERON INTERNATIONAL CORP

646

CAMPBELL SOUP CO 647

CAN IMPERIAL BK OF COMMERCE 648

CAN REAL ESTATE INVEST TRUST

649

CANADIAN IMPERIAL BANK OF

COMMERCE/CANAD

650

CANADIAN NATL RAILWAY CO 651

CANADIAN NATURAL RESOURCES

652

CANADIAN OIL SANDS TRUST 653

CANADIAN PACIFIC RAILWAY LTD 654

CANADIAN TIRE CORP -CL A

655

CANADIAN UTILITIES LTD A 656

CANADIAN WESTERN BANK 657

CANFOR CORPORATION

658

CANON INC 659

CANON MARKETING JAPAN INC 660

CAP GEMINI SA

661

CAP SA 662

CAPCOM CO LTD 663

CAPELLA EDUCATION CO

664

CAPITA GROUP PLC 665

CAPITAL ONE FINANCIAL CORP 666

CAPITALAND LTD

667

CAPITALSOURCE INC 668

CAPITAMALL TRUST 669

CAPITOL FEDERAL FINANCIAL

670

CARDINAL HEALTH INC 671

CAREER EDUCATION CORP 672

CARGOTEC CORP-B SHARE

673

CARILLION PLC 674

CARLISLE COS INC 675

CARLSBERG AS-B

676

CARMAX INC 677

CARNIVAL CORP 678

CARNIVAL PLC

679

CARPENTER TECHNOLOGY 680

CARPHONE WAREHOUSE GROUP 681

CARREFOUR SA

682

CARREFOURSA CARREFOUR SABANCI TICARET

ME

683

CARRIZO OIL & GAS INC 684

CARSO GLOBAL TELECOM SAB DE CV

685

CARSO INFRAESTRUCTURA Y CONSTRUCCION

SAB

686

CARTER'S INC 687

CASEY'S GENERAL STORES INC

688

CASINO GUICHARD PERRACHON 689

CASIO COMPUTER CO LTD 690

CASTELLUM AB

691

CATERPILLAR INC 692

CATHAY GENERAL BANCORP 693

CATHAY PACIFIC AIRWAYS

694

CATHAY PACIFIC AIRWAYS LTD 695

CATTLES PLC 696

CATTOLICA ASSICURAZIONI SCRL

697

CB RICHARD ELLIS GROUP INC-A 698

CBL & ASSOCIATES PROPERTIES 699

CBS CORP-CLASS A

700

CCL INDUSTRIES INC - CL B 701

CELANESE CORP-SERIES A 702

CELESIO AG

703

CELESTICA INC 704

CELGENE CORP 705

CELLCOM ISRAEL LTD

706

CEMENTIR HOLDING SPA 707

CEMENTOS ARGOS SA 708

CEMENTOS MOLINS SA

709

CEMENTOS PORTLANDVALDERRIVAS 710

CEMEX SAB-SPONS ADR PART CER 711

CENTERPOINT ENERGY INC

712

CENTERRA GOLD INC 713

CENTEX CORP 714

CENTRAIS ELETRICAS BRASILEIRAS SA

715

CENTRAIS ELETRICAS BRAS-PR B 716

CENTRAL EURO DISTRIBUTION CP 717

CENTRAL EUROPEAN MEDIA ENT-A

718

CENTRAL JAPAN RAILWAY CO 719

CENTRAL PATTANA PUB CO LTD 720

CENTRICA PLC

721

CENTROS COMERCIALES SUDAMERICANOS SA

722

CENTURY ALUMINUM COMPANY 723

CENTURYTEL INC

724

CEPHALON INC 725

CEPHEID INC 726

CERADYNE INC

727

CERNER CORP 728

CERSANIT KRASNYSTAW SA 729

CEZ

730

CF INDUSTRIES HOLDINGS INC 731

CFS RETAIL PROPERTY TRUST 732

CGI GROUP INC - CL A

733

CH ROBINSON WORLDWIDE INC 734

CHALLENGER FINANCIAL SERVICE 735

CHARLES RIVER LABORATORIES

736

CHARLES SCHWAB CORP/THE 737

CHARTER PLC 738

CHARTERED SEMICONDUCTOR-ADR

739

CHATTEM INC 740

CHC HELICOPTER CORP-CL A 741

CHECK POINT SOFTWARE TECH

742

CHEESECAKE FACTORY (THE) 743

CHEIL COMMUNICATIONS INC 744

CHEIL INDUSTRIES INC

745

CHELYABINSK PIPE WORKS 746

CHEMED CORP 747

CHEMRING GROUP PLC

748

CHEMTURA CORP 749

CHESAPEAKE ENERGY CORP 750

CHEUNG KONG HOLDINGS LTD

751

CHEUNG KONG INFRASTRUCTURE 752

CHEVRON CORP 753

CHIBA BANK LTD/THE

754

CHICAGO BRIDGE & IRON-NY SHR 755

CHICO'S FAS INC 756

CHIPOTLE MEXICAN GRILL-CL A

757

CHIYODA CORP 758

CHOICE HOTELS INTL INC 759

CHOICEPOINT INC

760

CHRISTIAN DIOR 761

CHUBB CORP 762

CHUBU ELECTRIC POWER CO INC

763

CHUGAI PHARMACEUTICAL CO LTD 764

CHUGOKU BANK LTD/THE 765

CHUGOKU ELECTRIC POWER CO

766

CHUO MITSUI TRUST HOLDINGS 767

CHURCH & DWIGHT CO INC 768

CI FINANCIAL INCOME FUND

769

CIA CERVECERIAS UNIDAS-ADR 770

CIA DE BEBIDAS DAS AMERICAS 771

CIA DE CONCESSOES RODOVIARIAS

772

CIA DE DISTRIBUCION INTEGRAL LOGISTA SA

773

CIA DE GAS DE SAO PAULO 774

CIA DE MINAS BUENAVENTURA SA

775

CIA DE MINAS BUENAVENTUR-ADR 776

CIA DE SANEAMENTO BASICO DO ESTADO

DE SA

777

CIA DISTRIB INTEGRAL LOGISTA

778

CIA ENERGETICA DE MINAS GERAIS 779

CIA ENERGETICA DE SAO PAULO 780

CIA ESPANOLA DE PETROLEOS SA

40 116

781

CIA MINERA MILPO SAA 782

CIA PARANAENSE DE ENERGIA 783

CIA PARANAENSE ENER-SP ADR P

784

CIA SANEAMENTO BASICO DE-ADR 785

CIA SIDERURGICA NACIONAL SA 786

CIA SIDERURGICA NACL-SP ADR

787

CIA SUDAMERICANA DE VAPORES SA 788

CIA TELECOM CHILE-SPONS ADR 789

CIA VALE DO RIO DOCE

790

CIA VALE DO RIO DOCE-ADR 791

CIBA SPECIALTY CHEMICALS-REG 792

CIE DE SAINT-GOBAIN

793

CIE FINANCIERE RICHEMON-BR A 794

CIE GEN GEOPHYSIQUE-SP ADR 795

CIE GENERALE DE GEOPHYSIQUE

796

CIECH SA 797

CIENA CORP 798

CIGNA CORP

799

CIMAREX ENERGY CO 800

CIMENTS DU MAROC 801

CIMENTS FRANCAIS SA

802

CIMPOR-CIMENTOS DE PORTUGAL 803

CINCINNATI FINANCIAL CORP 804

CINEMARK HOLDINGS INC

805

CINTAS CORP 806

CINTRA CONCESIONES DE INFRAE 807

CIRCLE K SUNKUS CO LTD

808

CISCO SYSTEMS INC 809

CIT GROUP INC 810

CITIC PACIFIC LIMITED

811

CITIGROUP INC 812

CITIZEN HOLDINGS CO LTD 813

CITIZENS COMMUNICATIONS CO

814

CITRIX SYSTEMS INC 815

CITY DEVELOPMENTS LTD 816

CITY NATIONAL CORP

817

CITYCON OYJ 818

CJ CHEILJEDANG CORP 819

CJ CORP

820

CLARCOR INC 821

CLARIANT AG-REG 822

CLAS OHLSON AB

823

CLEAN HARBORS INC 824

CLEAR CHANNEL COMMUNICATIONS 825

CLEAR CHANNEL OUTDOOR-CL A

826

CLEARWIRE CORP-CLASS A 827

CLECO CORPORATION 828

CLEVELAND-CLIFFS INC

829

CLIPPER WINDPOWER PLC 830

CLOROX COMPANY 831

CLOSE BROTHERS GROUP PLC

832

CLP HOLDINGS LTD 833

CME GROUP INC 834

CML HEALTHCARE INCOME FUND

835

CMS ENERGY CORP 836

CNA FINANCIAL CORP 837

CNET NETWORKS INC

838

CNH GLOBAL N.V. 839

CNP ASSURANCES 840

CNP -CIE NATL A PORTEFEUILLE

841

CNX GAS CORP 842

COACH INC 843

COAL & ALLIED INDUSTRIES LTD

844

COAL MINE CHERVONOARMIYSKA ZAHIDNA 1

845

COBHAM PLC 846

COCA COLA HELLENIC BOTTLING CO SA

847

COCA COLA HELLENIC BTLNG-ADR 848

COCA-COLA AMATIL LIMITED 849

COCA-COLA CO/THE

850

COCA-COLA ENTERPRISES 851

COCA-COLA FEMSA SAB DE CV 852

COCA-COLA FEMSA SAB-SP ADR

853

COCA-COLA HELLENIC BOTTLING 854

COCA-COLA WEST HOLDINGS CO L 855

COCHLEAR LIMITED

856

CODERE SA 857

COEUR D'ALENE MINES - CDI 858

COFINIMMO

859

COGECO CABLE INC 860

COGNIZANT TECH SOLUTIONS-A 861

COGNOS INC

862

COHEN & STEERS INC 863

COLAS SA 864

COLGATE-PALMOLIVE CO

865

COLLECTIVE BRANDS INC 866

COLONIAL BANCGROUP INC 867

COLONIAL PROPERTIES TRUST

868

COLOPLAST-B 869

COLRUYT SA 870

COLUMBIA SPORTSWEAR CO

871

COMCAST CORP-CL A 872

COMDIRECT BANK AG 873

COMERICA INC

874

COMFORTDELGRO CORP LTD 875

COMMERCE BANCORP INC/NJ 876

COMMERCE BANCSHARES INC

877

COMMERCE GROUP INC 878

COMMERCIAL METALS CO 879

COMMERCIAL REAL ESTATE CO

880

COMMERZBANK AG 881

COMMONWEALTH BANK OF AUSTRAL 882

COMMONWEALTH PROPERTY OFFICE

883

COMMSCOPE INC 884

COMMUNITY HEALTH SYSTEMS INC 885

COMPAGNIE DE SAINT-GOBAIN

886

COMPAGNIE D'ENTREPRISES CFE 887

COMPAGNIE DU CAMBODGE 888

COMPAGNIE MARITIME BELGE SA

889

COMPANHIA DE BEBIDAS-ADR 890

COMPASS GROUP PLC 891

COMPASS MINERALS INTERNATION

892

COMPLETE PRODUCTION SERVICES 893

COMPTON PETROLEUM CORP 894

COMPUTER SCIENCES CORP

895

COMPUTERSHARE LIMITED 896

COMPUWARE CORP 897

COMSTOCK RESOURCES INC

898

COMSYS HOLDINGS CORP 899

COMTECH TELECOMMUNICATIONS 900

CONAGRA FOODS INC

901

CONCHO RESOURCES INC 902

CONCUR TECHNOLOGIES INC 903

CONNECTEAST GROUP

904

CONOCOPHILLIPS 905

CONSECO INC 906

CONSOL ENERGY INC

907

CONSOLIDATED EDISON INC 908

CONSOLIDATED MEDIA HOLDINGS 909

CONSORCIO ARA SAB DE CV

910

CONSTANTIA PACKAGING AG 911

CONSTELLATION BRANDS INC-A 912

CONSTELLATION ENERGY GROUP

913

CONSTRUCC Y AUX DE FERROCARR 914

CONTINENTAL AG 915

CONTINENTAL AIRLINES-CLASS B

916

CONTINENTAL RESOURCES INC/OK 917

CONVERGYS CORP 918

CON-WAY INC

919

CONWERT IMMOBILIEN INVEST SE 920

COOKSON GROUP PLC 921

COOPER COS INC/THE

922

COOPER INDUSTRIES LTD-CL A 923

COOPER TIRE & RUBBER 924

COPA HOLDINGS SA-CLASS A

925

COPANO ENERGY LLC-UNITS 926

COPART INC 927

CORE LABORATORIES N.V.

928

CORIO NV 929

CORN PRODUCTS INTL INC 930

CORNING INC

931

CORP FINANCIERA ALBA 932

CORP GEO SAB DE CV 933

CORP MOCTEZUMA SAB DE CV

934

CORPBANCA SA-ADR 935

CORPORACION FINANCIERA ALBA 936

CORPORATE EXECUTIVE BOARD CO

937

CORPORATE EXPRESS 938

CORPORATE OFFICE PROPERTIES 939

CORRECTIONS CORP OF AMERICA

940

CORUS ENTERTAINMENT INC-B SH 941

COSAN LTD-CLASS A SHARES 942

COSAN SA INDUSTRIA E COMERCIO

943

COSCO CORP SINGAPORE LTD 944

COSMO OIL COMPANY LTD 945

COSMOTE MOBILE TELECOMMUNICATIONS

SA

946

COSTCO WHOLESALE CORP 947

COUNTRYWIDE FINANCIAL CORP 948

COUSINS PROPERTIES INC

949

COVANCE INC 950

COVANTA HOLDING CORP 951

COVENTRY HEALTH CARE INC

952

COVIDIEN LTD 953

COX RADIO INC-CL A 954

CP ALL PCL

955

CPFL ENERGIA SA 956

CPFL ENERGIA SA-ADR 957

CR BARD INC

958

CRANE CO 959

CREDICORP LTD 960

CREDIT AGRICOLE SA

961

CREDIT INDUSTRIEL ET COMMERCIAL 962

CREDIT SAISON CO LTD 963

CREDIT SUISSE GROUP-REG

964

CREDIT SUISSE GROUP-SPON ADR 965

CREE INC 966

CRESCENT POINT ENERGY TRUST

967

CRH PLC 968

CRH PLC-SPONSORED ADR 969

CRITERIA CAIXACORP SA

970

CROCS INC 971

CRODA INTERNATIONAL 972

CROMPTON GREAVES LTD

973

CROSSTEX ENERGY INC 974

CROSSTEX ENERGY LP 975

CROWN CASTLE INTL CORP

976

CROWN HOLDINGS INC 977

CROWN LTD 978

CSK HOLDINGS CORP

979

CSL LIMITED 980

CSM 981

CSR LIMITED

982

CSR PLC 983

CSX CORP 984

CTC MEDIA INC

985

CULLEN/FROST BANKERS INC 986

CUMMINS INC 987

CUMMINS INDIA LTD

988

CURTISS-WRIGHT CORP 989

CVR ENERGY INC 990

CVS CAREMARK CORP

41 116

991

CYPRESS SEMICONDUCTOR CORP 992

CYRELA BRAZIL REALTY SA 993

CYTEC INDUSTRIES INC

994

D/S NORDEN 995

D/S TORM A/S 996

DAEGU BANK

997

DAEJAN HOLDINGS 998

DAELIM INDUSTRIAL CO LTD 999

DAEWOO ENGINEERING & CONSTRUCTION

CO LTD

1000

DAEWOO INTERNATIONAL CORP 1001

DAEWOO SECURITIES CO LTD 1002

DAEWOO SHIPBUILDING & MARINE

1003

DAI NIPPON PRINTING CO LTD 1004

DAIBIRU CORP 1005

DAICEL CHEMICAL INDUSTRIES

1006

DAIDO STEEL CO LTD 1007

DAIFUKU CO LTD 1008

DAIHATSU MOTOR CO LTD

1009

DAIICHI CHUO KISEN KAISHA 1010

DAIICHI SANKYO CO LTD 1011

DAIKIN INDUSTRIES LTD

1012

DAILY MAIL&GENERAL TST-A NV 1013

DAIMLER AG 1014

DAINIPPON INK AND CHEMICALS

1015

DAINIPPON SCREEN MFG CO LTD 1016

DAINIPPON SUMITOMO PHARMA CO 1017

DAIRY CREST GROUP PLC

1018

DAIRY FARM INTERNATIONAL HOLDINGS LTD

1019

DAISEKI CO LTD 1020

DAISHI BANK LTD/THE

1021

DAISHIN SECURITIES CO LTD 1022

DAITO TRUST CONSTRUCT CO LTD 1023

DAIWA HOUSE INDUSTRY CO LTD

1024

DAIWA SECURITIES GROUP INC 1025

DAMPSKIBSSELSKABET TORM-ADR 1026

DANAHER CORP

1027

DANAOS CORP 1028

DANGOTE SUGAR REFINERY PLC 1029

DANISCO A/S

1030

DANSKE BANK A/S 1031

DARDEN RESTAURANTS INC 1032

DASSAULT AVIATION SA

1033

DASSAULT SYSTEMES SA 1034

DATA DOMAIN INC 1035

DAVID JONES LIMITED

1036

DAVIS SERVICE GROUP PLC 1037

DAVITA INC 1038

DB RREEF TRUST

1039

DBS GROUP HOLDINGS LTD 1040

DC CHEMICAL CO LTD 1041

DCC PLC

1042

DCT INDUSTRIAL TRUST INC 1043

DE LA RUE PLC 1044

DEAN FOODS CO

1045

DEBENHAMS PLC 1046

DECKERS OUTDOOR CORP 1047

DEERE & CO

1048

DEL MONTE FOODS CO 1049

DELEK GROUP LTD 1050

DELHAIZE GROUP

1051

DELL INC 1052

DELPHI FINANCIAL GROUP-CL A 1053

DELTA AIR LINES INC

1054

DELTA PETROLEUM CORP 1055

DELUXE CORP 1056

DENA CO LTD

1057

DENBURY RESOURCES INC 1058

DENISON MINES CORP 1059

DENKI KAGAKU KOGYO K K

1060

DENSO CORP 1061

DENTSPLY INTERNATIONAL INC 1062

DENTSU INC

1063

DERWENT LONDON PLC 1064

DESARROLLADORA HOMEX SAB DE CV 1065

DESARROLLADORA HOMEX-ADR

1066

DEUTSCHE BANK AG-REGISTERED 1067

DEUTSCHE BOERSE AG 1068

DEUTSCHE EUROSHOP AG

1069

DEUTSCHE LUFTHANSA-REG 1070

DEUTSCHE POST AG-REG 1071

DEUTSCHE POSTBANK AG

1072

DEUTSCHE TELEKOM AG-REG 1073

DEUTSCHE TELEKOM AG-SPON ADR 1074

DEUTZ AG

1075

DEVELOPERS DIVERSIFIED RLTY 1076

DEVON ENERGY CORPORATION 1077

DEVRY INC

1078

DEXIA SA 1079

DIAGEO PLC 1080

DIAGEO PLC-SPONSORED ADR

1081

DIAMOND OFFSHORE DRILLING 1082

DIAMONDROCK HOSPITALITY CO 1083

DIANA SHIPPING INC

1084

DICK'S SPORTING GOODS INC 1085

DIEBOLD INC 1086

D'IETEREN SA

1087

DIGI.COM BHD 1088

DIGITAL REALTY TRUST INC 1089

DIGITAL RIVER INC

1090

DILLARDS INC-CL A 1091

DIMENSION DATA HOLDINGS PLC 1092

DIONEX CORP

1093

DIRECTV GROUP INC/THE 1094

DIS DEUTSCHER INDUSTRIE SERVICE AG

1095

DISCO CORP

1096

DISCOUNT INVESTMENT CORP 1097

DISCOVER FINANCIAL SERVICES 1098

DISCOVERY HOLDING CO-A

1099

DISH NETWORK CORP-A 1100

DISTRIBUCION Y SERVICIO D&S SA 1101

DISTRIBUCION Y SERVICIO-ADR

1102

DISTRIGAZ 1103

DLF LTD 1104

DNB NOR ASA

1105

DOCTOR REDDY'S LAB-ADR 1106

DOLBY LABORATORIES INC-CL A 1107

DOLLAR TREE STORES INC

1108

DOLPHIN CAPITAL INVESTORS LTD 1109

DOMINION RESOURCES INC/VA 1110

DOMTAR CORP

1111

DON QUIJOTE CO LTD 1112

DONALDSON CO INC 1113

DONG-A PHARMACEUTICAL CO LTD

1114

DONGBU INSURANCE CO LTD 1115

DONGKUK STEEL MILL CO LTD 1116

DOOSAN CONSTRUCTION & ENGINE

1117

DOOSAN CORP 1118

DOOSAN HEAVY INDUSTRIES 1119

DOOSAN INFRACORE CO LTD

1120

DORAL FINANCIAL CORP 1121

DOUGLAS EMMETT INC 1122

DOUGLAS HOLDING AG

1123

DOUJA PROMOTION GROUPE ADDOHA SA 1124

DOVER CORP 1125

DOW CHEMICAL

1126

DOWA HOLDINGS CO LTD 1127

DOWNER EDI LIMITED 1128

DPL INC

1129

DR HORTON INC 1130

DRAKA HOLDING 1131

DRAX GROUP PLC

1132

DREAMWORKS ANIMATION SKG-A 1133

DRESSER-RAND GROUP INC 1134

DRIL-QUIP INC

1135

DRS TECHNOLOGIES INC 1136

DRYSHIPS INC 1137

DSG INTERNATIONAL PLC

1138

DST SYSTEMS INC 1139

DSV A/S 1140

DTE ENERGY COMPANY

1141

DU PONT (E.I.) DE NEMOURS 1142

DUBAI FINANCIAL MARKET 1143

DUBAI INVESTMENTS

1144

DUBAI ISLAMIC BANK 1145

DUET GROUP 1146

DUFRY GROUP

1147

DUFRY SOUTH AMERICA LTD 1148

DUKE ENERGY CORP 1149

DUKE REALTY CORP

1150

DUN & BRADSTREET CORP 1151

DUNDEE CORP -CL A 1152

DUNDEEWEALTH INC

1153

DURATEX SA 1154

DURO FELGUERA SA 1155

DUSKIN CO LTD

1156

DUVERNAY OIL CORP 1157

DYCKERHOFF AG 1158

DYNEGY INC-CL A

1159

DYNO NOBEL LTD 1160

E*TRADE FINANCIAL CORP 1161

E. ON AG

1162

EADS 1163

EAGLE BULK SHIPPING INC 1164

EAGLE MATERIALS INC

1165

EAGLE ROCK ENERGY PARTNERS 1166

EAST JAPAN RAILWAY CO 1167

EAST WEST BANCORP INC

1168

EASTERN CEMENT 1169

EASTERN PLATINUM LTD 1170

EASTGROUP PROPERTIES INC

1171

EASTMAN CHEMICAL COMPANY 1172

EASTMAN KODAK CO 1173

EASYJET PLC

1174

EATON CORP 1175

EATON VANCE CORP 1176

EBARA CORP

1177

EBAY INC 1178

EBRO PULEVA SA 1179

ECHO INVESTMENT SA

1180

ECHOSTAR CORP-A 1181

ECLIPSYS CORP 1182

ECOLAB INC

1183

ECONET WIRELESS HOLDINGS 1184

EDF ENERGIES NOUVELLES SA 1185

EDION CORP

1186

EDISON INTERNATIONAL 1187

EDISON SPA 1188

EDWARDS LIFESCIENCES CORP

1189

EFG EUROBANK ERGASIAS 1190

EGYPT KUWAIT HOLDING CO 1191

EGYPTIAN FINANCIAL GROUP-HERMES

HOLDING

1192

EI DU PONT DE NEMOURS 1193

EIENDOMSSPAR AS 1194

EIFFAGE

1195

EISAI CO LTD 1196

EL PASO CORP 1197

EL PUERTO DE LIVERPOOL SAB DE CV

1198

EL SEWEDY CABLES HOLDING CO 1199

ELAN CORP PLC 1200

ELAN CORP PLC -SPONS ADR

42 116

1201

ELBIT IMAGING LTD 1202

ELBIT SYSTEMS LTD 1203

ELDORADO GOLD CORPORATION

1204

ELECTRIC POWER DEVELOPMENT C 1205

ELECTRICITE DE FRANCE 1206

ELECTRICITY GENERATING PCL

1207

ELECTRIFICACIONES DEL NORTE 1208

ELECTROCOMPONENTS PLC 1209

ELECTROLUX AB-SER B

1210

ELECTRONIC ARTS INC 1211

ELECTRONIC DATA SYSTEMS CORP 1212

ELEKTRO ELETRICIDADE E SERVICOS SA

1213

ELI LILLY & CO 1214

ELISA OYJ 1215

ELPIDA MEMORY INC

1216

ELRINGKLINGER AG 1217

EMAAR ECONOMIC CITY 1218

EMAAR PROPERTIES PJSC

1219

EMAP PLC 1220

EMBARQ CORP 1221

EMBOTELLADORA ANDINA-ADR A

1222

EMC CORP/MASS 1223

EMCOR GROUP INC 1224

EMERA INC

1225

EMERGENCY MEDICAL SERVICES-A 1226

EMERSON ELECTRIC CO 1227

EMIRATES TELECOM CORP

1228

EMPIRE CO LTD 'A' 1229

EMPRESA BRASILEIRA DE AERONAUTICA

SA

1230

EMPRESA NAC ELEC-CHIL-SP ADR

1231

EMPRESA NACIONAL DE ELECTRIC 1232

EMPRESAS CMPC SA 1233

EMPRESAS ICA S.A. -SPONS ADR

1234

EMPRESAS ICA SAB DE CV 1235

EMS-CHEMIE HOLDING AG 1236

EMULEX CORP

1237

ENAGAS 1238

ENBRIDGE INC 1239

ENBW ENERGIE BADEN-WUERTTEMBERG AG

1240

ENCANA CORP 1241

ENCORE ACQUISITION CO 1242

ENDESA SA

1243

ENDO PHARMACEUT HLDGS INC 1244

ENDURANCE SPECIALTY HOLDINGS 1245

ENEL SPA

1246

ENERGEN CORP 1247

ENERGIAS DE PORTUGAL SA 1248

ENERGIZER HOLDINGS INC

1249

ENERGY CONVERSION DEVICES 1250

ENERGY EAST CORPORATION 1251

ENERGY RESOURCES OF AUST

1252

ENERGY SAVINGS INCOME FUND 1253

ENERGYSOLUTIONS INC 1254

ENERPLUS RESOURCES FUND

1255

ENERSIS S.A. -SPONS ADR 1256

ENERSIS SA 1257

ENERSYS

1258

ENI SPA 1259

ENI SPA-SPONSORED ADR 1260

ENIRO AB

1261

ENKA INSAAT VE SANAYI AS 1262

ENSCO INTERNATIONAL INC 1263

ENSIGN ENERGY SERVICES INC

1264

ENSTAR GROUP LTD 1265

ENTERGY CORP 1266

ENTERPRISE INNS PLC

1267

ENTERTAINMENT PROPERTIES TR 1268

EOG RESOURCES INC 1269

EON CAPITAL BHD

1270

EPCOR POWER LP 1271

EQUIFAX INC 1272

EQUINIX INC

1273

EQUINOX MINERALS LTD 1274

EQUITABLE RESOURCES INC 1275

EQUITY LIFESTYLE PROPERTIES

1276

EQUITY ONE INC 1277

EQUITY RESIDENTIAL 1278

ERAMET

1279

EREGLI DEMIR VE CELIK FABRIKALARI TAS 1280

ERGO VERSICHERUNGSGRUPPE AG 1281

ERICSSON (LM) TEL-SP ADR

1282

ERICSSON LM-B SHS 1283

ERIE INDEMNITY COMPANY-CL A 1284

ERSTE BANK DER OESTER SPARK

1285

ESCO TECHNOLOGIES INC 1286

ESPRIT HOLDINGS LTD 1287

ESSEX PROPERTY TRUST INC

1288

ESSILOR INTERNATIONAL 1289

ESTEE LAUDER COMPANIES-CL A 1290

ESTERLINE TECHNOLOGIES CORP

1291

ETIHAD ETISALAT CO 1292

EULER HERMES SA 1293

EURAZEO

1294

EUROCASTLE INVESTMENT LTD 1295

EUROFINS SCIENTIFIC 1296

EUROHYPO AG

1297

EURO-KAI KGAA 1298

EURONAV NV 1299

EURONET WORLDWIDE INC

1300

EUROPEAN AERONAUTIC DEFENCE 1301

EVEREST RE GROUP LTD 1302

EVERGREEN SOLAR INC

1303

EVERTZ TECHNOLOGIES LTD 1304

EVN AG 1305

EVS BROADCAST EQUIPMENT SA

1306

EW SCRIPPS CO-CL A 1307

EXCO RESOURCES INC 1308

EXEDY CORP

1309

EXELON CORP 1310

EXIDE INDUSTRIES LTD 1311

EXISTA HF

1312

EXPEDIA INC 1313

EXPEDITORS INTL WASH INC 1314

EXPERIAN GROUP LTD

1315

EXPRESS SCRIPTS INC 1316

EXPRO INTERNATIONAL GRP PLC 1317

EXTERRAN HOLDINGS INC

1318

EXXARO RESOURCES LTD 1319

EXXON MOBIL CORP 1320

EZAKI GLICO CO LTD

1321

F5 NETWORKS INC 1322

FABEGE AB 1323

FACTSET RESEARCH SYSTEMS INC

1324

FAES FARMA SA 1325

FAIR ISAAC CORP 1326

FAIRCHILD SEMICON INTERNATIO

1327

FAIRFAX FINANCIAL HLDGS LTD 1328

FAIRFAX MEDIA LTD 1329

FAMILY DOLLAR STORES

1330

FAMILYMART CO LTD 1331

FANNIE MAE 1332

FANUC LTD

1333

FAST RETAILING CO LTD 1334

FASTENAL CO 1335

FAURECIA

1336

FCSTONE GROUP INC 1337

FEDERAL NATIONAL MORTGAGE

ASSOCIATION

1338

FEDERAL REALTY INVS TRUST

1339

FEDERATED INVESTORS INC-CL B 1340

FEDEX CORP 1341

FEEC

1342

FIAT SPA 1343

FIDELITY NATIONAL FINL-A 1344

FIDELITY NATIONAL INFORMATIO

1345

FIELMANN AG 1346

FIFTH POWER GENERATION CO 1347

FIFTH THIRD BANCORP

1348

FINANCIAL TECHNOLOGIES INDIA LTD 1349

FINMECCANICA SPA 1350

FINNING INTERNATIONAL INC

1351

FIRST AMERICAN CORPORATION 1352

FIRST CAPITAL REALTY INC 1353

FIRST CITIZENS BCSHS -CL A

1354

FIRST HORIZON NATIONAL CORP 1355

FIRST INDUSTRIAL REALTY TR 1356

FIRST INLAND BANK

1357

FIRST MARBLEHEAD CORP/THE 1358

FIRST MIDWEST BANCORP INC/IL 1359

FIRST NIAGARA FINANCIAL GRP

1360

FIRST QUANTUM MINERALS LTD 1361

FIRST SOLAR INC 1362

FIRSTENERGY CORP

1363

FIRSTGROUP PLC 1364

FIRSTMERIT CORP 1365

FIRSTRAND LTD

1366

FISCHER (GEORG)-REG 1367

FISERV INC 1368

FKP PROPERTY GROUP

1369

FL GROUP HF 1370

FLAGSTONE REINSURANCE HOLDIN 1371

FLETCHER BUILDING LTD

1372

FLEXTRONICS INTERNATIONAL LTD 1373

FLIGHT CENTRE LIMITED 1374

FLIR SYSTEMS INC

1375

FLOWERS FOODS INC 1376

FLOWSERVE CORP 1377

FLSMIDTH & CO A/S

1378

FLUGHAFEN WIEN AG 1379

FLUGHAFEN ZUERICH AG 1380

FLUOR CORP

1381

FMC CORP 1382

FMC TECHNOLOGIES INC 1383

FNX MINING CO INC

1384

FOCUS ENERGY TRUST-UTS 1385

FOMENTO DE CONSTRUC Y CONTRA 1386

FONCIERE DES MURS

1387

FONCIERE DES REGIONS 1388

FONCIERE DEVELOPPEMENT LOGEMENTS

1389

FONDIARIA-SAI SPA

1390

FOOT LOCKER INC 1391

FORBO HOLDING AG 1392

FORD MOTOR CO

1393

FORDING CANADIAN COAL TRUST 1394

FOREST CITY ENTERPRISES-CL A 1395

FOREST LABORATORIES INC

1396

FOREST OIL CORP 1397

FORMUEPLEJE PENTA A/S 1398

FORT CHICAGO ENERGY-CLASS A

1399

FORTESCUE METALS GROUP LTD 1400

FORTH PORTS PLC 1401

FORTIS

1402

FORTIS INC 1403

FORTRESS INVESTMENT GROUP LLC 1404

FORTUM OYJ

1405

FORTUNE BRANDS INC 1406

FOSSIL INC 1407

FOSTER WHEELER LTD

1408

FOSTER'S GROUP LTD 1409

FOUNDATION COAL HOLDINGS INC 1410

FOUNDRY NETWORKS INC

43 116

1411

FOXCONN INTERNATIONAL HLDGS 1412

FPL GROUP INC 1413

FRANCE TELECOM SA

1414

FRANKLIN RESOURCES INC 1415

FRAPORT AG 1416

FRASER AND NEAVE LTD

1417

FRED OLSEN ENERGY ASA 1418

FREDDIE MAC 1419

FREEPORT-MCMORAN COPPER & GOLD, INC

1420

FRESENIUS MEDICAL CARE AG & 1421

FRESENIUS MEDICAL CARE-ADR 1422

FRESENIUS SE

1423

FRESH DEL MONTE PRODUCE INC 1424

FRIENDS PROVIDENT PLC 1425

FRIGOGLASS SA

1426

FROMAGERIES BEL SA 1427

FRONTIER OIL CORP 1428

FRONTLINE LTD

1429

FTI CONSULTING INC 1430

FUGRO NV-CVA 1431

FUJI ELECTRIC HOLDINGS CO LT

1432

FUJI FIRE & MARINE INSURANCE 1433

FUJI HEAVY INDUSTRIES LTD 1434

FUJI TELEVISION NETWORK INC

1435

FUJIFILM HOLDINGS CORP 1436

FUJIFILM HOLDINGS CORP-ADR 1437

FUJIKURA LTD

1438

FUJITSU LTD 1439

FUKUOKA FINANCIAL GROUP INC 1440

FUKUYAMA TRANSPORTING CO LTD

1441

FULTON FINANCIAL CORP 1442

FURUKAWA ELECTRIC CO LTD/THE 1443

FUTABA INDUSTRIAL CO LTD

1444

FUTURIS CORPORATION LIMITED 1445

G4S PLC 1446

GAFISA SA-ADR

1447

GAGFAH SA 1448

GAIL INDIA LTD 1449

GALLANT VENTURE LTD

1450

GALP ENERGIA SGPS SA-B SHRS 1451

GAMCO INVESTORS INC-A 1452

GAME GROUP PLC

1453

GAMESA CORPORACION TECNOLOGICA SA 1454

GAMESTOP CORP-CLASS A 1455

GAMMON INDIA LTD

1456

GAMUDA BHD 1457

GANNETT CO 1458

GAP INC/THE

1459

GARDNER DENVER INC 1460

GARMIN LTD 1461

GARTNER INC

1462

GAS NATURAL SDG SA 1463

GATX CORP 1464

GAYLORD ENTERTAINMENT CO

1465

GAZ DE FRANCE 1466

GAZIT GLOBE LTD 1467

GAZPROM OAO

1468

GAZPROMNEFT 1469

GEA GROUP AG 1470

GEBERIT AG

1471

GECINA SA 1472

GELSENWASSER AG 1473

GEMALTO NV

1474

GEMINA SPA 1475

GEMSTAR-TV GUIDE INTL INC 1476

GENCO SHIPPING & TRADING LTD

1477

GENENTECH INC 1478

GENERAL CABLE CORP 1479

GENERAL DYNAMICS CORP

1480

GENERAL ELECTRIC CO 1481

GENERAL GROWTH PROPERTIES 1482

GENERAL MILLS INC

1483

GENERAL MOTORS CORP 1484

GENERALE DE SANTE 1485

GENMAB A/S

1486

GENPACT LTD 1487

GEN-PROBE INC 1488

GENTEX CORP

1489

GENTING BHD 1490

GENTING INTERNATIONAL PLC 1491

GENUINE PARTS CO

1492

GENWORTH FINANCIAL INC-CL A 1493

GENZYME CORP 1494

GEO GROUP INC/THE

1495

GEORG FISCHER AG 1496

GEORGE WESTON LTD 1497

GEOX SPA

1498

GERDAU AMERISTEEL CORP 1499

GERDAU SA 1500

GERRESHEIMER AG

1501

GESTEVISION TELECINCO SA 1502

GETINGE AB-B SHS 1503

GETTY IMAGES INC

1504

GFI GROUP INC 1505

GFK AG 1506

GILDAN ACTIVEWEAR INC

1507

GILEAD SCIENCES INC 1508

GIMV NV 1509

GIVAUDAN-REG

1510

GKN PLC 1511

GLANBIA PLC 1512

GLAXOSMITHKLINE PLC

1513

GLG PARTNERS INC 1514

GLITNIR BANKI HF 1515

GLOBAL CROSSING LTD

1516

GLOBAL INDUSTRIES LTD 1517

GLOBAL PAYMENTS INC 1518

GLOBE TRADE CENTRE SA

1519

GLOBEX UTILIDADES SA 1520

GLORY LTD 1521

GLOVIS CO LTD

1522

GLOW ENERGY PCL 1523

GMARKET INC-ADR 1524

GMP CAPITAL TRUST

1525

GMR INFRASTRUCTURE LTD 1526

GN STORE NORD A/S 1527

GO-AHEAD GROUP PLC

1528

GODREJ INDUSTRIES LTD 1529

GOL LINHAS AEREAS INTEL-ADR 1530

GOLAR LNG LTD

1531

GOLD FIELDS LTD 1532

GOLD FIELDS LTD-SPONS ADR 1533

GOLDCORP INC

1534

GOLDEN AGRI-RESOURCES LTD 1535

GOLDEN TELECOM INC 1536

GOLDMAN SACHS GROUP INC

1537

GOODMAN FIELDER LTD 1538

GOODMAN GLOBAL INC 1539

GOODMAN GROUP

1540

GOODRICH CORP 1541

GOODYEAR TIRE & RUBBER CO 1542

GOOGLE INC-CL A

1543

GPT GROUP 1544

GRACO INC 1545

GRAFTECH INTERNATIONAL LTD

1546

GRAFTON GRP PLC-UTS 1547

GRANITE CONSTRUCTION INC 1548

GRANT PRIDECO INC

1549

GRASIM INDUSTRIES LTD 1550

GREAT ATLANTIC & PAC TEA CO 1551

GREAT CANADIAN GAMING CORP

1552

GREAT PLAINS ENERGY INC 1553

GREAT-WEST LIFECO INC 1554

GREENE KING PLC

1555

GREENHILL & CO INC 1556

GREIF INC 1557

GRENDENE SA

1558

GREY WOLF INC 1559

GRIFOLS SA 1560

GROUPE BRUXELLES LAMBERT SA

1561

GROUPE DANONE 1562

GRUMA S.A.B.-SPONSORED ADR 1563

GRUMA SAB DE CV

1564

GRUPO AEROPORTUARIO DEL CENTRO NORTE

SAB

1565

GRUPO AEROPORTUARIO DEL PACIFICO

SA DE C

1566

GRUPO AEROPORTUARIO DEL SURESTE SAB

DE C

1567

GRUPO AEROPORTUARIO DEL-ADR 1568

GRUPO AEROPORTUARIO SUR-ADR 1569

GRUPO AVAL ACCIONES Y VALORES

1570

GRUPO BIMBO SAB DE CV 1571

GRUPO CATALANA OCCIDENTE SA 1572

GRUPO CEMENTOS DE CHIHUAHUA SAB DE

CV

1573

GRUPO ELEKTRA SA DE CV 1574

GRUPO EMPRESARIAL ENCE SA 1575

GRUPO FAMSA SAB DE CV

1576

GRUPO FERROVIAL 1577

GRUPO FINANCIERO BANORTE SAB DE CV

1578

GRUPO FINANCIERO INBURSA SA

1579

GRUPO MEXICO SAB DE CV 1580

GRUPO MODELO SAB DE CV 1581

GRUPO NACIONAL DE CHOCOLATES SA

1582

GRUPO TELEVISA SA 1583

GRUPO TELEVISA SA-SPONS ADR 1584

GS ENGINEERING & CONSTRUCTION CORP

1585

GS HOLDINGS CORP 1586

GTC REAL ESTATE NV 1587

GUARARAPES CONFECCOES SA

1588

GUESS? INC 1589

GULF BANK KSC 1590

GULF CABLE & ELECTRICAL IND

1591

GULF CEMENT CO 1592

GULF GENERAL INVESTMENT CO 1593

GUNMA BANK LTD/THE

1594

GUNNS LIMITED 1595

GUOCOLAND LTD 1596

GYMBOREE CORP

1597

H LUNDBECK A/S 1598

H&R BLOCK INC 1599

H&R REAL ESTATE INVSTMNT-UTS

1600

H.B. FULLER CO. 1601

H2O RETAILING CORP 1602

HACHIJUNI BANK LTD/THE

1603

HAEMONETICS CORP/MASS 1604

HAFSLUND ASA-A SHS 1605

HAGEMEYER NV

1606

HAIN CELESTIAL GROUP INC 1607

HAKON INVEST AB 1608

HAKUHODO DY HOLDINGS INC

1609

HALFORDS GROUP PLC 1610

HALLIBURTON CO 1611

HALMA PLC

1612

HAMAMATSU PHOTONICS KK 1613

HAMMERSON PLC 1614

HANA FINANCIAL GROUP

1615

HANAROTELECOM INC 1616

HANCOCK HOLDING CO 1617

HANESBRANDS INC

1618

HANG LUNG PROPERTIES LTD 1619

HANG SENG BANK LTD 1620

HANJIN HEAVY INDUS & CONST

44 116

1621

HANJIN SHIPPING 1622

HANKOOK TIRE CO LTD 1623

HANKYU HANSHIN HOLDINGS INC

1624

HANMI PHARM CO LTD 1625

HANNOVER RUECKVERSICHERU-REG 1626

HANOVER INSURANCE GROUP INC/

1627

HANSEN NATURAL CORPORATION 1628

HANWHA CHEMICAL CORP 1629

HANWHA CORPORATION

1630

HARLEY-DAVIDSON INC 1631

HARLEYSVILLE GROUP INC 1632

HARMAN INTERNATIONAL

1633

HARMONY GOLD MNG-SPON ADR 1634

HARRAH'S ENTERTAINMENT INC 1635

HARRIS CORP

1636

HARRY WINSTON DIAMOND CORP 1637

HARSCO CORP 1638

HARTE-HANKS INC

1639

HARTFORD FINANCIAL SVCS GRP 1640

HARVEST ENERGY TRUST-UNITS 1641

HARVEY NORMAN HOLDINGS LTD

1642

HASBRO INC 1643

HASEKO CORP 1644

HAVAS SA

1645

HAWAIIAN ELECTRIC INDS 1646

HAYS PLC 1647

HB FULLER CO

1648

HBOS PLC 1649

HCC INSURANCE HOLDINGS INC 1650

HCL TECHNOLOGIES LTD

1651

HCP INC 1652

HDFC BANK LTD 1653

HDFC BANK LTD-ADR

1654

HEALTH CARE REIT INC 1655

HEALTH MGMT ASSOCIATES INC-A 1656

HEALTH NET INC

1657

HEALTHCARE REALTY TRUST INC 1658

HEALTHCARE SERVICES GROUP 1659

HEALTHEXTRAS INC

1660

HEALTHSCOPE LTD 1661

HEALTHSOUTH CORP 1662

HEALTHSPRING INC

1663

HEALTHWAYS INC 1664

HEARST-ARGYLE TELEVISION INC 1665

HEARTLAND EXPRESS INC

1666

HECLA MINING CO 1667

HEIDELBERGCEMENT AG 1668

HEIDELBERGER DRUCKMASCHINEN

1669

HEINEKEN HOLDING NV 1670

HEINEKEN NV 1671

HEIWA CORP

1672

HELIOPOLIS HOUSING 1673

HELIX ENERGY SOLUTIONS GROUP 1674

HELLENIC TECHNODOMIKI TEV SA

1675

HELLENIC TELECOM ORG-SP ADR 1676

HELLENIC TELECOMMUN ORGANIZA 1677

HELMERICH & PAYNE

1678

HENDERSON GROUP PLC-CDI 1679

HENDERSON LAND DEVELOPMENT 1680

HENKEL KGAA-VORZUG

1681

HENNES & MAURITZ AB-B SHS 1682

HENRY SCHEIN INC 1683

HERBALIFE LTD

1684

HERCULES INC 1685

HERCULES OFFSHORE INC 1686

HERMAN MILLER INC

1687

HERMES INTERNATIONAL 1688

HERO HONDA MOTORS LTD 1689

HERSHEY CO/THE

1690

HERTZ GLOBAL HOLDINGS INC 1691

HESS CORP 1692

HEWITT ASSOCIATES INC-CL A

1693

HEWLETT-PACKARD CO 1694

HEXAGON AB-B SHS 1695

HEXCEL CORP

1696

HIGHVELD STEEL AND VANAD-ADR 1697

HIGHWOODS PROPERTIES INC 1698

HIGO BANK LTD/THE

1699

HIKARI TSUSHIN INC 1700

HILB ROGAL & HOBBS CO 1701

HILLENBRAND INDUSTRIES

1702

HINDALCO INDUSTRIES LTD 1703

HINDUSTAN COPPER LTD 1704

HINDUSTAN UNILEVER LTD

1705

HINDUSTAN ZINC LTD 1706

HINO MOTORS LTD 1707

HIROSE ELECTRIC CO LTD

1708

HIROSHIMA BANK LTD/THE 1709

HISAMITSU PHARMACEUTICAL CO 1710

HITACHI CABLE LTD

1711

HITACHI CAPITAL CORP 1712

HITACHI CHEMICAL CO LTD 1713

HITACHI CONSTRUCTION MACHINE

1714

HITACHI HIGH-TECHNOLOGIES CO 1715

HITACHI KOKI CO LTD 1716

HITACHI KOKUSAI ELECTRIC INC

1717

HITACHI LTD 1718

HITACHI LTD -SPONS ADR 1719

HITACHI MAXELL LTD

1720

HITACHI METALS LTD 1721

HITACHI SOFTWARE ENGINEERING 1722

HITACHI TRANSPORT SYSTEM LTD

1723

HITE BREWERY CO LTD 1724

HITTITE MICROWAVE CORP 1725

HJ HEINZ CO

1726

HLTH CORP 1727

HM SAMPOERNA TBK PT 1728

HNI CORP

1729

HOCHSCHILD MINING PLC 1730

HOCHTIEF AG 1731

HOKKAIDO ELECTRIC POWER CO

1732

HOKKOKU BANK LTD/THE 1733

HOKUHOKU FINANCIAL GROUP INC 1734

HOKURIKU ELECTRIC POWER CO

1735

HOLCIM LTD-REG 1736

HOLCIM PHILIPPINES INC 1737

HOLLY CORP

1738

HOLMEN AB-B SHARES 1739

HOLOGIC INC 1740

HOME CAPITAL GROUP INC

1741

HOME DEPOT INC 1742

HOME PROPERTIES INC 1743

HOME RETAIL GROUP

1744

HOMESERVE PLC 1745

HONAM PETROCHEMICAL CORP 1746

HONDA MOTOR CO LTD

1747

HONEYWELL INTERNATIONAL INC 1748

HONG KONG & CHINA GAS 1749

HONG KONG EXCHANGES & CLEAR

1750

HONG LEONG BANK BERHAD 1751

HONGKONG ELECTRIC HOLDINGS 1752

HONGKONG LAND HOLDINGS LTD

1753

HORIBA LTD 1754

HORMEL FOODS CORP 1755

HORNBECK OFFSHORE SERVICES

1756

HOSIDEN CORP 1757

HOSKEN CONSOLIDATED INVESTMENTS

LTD

1758

HOSPIRA INC

1759

HOSPITALITY PROPERTIES TRUST 1760

HOST HOTELS & RESORTS INC 1761

HOTEL PROPERTIES LTD

1762

HOTEL SHILLA CO LTD 1763

HOUSE FOODS CORPORATION 1764

HOUSING DEVELOPMENT &

INFRASTRUCTURE LTD

1765

HOUSING DEVELOPMENT FINANCE CORP 1766

HOYA CORP 1767

HRPT PROPERTIES TRUST

1768

HSBC HOLDINGS PLC 1769

HSBC HOLDINGS PLC (UK REG) 1770

HSBC HOLDINGS PLC-SPONS ADR

1771

HUB GROUP INC-CL A 1772

HUBBELL INC -CL A 1773

HUBER & SUHNER AG

1774

HUDBAY MINERALS INC 1775

HUDSON CITY BANCORP INC 1776

HUFVUDSTADEN AB

1777

HUGO BOSS AG 1778

HUHTAMAKI OYJ 1779

HUMANA INC

1780

HUNT (JB) TRANSPRT SVCS INC 1781

HUNTER DOUGLAS NV 1782

HUNTINGTON BANCSHARES INC

1783

HUNTSMAN CORP 1784

HURON CONSULTING GROUP INC 1785

HUSKY ENERGY INC

1786

HUSQVARNA AB-B SHS 1787

HUTCHISON TELECOMMUNICAT-ADR 1788

HUTCHISON WHAMPOA LTD

1789

HWANGE COLLIERY CO LTD 1790

HYAKUGO BANK LTD/THE 1791

HYAKUJUSHI BANK LTD/THE

1792

HYFLUX LTD 1793

HYNIX SEMICONDUCTOR INC 1794

HYOSUNG CORPORATION

1795

HYPO REAL ESTATE HOLDING 1796

HYUNDAI AUTONET CO LTD 1797

HYUNDAI DEPT STORE CO

1798

HYUNDAI DEVELOPMENT COMPANY 1799

HYUNDAI ENGINEERING & CONST 1800

HYUNDAI ENGINEERING & CONSTR

1801

HYUNDAI HEAVY INDUSTRIES 1802

HYUNDAI MARINE & FIRE INS CO 1803

HYUNDAI MERCHANT MARINE

1804

HYUNDAI MIPO DOCKYARD 1805

HYUNDAI MOBIS 1806

HYUNDAI MOTOR CO

1807

HYUNDAI SECURITIES CO 1808

HYUNDAI STEEL CO 1809

IAC/INTERACTIVECORP

1810

IAMGOLD CORP 1811

IAWS GROUP PLC 1812

IBERDROLA RENOVABLES

1813

IBERDROLA SA 1814

IBERIA LINEAS AER DE ESPANA 1815

IBIDEN CO LTD

1816

ICADE 1817

ICAP PLC 1818

ICICI BANK LTD

1819

ICICI BANK LTD-SPON ADR 1820

ICON PLC 1821

ICON PLC - SPONSORED ADR

1822

ICONIX BRAND GROUP INC 1823

IDACORP INC 1824

IDB DEVELOPMENT CORP LTD

1825

IDEA CELLULAR LTD 1826

IDEARC INC 1827

IDEMITSU KOSAN CO LTD

1828

IDEX CORP 1829

IDEXX LABORATORIES INC 1830

IDFC LTD

45 116

1831

IFA HOTELS & RESORTS 1832

IFIL-INVESTMENTS SPA 1833

I-FLEX SOLUTIONS LTD

1834

IG GROUP HOLDINGS PLC 1835

IGB CORPORATION BHD 1836

IGM FINANCIAL INC

1837

IHI CORP 1838

IHS INC-CLASS A 1839

IJM CORP BHD

1840

ILIAD SA 1841

ILLINOIS TOOL WORKS 1842

ILLUMINA INC

1843

IMCLONE SYSTEMS 1844

IMERYS SA 1845

IMI PLC

1846

IMMEUBLES DE FRANCE 1847

IMMOEAST AG 1848

IMMOFINANZ AG

1849

IMMUCOR INC 1850

IMPALA PLATINUM HOLDINGS LTD 1851

IMPERIAL HOTEL LTD

1852

IMPERIAL OIL LTD 1853

IMPERIAL TOBACCO GROUP PLC 1854

IMPERIAL TOBACCO GROUP-ADR

1855

IMPREGILO SPA 1856

IMS HEALTH INC 1857

INBEV NV

1858

INCHCAPE PLC 1859

INCITEC PIVOT LTD 1860

INDESIT CO SPA

1861

INDIA CEMENTS LTD 1862

INDIABULLS FINANCIAL SERVICES LTD 1863

INDIABULLS REAL ESTATE LTD

1864

INDIAN HOTELS CO LTD 1865

INDITEX 1866

INDOCEMENT TUNGGAL PRAKARSA TBK PT

1867

INDOFOOD SUKSES MAKMUR TBK PT 1868

INDRA SISTEMAS SA 1869

INDUSTRIAL ALLIANCE INSURANC

1870

INDUSTRIAL BANK OF KOREA 1871

INDUSTRIAS BACHOCO SAB DE CV 1872

INDUSTRIAS BACHOCO SAB SP AD

1873

INDUSTRIAS CH SAB DE CV 1874

INDUSTRIAS PENOLES SAB DE CV 1875

INDUSTRIES QATAR

1876

INDUSTRIVARDEN AB-A SHS 1877

INERGY LP 1878

INFINEON TECHNOLOGIES AG

1879

INFORMA PLC 1880

INFORMATICA CORP 1881

INFOSYS TECHNOLOGIES LTD

1882

INFOSYS TECHNOLOGIES-SP ADR 1883

ING CANADA INC 1884

ING GROEP NV-CVA

1885

ING INDUSTRIAL FUND 1886

ING OFFICE FUND 1887

INGERSOLL-RAND CO LTD-CL A

1888

INGRAM MICRO INC-CL A 1889

INMARSAT PLC 1890

INMET MINING CORPORATION

1891

INMOBILIARIA COLONIAL SA 1892

INPEX HOLDINGS INC 1893

INSURANCE AUSTRALIA GROUP

1894

INTEGRA LIFESCIENCES HOLDING 1895

INTEGRATED DEVICE TECH INC 1896

INTEGRYS ENERGY GROUP INC

1897

INTEL CORP 1898

INTER PIPELINE FUND LP-A 1899

INTERACTIVE BROKERS GRO-CL A

1900

INTERACTIVE DATA CORP 1901

INTERCELL AG 1902

INTERCONTINENTAL HOTELS GROU

1903

INTERCONTINENTALEXCHANGE INC 1904

INTERMEC INC 1905

INTERMEDIATE CAPITAL GROUP

1906

INTERNATIONAL BANCSHARES CRP 1907

INTERNATIONAL BUSINESS MACHINES

CORP

1908

INTERNATIONAL CONTAINER TERM

SERVICES IN

1909

INTERNATIONAL FINANCIAL ADVISORS 1910

INTERNATIONAL FLAVORS &

FRAGRANCES INC

1911

INTERNATIONAL GAME TECHNOLOGY

1912

INTERNATIONAL NICKEL INDONESIA TBK PT 1913

INTERNATIONAL PAPER CO 1914

INTERNATIONAL POWER PLC

1915

INTERNATIONAL RECTIFIER CORP 1916

INTERNATIONAL SPEEDWAY CORP 1917

INTERPIPE NIZHNODNIPROVSKY PIPE

ROLLING

1918

INTERPUBLIC GROUP OF COS INC 1919

INTERSERVE PLC 1920

INTERSIL CORP -CL A

1921

INTERTEK GROUP PLC 1922

INTESA SANPAOLO 1923

INTL BUSINESS MACHINES CORP

1924

INTL FLAVORS & FRAGRANCES 1925

INTL GAME TECHNOLOGY 1926

INTL RECTIFIER CORP

1927

INTL SPEEDWAY CORP-CL A 1928

INTRALOT SA 1929

INTUIT INC

1930

INTUITIVE SURGICAL INC 1931

INVENSYS PLC 1932

INVERCAP SA

1933

INVERNESS MEDICAL INNOVATION 1934

INVERSIONES ARGOS SA 1935

INVESCO LTD

1936

INVESTEC PLC 1937

INVESTMENT DAR CO 1938

INVESTMENT TECHNOLOGY GROUP

1939

INVESTOR AB-B SHS 1940

INVESTORS BANCORP INC 1941

INVITROGEN CORP

1942

IOI CORPORATION BHD 1943

IOI PROPERTIES BHD 1944

ION GEOPHYSICAL CORP

1945

IPC HOLDINGS LTD 1946

IPSEN 1947

IRISH LIFE & PERMANENT PLC

1948

IRKUTSKENERGO OJSC 1949

IRON MOUNTAIN INC 1950

IRPC PCL

1951

ISETAN CO LTD 1952

ISIS PHARMACEUTICALS INC 1953

ISRAEL CHEMICALS LTD

1954

ISRAEL CORP LTD/THE 1955

ISTAR FINANCIAL INC 1956

ISUZU MOTORS LTD

1957

ITALCEMENTI SPA 1958

ITALIAN-THAI DEVELOPMENT PCL 1959

ITALMOBILIARE SPA

1960

ITC HOLDINGS CORP 1961

ITC LTD 1962

ITINERE INFRAESTRUCTURA SA

1963

ITO EN LTD 1964

ITOCHU CORP 1965

ITOCHU TECHNO-SOLUTIONS CORP

1966

ITOHAM FOODS INC 1967

ITRON INC 1968

ITT CORP

1969

ITT EDUCATIONAL SERVICES INC 1970

ITV PLC 1971

IVANHOE MINES LTD

1972

IVG IMMOBILIEN AG 1973

IVRCL INFRASTRUCTURES & PROJECTS

LTD

1974

IYO BANK LTD/THE

1975

IZUMI CO LTD 1976

J CREW GROUP INC 1977

J FRONT RETAILING CO LTD

1978

J SAINSBURY PLC 1979

J.C. PENNEY CO INC 1980

J.P. MORGAN CHASE & CO.

1981

JABIL CIRCUIT INC 1982

JACK HENRY & ASSOCIATES INC 1983

JACK IN THE BOX INC

1984

JACOBS ENGINEERING GROUP INC 1985

JAFCO CO LTD 1986

JAIPRAKASH ASSOCIATES LTD

1987

JAMES HARDIE INDUSTRIES-CDI 1988

JANUS CAPITAL GROUP INC 1989

JAPAN AIRLINES CORP

1990

JAPAN AIRPORT TERMINAL CO 1991

JAPAN AVIATION ELECTRONICS 1992

JAPAN PETROLEUM EXPLORATION

1993

JAPAN STEEL WORKS LTD 1994

JAPAN TOBACCO INC 1995

JARDEN CORP

1996

JARDINE CYCLE & CARRIAGE LTD 1997

JARDINE STRATEGIC HLDGS LTD 1998

JAYBHARAT TEXTILES & REAL ESTATE LTD

1999

JB HI-FI LTD 2000

JB HUNT TRANSPORT SERVICES INC 2001

JC DECAUX SA

2002

JDS UNIPHASE CORP 2003

JEAN COUTU GROUP INC A 2004

JEFFERIES GROUP INC (NEW)

2005

JELMOLI HOLDING AG 2006

JERONIMO MARTINS SGPS SA 2007

JFE HOLDINGS INC

2008

JFE SHOJI HOLDINGS INC 2009

JGC CORP 2010

JHSF PARTICIPACOES SA

2011

JINDAL STEEL & POWER LTD 2012

JM AB 2013

JM SMUCKER CO/THE-NEW COMMON

2014

JOHN WOOD GROUP PLC 2015

JOHNSON & JOHNSON 2016

JOHNSON CONTROLS INC

2017

JOHNSON ELECTRIC HOLDINGS LTD 2018

JOHNSON MATTHEY PLC 2019

JONES APPAREL GROUP INC

2020

JONES LANG LASALLE INC 2021

JOY GLOBAL INC 2022

JOYO BANK LTD/THE

2023

JPMORGAN CHASE & CO 2024

JS GROUP CORP 2025

JSR CORP

2026

JTEKT CORP 2027

JUBILEE MINES NL 2028

JULIUS BAER HOLDING AG-REG

2029

JUMBO SA 2030

JUNIPER NETWORKS INC 2031

JUPITER TELECOMMUNICATIONS CO LTD

2032

JUROKU BANK LTD/THE 2033

JYSKE BANK-REG 2034

K V PHARMACEUTICAL CO-CL B

2035

K+S AG 2036

KABA HOLDING AG 2037

KABU.COM SECURITIES CO LTD

46 116

2038

KAGOME CO LTD 2039

KAGOSHIMA BANK LTD/THE 2040

KAISER ALUMINUM CORP

2041

KAJIMA CORP 2042

KALI CHEMIE AG 2043

KAMIGUMI CO LTD

2044

KANDENKO CO LTD 2045

KANEKA CORP 2046

KANGWON LAND INC

2047

KANSAI ELECTRIC POWER CO INC 2048

KANSAI PAINT CO LTD 2049

KANSAI URBAN BANKING CORP

2050

KANSAS CITY SOUTHERN 2051

KAO CORP 2052

KASIKORNBANK PCL

2053

KATOKICHI CO LTD 2054

KAUPTHING BANK 2055

KAWASAKI HEAVY INDUSTRIES

2056

KAWASAKI KISEN KAISHA LTD 2057

KAYDON CORP 2058

KAZAKHMYS PLC

2059

KB HOME 2060

KBC ANCORA 2061

KBC GROEP NV

2062

KBR INC 2063

KCC CORP 2064

KDDI CORP

2065

KEIHAN ELECTRIC RAILWAY CO 2066

KEIHIN CORP 2067

KEIHIN ELEC EXPRESS RAILWAY

2068

KEIO CORP 2069

KEISEI ELECTRIC RAILWAY CO 2070

KEIYO BANK LTD/THE

2071

KELDA GROUP PLC 2072

KELLOGG CO 2073

KEMIRA OYJ

2074

KENNAMETAL INC 2075

KEPPEL CORP LTD 2076

KEPPEL LAND LTD

2077

KERRY GROUP PLC-A 2078

KESA ELECTRICALS PLC 2079

KESKO OYJ-B SHS

2080

KEY ENERGY SERVICES INC 2081

KEYCORP 2082

KEYENCE CORP

2083

KEYERA FACILITIES INCOME FD 2084

KGHM POLSKA MIEDZ SA 2085

KHARTSYZSKY TRUBNY Z.

2086

KIA MOTORS CORPORATION 2087

KIKKOMAN CORP 2088

KILROY REALTY CORP

2089

KIMBERLY-CLARK CORP 2090

KIMBERLY-CLARK DE MEXICO SAB DE CV

2091

KIMCO REALTY CORP

2092

KINDEN CORP 2093

KINETIC CONCEPTS INC 2094

KING PHARMACEUTICALS INC

2095

KINGDOM HOLDING CO 2096

KINGDOM HOTEL INVESTMENTS 2097

KINGFISHER PLC

2098

KINGSPAN GROUP PLC 2099

KINNEVIK INVESTMENT AB-B 2100

KINROSS GOLD CORP

2101

KINTETSU CORP 2102

KIRBY CORP 2103

KIRIN HOLDINGS CO LTD

2104

KISSEI PHARMACEUTICAL CO LTD 2105

KIYO HOLDINGS INC 2106

KK DAVINCI ADVISORS

2107

KKR FINANCIAL HOLDINGS LLC 2108

KLA TENCOR 2109

KLABIN SA

2110

KLA-TENCOR CORPORATION 2111

KLEPIERRE 2112

KLOECKNER & CO

2113

KNIGHT CAPITAL GROUP INC-A 2114

KNIGHT TRANSPORTATION INC 2115

KNM GROUP BHD

2116

KOBAYASHI PHARMACEUTICAL CO 2117

KOBE STEEL LTD 2118

KOBENHAVNS LUFTHAVNE

2119

KOEI CO LTD 2120

KOETITZER LEDERTUCH- UND

WACHSTUCH-WERKE

2121

KOHLS CORP

2122

KOITO MANUFACTURING CO LTD 2123

KOKUYO CO LTD 2124

KOMATSU LTD

2125

KOMERCNI BANKA AS 2126

KOMERI CO LTD 2127

KOMORI CORP

2128

KONAMI CORP 2129

KONE OYJ-B 2130

KONECRANES OYJ

2131

KONICA MINOLTA HOLDINGS INC 2132

KONINKLIJKE AHOLD NV 2133

KONINKLIJKE BAM GROEP NV

2134

KONINKLIJKE DSM NV 2135

KONINKLIJKE KPN NV 2136

KONINKLIJKE PHILIPS ELECTRONICS NV

2137

KONINKLIJKE VOPAK NV 2138

KONZUM DD 2139

KOOKMIN BANK

2140

KOOKMIN BANK-SPON ADR 2141

KOREA ELECTRIC POWER CORP 2142

KOREA EXCHANGE BANK

2143

KOREA EXPRESS CO LTD 2144

KOREA GAS CORPORATION 2145

KOREA INVESTMENT HOLDINGS CO

2146

KOREA KUMHO PETROCHEMICAL CO 2147

KOREA LINE CORP 2148

KOREA ZINC CO LTD

2149

KOREAN AIR LINES CO LTD 2150

KOREAN REINSURANCE CO 2151

KOSE CORP

2152

KRAFT FOODS INC-CLASS A 2153

KRKA DD NOVO MESTO 2154

KROGER CO

2155

KRONES AG 2156

KRUNG THAI BANK PUB CO LTD 2157

KT CORP

2158

KT FREETEL CO LTD 2159

KT&G CORP 2160

KUALA LUMPUR KEPONG BHD

2161

KUBOTA CORPORATION 2162

KUEHNE & NAGEL INTL AG-REG 2163

KUMBA IRON ORE LTD

2164

KUMHO INDUSTRIAL CO LTD 2165

KUNGSLEDEN AB 2166

KUONI REISEN HOLDING AG

2167

KURARAY CO LTD 2168

KUREHA CORP 2169

KURITA WATER INDUSTRIES LTD

2170

KUWAIT CEMENT CO 2171

KUWAIT FINANCE HOUSE 2172

KUWAIT FOODS (AMERICANA)

2173

KUWAIT INTERNATIONAL BANK 2174

KUZBASSRAZREZUGOL 2175

KV PHARMACEUTICAL CO-CL A

2176

KYOCERA CORP 2177

KYOWA HAKKO KOGYO CO LTD 2178

KYUSHU ELECTRIC POWER CO INC

2179

L-3 COMMUNICATIONS HOLDINGS 2180

LA SEDA DE BARCELONA-B 2181

LABORATORIOS ALMIRALL SA

2182

LABORATORY CRP OF AMER HLDGS 2183

LABRADOR IRON ORE ROYALTY TR 2184

LADBROKES PLC

2185

LAFARGE CIMENTS/MOROCCO 2186

LAFARGE MALAYAN CEMENT BERHAD 2187

LAFARGE SA

2188

LAGARDERE S.C.A. 2189

LAIRD GROUP PLC 2190

LAM RESEARCH CORP

2191

LAMAR ADVERTISING CO-CL A 2192

LAN AIRLINES SA 2193

LAN AIRLINES SA-SPON ADR

2194

LANCASTER COLONY CORP 2195

LAND & HOUSES PUB CO LTD 2196

LAND SECURITIES GROUP PLC

2197

LANDESBANK BERLIN HOLDING AG 2198

LANDSBANKI ISLANDS HF 2199

LANDSTAR SYSTEM INC

2200

LANXESS 2201

LARSEN & TOUBRO LTD 2202

LAS VEGAS SANDS CORP

2203

LASALLE HOTEL PROPERTIES 2204

LASSILA & TIKANOJA OYJ 2205

LAWSON INC

2206

LAWSON SOFTWARE INC 2207

LAZARD LTD-CL A 2208

LEAP WIRELESS INTL INC

2209

LEAR CORP 2210

LEGAL & GENERAL GROUP PLC 2211

LEGG MASON INC

2212

LEGGETT & PLATT INC 2213

LEGRAND SA 2214

LEHMAN BROTHERS HOLDINGS INC

2215

LEIGHTON HOLDINGS LIMITED 2216

LEND LEASE CORP LIMITED 2217

LENNAR CORP-CL A

2218

LENNOX INTERNATIONAL INC 2219

LENZING AG 2220

LEONI AG

2221

LEOPALACE21 CORP 2222

LEUCADIA NATIONAL CORP 2223

LEVEL 3 COMMUNICATIONS INC

2224

LEXMARK INTERNATIONAL INC-A 2225

LG CHEM LTD 2226

LG CORP

2227

LG DACOM CORP 2228

LG ELECTRONICS INC 2229

LG HOUSEHOLD & HEALTH CARE

2230

LG LIFE SCIENCES LTD 2231

LG.PHILIPS LCD CO LTD 2232

LG.PHILIPS LCD CO LTD-ADR

2233

LI & FUNG LTD 2234

LIBERTY GLOBAL INC 2235

LIBERTY INTERNATIONAL PLC

2236

LIBERTY MEDIA CORP-CAP SER A 2237

LIBERTY MEDIA-INTERACTIVE A 2238

LIBERTY PROPERTY TRUST

2239

LIFE TIME FITNESS INC 2240

LIFECELL CORPORATION 2241

LIFEPOINT HOSPITALS INC

2242

LIG INSURANCE CO LTD 2243

LIHIR GOLD LTD 2244

LIMITED BRANDS INC

2245

LINAMAR CORP 2246

LINCARE HOLDINGS INC 2247

LINCOLN ELECTRIC HOLDINGS

47 116

2248

LINCOLN NATIONAL CORP 2249

LINDAB INTERNATIONAL AB 2250

LINDE AG

2251

LINDT & SPRUENGLI AG-REG 2252

LINEAR TECHNOLOGY CORP 2253

LINN ENERGY LLC-UNITS

2254

LINTEC CORP 2255

LION CORP 2256

LION NATHAN LIMITED

2257

LIONS GATE ENTERTAINMENT COR 2258

LIPPO KARAWACI TBK PT 2259

LIZ CLAIBORNE INC

2260

LKQ CORP 2261

LLOYDS TSB GROUP PLC 2262

LLOYDS TSB GROUP PLC -SP ADR

2263

LOBLAW COMPANIES LTD 2264

LOCALIZA RENT A CAR 2265

LOCKHEED MARTIN CORP

2266

LOEWS CORP 2267

LOEWS CORP - CAROLINA GROUP 2268

LOGICACMG PLC

2269

LOGITECH INTERNATIONAL-REG 2270

LOJAS AMERICANAS SA 2271

LOJAS RENNER SA

2272

LONDON STOCK EXCHANGE GROUP 2273

LONGS DRUG STORES CORP 2274

LONMIN PLC

2275

LONZA GROUP AG-REG 2276

L'OREAL 2277

LOTTE CHILSUNG BEVERAGE CO

2278

LOTTE CONFECTIONERY CO LTD 2279

LOTTE SHOPPING CO 2280

LOTTOMATICA SPA

2281

LOUISIANA-PACIFIC CORP 2282

LOWE'S COS INC 2283

LPP SA

2284

LS CABLE LTD 2285

LS INDUSTRIAL SYSTEMS 2286

LSI CORP

2287

LTD BRANDS INC 2288

LUBRIZOL CORP 2289

LUKA KOPER

2290

LUKOIL 2291

LULULEMON ATHLETICA INC 2292

LUNDBERGFORETAGEN AB

2293

LUNDIN MINING CORP 2294

LUNDIN PETROLEUM AB 2295

LUPATECH SA

2296

LUXOTTICA GROUP SPA 2297

LUXOTTICA GROUP SPA-SPON ADR 2298

LVMH MOET HENNESSY LOUIS VUI

2299

M & T BANK CORP 2300

M DIAS BRANCO SA 2301

M&T BANK

2302

M6-METROPOLE TELEVISION 2303

MABANEE CO SAKC 2304

MABUCHI MOTOR CO LTD

2305

MACARTHUR COAL LTD 2306

MACDONALD DETTWILER & ASSOC 2307

MACERICH CO/THE

2308

MACK-CALI REALTY CORP 2309

MACQUARIE AIRPORTS 2310

MACQUARIE COMMUNICATIONS INF

2311

MACQUARIE COUNTRYWIDE TRUST 2312

MACQUARIE GROUP LTD 2313

MACQUARIE INFRASTRUCTURE CO LLC

2314

MACQUARIE INFRASTRUCTURE GRP 2315

MACQUARIE KOREA INFRA FUND 2316

MACQUARIE OFFICE TRUST

2317

MACY'S INC 2318

MADRAS CEMENTS LTD 2319

MAGELLAN HEALTH SERVICES INC

2320

MAGNA INTERNATIONAL INC-CL A 2321

MAGNESITA SA 2322

MAGNIT OAO

2323

MAGNITOGORSK IRON & STEEL WORKS 2324

MAGNUM CORPORATION BHD 2325

MAGUIRE PROPERTIES INC

2326

MAGYAR TELEKOM TELE-SPON ADR 2327

MAHANAGAR TELEPHONE-ADR 2328

MAINOVA AG

2329

MAJOR DRILLING GROUP INTL 2330

MAKHTESHIM-AGAN INDUSTRIES LTD 2331

MAKITA CORP

2332

MAKKAH CONSTRUCTION AND DEVELOPMENT

CO

2333

MALAYAN BANKING BHD 2334

MALAYSIA AIRPORTS HLDGS BHD

2335

MALAYSIAN AIRLINE SYSTEM BHD 2336

MALAYSIAN BULK CARRIERS BHD 2337

MAN AG

2338

MAN GROUP PLC 2339

MANDARIN ORIENTAL INTERNATIONAL

LTD

2340

MANITOBA TELECOM SVCS INC

2341

MANITOU BF SA 2342

MANITOWOC COMPANY INC 2343

MANPOWER INC

2344

MANTECH INTERNATIONAL CORP-A 2345

MANULIFE FINANCIAL CORP 2346

MAPFRE SA

2347

MAPLE LEAF FOODS INC 2348

MARATHON OIL CORP 2349

MARFIN INVESTMENT GROUP SA

2350

MARFIN POPULAR BANK PUBLIC CO LTD 2351

MARFRIG FRIGORIFICOS E COMERCIO DE

ALIME

2352

MARINE HARVEST

2353

MARINER ENERGY INC 2354

MARIUPOLSKY METAL-Y Z-D 2355

MARKEL CORP

2356

MARKS & SPENCER GROUP PLC 2357

MAROC TELECOM 2358

MARRIOTT INTERNATIONAL-CL A

2359

MARSH & MCLENNAN COS 2360

MARSHALL & ILSLEY CORP 2361

MARTIN MARIETTA MATERIALS INC

2362

MARTINSA-FADESA SA 2363

MARUBENI CORP 2364

MARUI GROUP CO LTD

2365

MARUICHI STEEL TUBE LTD 2366

MARVEL ENTERTAINMENT INC 2367

MARVELL TECHNOLOGY GROUP LTD

2368

MASCO CORP 2369

MASIMO CORPORATION 2370

MASISA SA

2371

MASISA SA-ADR 2372

MASSEY ENERGY CO 2373

MASSMART HOLDINGS LTD

2374

MASTERCARD INC-CLASS A 2375

MATSUI SECURITIES CO LTD 2376

MATSUMOTOKIYOSHI HOLDINGS CO

2377

MATSUSHITA ELEC IND-SPON ADR 2378

MATSUSHITA ELECTRIC INDUSTRIAL CO

LTD

2379

MATSUSHITA ELECTRIC WORKS LTD

2380

MATSUYA CO LTD 2381

MATTEL INC 2382

MATTHEWS INTL CORP-CL A

2383

MAX CAPITAL GROUP LTD 2384

MAXIM INTEGRATED PRODUCTS INC 2385

MAYR MELNHOF KARTON AG

2386

MAZDA MOTOR CORP 2387

MB FINANCIAL INC 2388

MBIA INC

2389

MCAFEE INC 2390

MCCORMICK & CO-NON VTG SHRS 2391

MCDERMOTT INTL INC

2392

MCDONALD'S CORP 2393

MCDONALD'S HOLDINGS CO JAPAN LTD

2394

MCGRAW-HILL COMPANIES INC

2395

MCKESSON CORP 2396

MDC HOLDINGS INC 2397

MDS INC

2398

MDU RESOURCES GROUP INC 2399

MEADWESTVACO CORP 2400

MECHEL

2401

MECHEL-ADR 2402

MEDA AB-A SHS 2403

MEDAREX INC

2404

MEDCO HEALTH SOLUTIONS INC 2405

MEDIASET SPA 2406

MEDICEO PALTAC HOLDING CO

2407

MEDICIS PHARMACEUTICAL-CL A 2408

MEDIOBANCA SPA 2409

MEDION AG

2410

MEDTRONIC INC 2411

MEGASTUDY CO LTD 2412

MEGAWORLD CORP

2413

MEGGITT PLC 2414

MEIJI DAIRIES CORP 2415

MEIJI SEIKA KAISHA LTD

2416

MEINL EUROPEAN LAND LTD-CERT 2417

MELCO PBL ENTERTAINMENT-ADR 2418

MELKER SCHORLING AB

2419

MEMC ELECTRONIC MATERIALS 2420

MEN'S WEARHOUSE INC 2421

MENTOR CORP

2422

MERCADOLIBRE INC 2423

MERCATOR POSLOVNI SISTEM 2424

MERCIALYS SA

2425

MERCK & CO. INC. 2426

MERCK KGAA 2427

MERCURY GENERAL CORP

2428

MEREDITH CORP 2429

MERIDIAN BIOSCIENCE INC 2430

MERITZ FIRE & MARINE INSURAN

2431

MERRILL LYNCH & CO INC 2432

METAL MANAGEMENT INC 2433

METALL ZUG AG

2434

METALURGICA GERDAU SA 2435

METAVANTE TECHNOLOGIES INC 2436

METCASH LTD

2437

METHANEX CORP 2438

METLIFE INC 2439

METRO AG

2440

METRO INC -A 2441

METROPCS COMMUNICATIONS INC 2442

METROVACESA SA

2443

METSO OYJ 2444

METTLER-TOLEDO INTERNATIONAL 2445

MEXICHEM SAB DE CV

2446

MF GLOBAL LTD 2447

MFA MORTGAGE INVESTMENTS INC 2448

MGIC INVESTMENT CORP

2449

MGM MIRAGE 2450

MI DEVELOPMENTS INC-CLASS A 2451

MICHAEL PAGE INTERNATIONAL

2452

MICHELIN (CGDE)-B 2453

MICROCHIP TECHNOLOGY INC 2454

MICRON TECHNOLOGY INC

48 116

2455

MICROS SYSTEMS INC 2456

MICROSEMI CORP 2457

MICROSOFT CORP

2458

MID-AMERICA APARTMENT COMM 2459

MIDLAND CO 2460

MIGROS TURK TAS

2461

MIKHAYLOVSKIY GOK 2462

MILLEA HOLDINGS INC 2463

MILLENNIUM & COPTHORNE HOTELS PLC

2464

MILLENNIUM PHARMACEUTICALS 2465

MILLICOM INTL CELLULAR S.A. 2466

MILLIPORE CORP

2467

MINARA RESOURCES LTD 2468

MINE SAFETY APPLIANCES CO 2469

MINEBEA CO LTD

2470

MINERALS TECHNOLOGIES INC 2471

MINOR INTERNATIONAL PCL 2472

MINSUR SA

2473

MIRACA HOLDINGS INC 2474

MIRAE ASSET SECURITIES CO LT 2475

MIRANT CORP

2476

MIRVAC GROUP 2477

MISC BHD 2478

MISUMI GROUP INC

2479

MISYS PLC 2480

MITCHELLS & BUTLERS PLC 2481

MITSUBISHI CHEMICAL HOLDINGS

2482

MITSUBISHI CORP 2483

MITSUBISHI ELECTRIC CORP 2484

MITSUBISHI ESTATE CO LTD

2485

MITSUBISHI GAS CHEMICAL CO 2486

MITSUBISHI HEAVY INDUSTRIES 2487

MITSUBISHI LOGISTICS CORP

2488

MITSUBISHI MATERIALS CORP 2489

MITSUBISHI MOTORS CORP 2490

MITSUBISHI RAYON CO LTD

2491

MITSUBISHI TANABE PHARMA 2492

MITSUBISHI UFJ FINANCIAL GRO 2493

MITSUBISHI UFJ LEASE & FINAN

2494

MITSUBISHI UFJ NICOS CO LTD 2495

MITSUI & CO LTD 2496

MITSUI & CO LTD-SPONS ADR

2497

MITSUI CHEMICALS INC 2498

MITSUI ENGINEER & SHIPBUILD 2499

MITSUI FUDOSAN CO LTD

2500

MITSUI MINING & SMELTING CO 2501

MITSUI OSK LINES LTD 2502

MITSUKOSHI LTD

2503

MITSUMI ELECTRIC CO LTD 2504

MITTAL STEEL KRYVIY RIH 2505

MIXI INC

2506

MIZUHO FINANCIAL GROUP INC 2507

MIZUHO FINANCIAL GROUP-ADR 2508

MIZUHO INVESTORS SECS CO LTD

2509

MIZUHO TRUST & BANKING CO 2510

MKS INSTRUMENTS INC 2511

MMC CORP BHD

2512

MMC NORILSK NICKEL 2513

MMX MINERACAO E METALICOS SA 2514

MOBILE TELECOMMUNICATIONS CO KSC

2515

MOBILE TELESYSTEMS OJSC 2516

MOBILE TELESYSTEMS-SP ADR 2517

MOBISTAR SA

2518

MOCHIDA PHARMACEUTICAL CO 2519

MODERN TIMES GROUP-B SHS 2520

MOHAWK INDUSTRIES INC

2521

MOL HUNGARIAN OIL AND GAS NYRT 2522

MOLEX INC -CL A 2523

MOLSON COORS BREWING CO -B

2524

MONDI LTD 2525

MONDI PACKAGING PAPER SWIECIE SA

2526

MONDI PLC

2527

MONEX BEANS HOLDINGS INC 2528

MONSANTO COMPANY 2529

MONSTER WORLDWIDE INC

2530

MONTPELIER RE HOLDINGS LTD 2531

MOODY'S CORP 2532

MOOG INC-CLASS A

2533

MORGAN STANLEY 2534

MORI SEIKI CO LTD 2535

MORNINGSTAR INC

2536

MOSAIC CO/THE 2537

MOSENERGO TGK-3 OAO 2538

MOTA ENGIL SGPS SA

2539

MOTOROLA INC 2540

MOUNT GIBSON IRON LTD 2541

MR PRICE GROUP LTD

2542

M-REAL OYJ 2543

MRV ENGENHARIA E PARTICIPACOES SA

2544

MSC INDUSTRIAL DIRECT CO-A

2545

MSCI INC-A 2546

MTN GROUP LTD 2547

MTR CORP

2548

MTU AERO ENGINES HOLDING AG 2549

MUELLER INDUSTRIES INC 2550

MUENCHENER RUECKVER AG-REG

2551

MULLEN GROUP INCOME FUND 2552

MULTIPLAN EMPREENDIMENTOS

IMOBILIARIOS S

2553

MURATA MANUFACTURING CO LTD

2554

MURCHISON METALS LTD 2555

MURPHY OIL CORP 2556

MUSASHINO BANK LTD/THE

2557

MYLAN INC 2558

MYRIAD GENETICS INC 2559

MYTILINEOS HOLDINGS SA

2560

N BROWN GROUP PLC 2561

NABORS INDUSTRIES LTD 2562

NABTESCO CORP

2563

NAGARJUNA CONSTRUCTION CO 2564

NAGASE & CO LTD 2565

NAGOYA RAILROAD CO LTD

2566

NAL OIL & GAS TRUST-UTS 2567

NALCO HOLDING CO 2568

NAMCO BANDAI HOLDINGS INC

2569

NAMHAE CHEMICAL CORP 2570

NAMPAK LTD 2571

NANTO BANK LTD/THE

2572

NASDAQ STOCK MARKET INC 2573

NASPERS LTD 2574

NATIONAL ALUMINIUM CO LTD

2575

NATIONAL AUSTRALIA BANK LTD 2576

NATIONAL BANK OF ABU DHABI 2577

NATIONAL BANK OF CANADA

2578

NATIONAL BANK OF GREECE 2579

NATIONAL BANK OF GREECE -ADR 2580

NATIONAL BANK OF KUWAIT

2581

NATIONAL CITY CORP 2582

NATIONAL EXPRESS GROUP PLC 2583

NATIONAL FINANCIAL PARTNERS

2584

NATIONAL FUEL GAS CO 2585

NATIONAL GRID PLC 2586

NATIONAL GRID PLC-SP ADR

2587

NATIONAL INDUSTRIES GROUP HOLDING 2588

NATIONAL INSTRUMENTS CORP 2589

NATIONAL INVESTMENTS CO/KUWAIT

2590

NATIONAL OILWELL VARCO INC 2591

NATIONAL REAL ESTATE CO 2592

NATIONAL RETAIL PROPERTIES

2593

NATIONAL SEMICONDUCTOR CORP 2594

NATIONWIDE FINANCIAL SERV- A 2595

NATIONWIDE HEALTH PPTYS INC

2596

NATIXIS 2597

NAVTEQ CORP 2598

NBTY INC

2599

NCC AB 2600

NCR CORPORATION 2601

NCSOFT CORP

2602

NDS GROUP PLC-SPONS ADR 2603

NEC CORP 2604

NEC ELECTRONICS CORP

2605

NEDBANK GROUP LTD 2606

NEOPOST SA 2607

NEPTUNE ORIENT LINES LTD

2608

NESTE OIL OYJ 2609

NESTLE INDIA LTD 2610

NESTLE MALAYSIA BHD

2611

NESTLE SA-REG 2612

NET 1 UEPS TECHNOLOGIES INC 2613

NET SERVICOS DE COM-PR ADR

2614

NET SERVICOS DE COMUNICACAO SA 2615

NETFLIX INC 2616

NETSUITE INC

2617

NETWORK APPLIANCE INC 2618

NETWORK HEALTHCARE HOLDINGS LTD

2619

NEUF CEGETEL

2620

NEUSTAR INC-CLASS A 2621

NEW JERSEY RESOURCES CORP 2622

NEW WORLD DEVELOPMENT

2623

NEW YORK COMMUNITY BANCORP 2624

NEW YORK TIMES CO -CL A 2625

NEWALLIANCE BANCSHARES INC

2626

NEWCREST MINING LIMITED 2627

NEWELL RUBBERMAID INC 2628

NEWFIELD EXPLORATION CO

2629

NEWMONT MINING CORP 2630

NEWMONT MINING CORP OF CANADA LTD

2631

NEWS CORP.

2632

NEWS CORP-CDI CLASS B 2633

NEWS CORP-CL A 2634

NEXANS SA

2635

NEXEN INC 2636

NEXITY 2637

NEXT PLC

2638

NGK INSULATORS LTD 2639

NGK SPARK PLUG CO LTD 2640

NH HOTELES SA

2641

NHK SPRING CO LTD 2642

NHN CORP 2643

NICE SYSTEMS LTD-SPONS ADR

2644

NICHIREI CORP 2645

NICOR INC 2646

NIDEC CORP

2647

NIDEC CORPORATION-ADR 2648

NIDEC SANKYO CORP 2649

NIFCO INC/JAPAN

2650

NIHON UNISYS LTD 2651

NII HOLDINGS INC 2652

NIKANOR PLC

2653

NIKE INC -CL B 2654

NIKKO CORDIAL CORP 2655

NIKO RESOURCES LTD

2656

NIKON CORP 2657

NINTENDO CO LTD 2658

NIPPON ELECTRIC GLASS CO LTD

2659

NIPPON EXPRESS CO LTD 2660

NIPPON MEAT PACKERS INC 2661

NIPPON MINING HOLDINGS INC

2662

NIPPON OIL CORP 2663

NIPPON PAPER GROUP INC 2664

NIPPON SHEET GLASS CO LTD

49 116

2665

NIPPON SHOKUBAI CO LTD 2666

NIPPON STEEL CORP 2667

NIPPON SUISAN KAISHA LTD

2668

NIPPON TELEGRAPH & TELEPHONE 2669

NIPPON TELEVISION NETWORK 2670

NIPPON YUSEN

2671

NIPPONKOA INSURANCE CO LTD 2672

NIPRO CORP 2673

NISHI-NIPPON CITY BANK LTD

2674

NISHI-NIPPON RAILROAD CO LTD 2675

NISOURCE INC 2676

NISSAN CHEMICAL INDUSTRIES

2677

NISSAN MOTOR CO LTD 2678

NISSAN MOTOR CO LTD-SPON ADR 2679

NISSAN SHATAI CO LTD

2680

NISSAY DOWA GENERAL INS 2681

NISSHA PRINTING CO LTD 2682

NISSHIN SEIFUN GROUP INC

2683

NISSHIN STEEL CO LTD 2684

NISSHINBO INDUSTRIES INC 2685

NISSIN FOOD PRODUCTS CO LTD

2686

NITORI CO LTD 2687

NITTO DENKO CORP 2688

NIZHNEKAMSKNEFTEKHIM

2689

NKT HOLDING A/S 2690

NMDC LTD 2691

NOBEL BIOCARE HOLDING AG-BR

2692

NOBIA AB 2693

NOBLE CORP 2694

NOBLE ENERGY INC

2695

NOBLE GROUP LTD 2696

NOK CORP 2697

NOKIA CORP-SPON ADR

2698

NOKIA OYJ 2699

NOKIAN RENKAAT OYJ 2700

NOMURA HOLDINGS INC

2701

NOMURA REAL ESTATE HOLDINGS 2702

NOMURA RESEARCH INSTITUTE 2703

NONG SHIM CO LTD

2704

NORDDEUTSCHE AFFINERIE AG 2705

NORDEA BANK AB 2706

NORDEX AG

2707

NORDSON CORP 2708

NORDSTROM INC 2709

NORFOLK SOUTHERN CORP

2710

NORSK HYDRO ASA 2711

NORTEL NETWORKS CORP 2712

NORTHBRIDGE FINANCIAL CORP

2713

NORTHEAST UTILITIES 2714

NORTHERN TRUST CORP 2715

NORTHROP GRUMMAN CORP

2716

NORTHUMBRIAN WATER GROUP PLC 2717

NORTHWEST AIRLINES CORP 2718

NORTHWEST BANCORP INC

2719

NORTHWEST NATURAL GAS CO 2720

NORTHWESTERN CORP 2721

NORWEGIAN PROPERTY ASA

2722

NOVA CHEMICALS CORP 2723

NOVAGOLD RESOURCES INC 2724

NOVARTIS AG-REG

2725

NOVATEK OAO 2726

NOVELL INC 2727

NOVELLUS SYSTEMS INC

2728

NOVO NORDISK A/S-B 2729

NOVOLIPETSK STEEL OJSC 2730

NOVO-NORDISK A/S-SPONS ADR

2731

NOVOROSCEMENT 2732

NOVOROSSIYSK COMMERCIAL SEA PORT

2733

NOVOZYMES A/S-B SHARES

2734

NRG ENERGY INC 2735

NS SOLUTIONS CORP 2736

NSK LTD

2737

NSTAR 2738

NTN CORP 2739

NTPC LTD

2740

NTT DATA CORP 2741

NTT DOCOMO INC 2742

NTT DOCOMO INC-SPON ADR

2743

NTT URBAN DEVELOPMENT CORP 2744

NU SKIN ENTERPRISES INC - A 2745

NUANCE COMMUNICATIONS INC

2746

NUCOR CORP 2747

NUFARM LTD 2748

NUH CIMENTO

2749

NUTRECO HOLDING NV 2750

NUVASIVE INC 2751

NVIDIA CORP

2752

NVR INC 2753

NYMEX HOLDINGS INC 2754

NYSE EURONEXT

2755

OAO AEROFLOT 2756

OBAYASHI CORP 2757

OBIC BUSINESS CONSULTANTS

2758

OBIC CO LTD 2759

OBRASCON HUARTE LAIN S.A. 2760

OC OERLIKON CORP AG-REG

2761

OCCIDENTAL PETROLEUM CORP 2762

OCEANEERING INTL INC 2763

ODAKYU ELECTRIC RAILWAY CO

2764

ODFJELL SE 2765

ODYSSEY RE HOLDINGS CORP 2766

OEST ELEKTRIZITATSWIRTS-A

2767

OESTERREICHISCHE POST AG 2768

OESTERREICHISCHE VOLKSBANKEN AG

2769

OFFICE DEPOT INC

2770

OFFICEMAX INC 2771

OGAKI KYORITSU BANK LTD/THE 2772

OGE ENERGY CORP

2773

OGK-2 OAO 2774

OGK-3 OJSC 2775

OGK-4 OJSC

2776

OGK-6 OAO 2777

OIL & NATURAL GAS CORP LTD 2778

OIL SEARCH LTD

2779

OIL STATES INTERNATIONAL INC 2780

OILEXCO INCORPORATED 2781

OJI PAPER CO LTD

2782

OKASAN HOLDINGS INC 2783

OKO BANK PLC-A 2784

OKUMA CORP

2785

OLAM INTERNATIONAL LTD 2786

OLAV THON EINDOM A/S 2787

OLD MUTUAL PLC

2788

OLD NATL BANCORP/IN 2789

OLD REPUBLIC INTL CORP 2790

OLIN CORP

2791

OLYMPUS CORP 2792

OM GROUP INC 2793

OMEGA HEALTHCARE INVESTORS

2794

OMNICARE INC 2795

OMNICOM GROUP 2796

OMNITURE INC

2797

OMRON CORP 2798

OMV AG 2799

OMX AB

2800

ON SEMICONDUCTOR CORPORATION 2801

ONEBEACON INSURANCE GROUP LT 2802

ONEOK INC

2803

ONESTEEL LIMITED 2804

ONEX CORPORATION 2805

ONO PHARMACEUTICAL CO LTD

2806

ONWARD HOLDINGS CO LTD 2807

ONYX PHARMACEUTICALS INC 2808

OPAP SA

2809

OPEN INVESTMENTS 2810

OPEN TEXT CORP 2811

OPTI CANADA INC

2812

OPTIONSXPRESS HOLDINGS INC 2813

ORACLE CORP 2814

ORACLE CORP JAPAN

2815

ORASCOM CONSTRUCTION INDUSTRIES 2816

ORASCOM HOTELS & DEVELOPMENT 2817

ORASCOM TELECOM HOLDING SAE

2818

ORBIS SA 2819

ORBITAL SCIENCES CORP 2820

O'REILLY AUTOMOTIVE INC

2821

ORESUND INVESTMENT AB 2822

ORGANIZACION SORIANA SAB DE CV 2823

ORICA LTD

2824

ORIENT EXPRESS HOTELS LTD -A 2825

ORIENTAL LAND CO LTD 2826

ORIENT-EXPRESS HOTELS LTD

2827

ORIGIN ENERGY LIMITED 2828

ORION CORP 2829

ORION OYJ

2830

ORIX - SPONSORED ADR 2831

ORIX CORP 2832

ORKLA ASA

2833

ORMAT TECHNOLOGIES INC 2834

ORPEA 2835

OSAKA GAS CO LTD

2836

OSAKA TITANIUM TECHNOLOGIES 2837

OSHKOSH TRUCK CORP 2838

OSI PHARMACEUTICALS INC

2839

OTP BANK NYRT 2840

OTSUKA CORP 2841

OUTOKUMPU OYJ

2842

OUTOTEC OYJ 2843

OVERSEA-CHINESE BANKING CORP 2844

OVERSEAS SHIPHOLDING GROUP

2845

OVERSEAS UNION ENTERPRISE LTD 2846

OWENS & MINOR INC 2847

OWENS CORNING INC

2848

OWENS-ILLINOIS INC 2849

OXIANA LTD 2850

P G & E CORP

2851

PACCAR INC 2852

PACIFIC BRANDS LTD 2853

PACIFIC CORP

2854

PACIFIC METALS CO LTD 2855

PACKAGING CORP OF AMERICA 2856

PACTIV CORPORATION

2857

PADDY POWER PLC 2858

PAGESJAUNES GROUPE 2859

PALADIN ENERGY LIMITED

2860

PALL CORP 2861

PAN AMERICAN SILVER CORP 2862

PAN AUSTRALIAN RESOURCES LTD

2863

PANAHOME CORP 2864

PANALPINA WELTTRANSPORT -REG 2865

PANERA BREAD COMPANY-CL A

2866

PANTALOON RETAIL INDIA LTD 2867

PARAMETRIC TECHNOLOGY CORP 2868

PAREXEL INTERNATIONAL CORP

2869

PARGESA HOLDING SA-BR 2870

PARK24 CO LTD 2871

PARKER HANNIFIN CORP

2872

PARKWAY HOLDINGS LTD 2873

PARMALAT BRASIL INDUSTRIA DE

ALIMENTOS S

2874

PARMALAT SPA

50 116

2875

PARQUESOL INMOBILIARIA SA 2876

PARSVNATH DEVELOPERS LTD 2877

PARTNER COMMUNICATIONS-ADR

2878

PARTNERRE LTD 2879

PARTNERS GROUP 2880

PARTYGAMING PLC

2881

PATRIOT COAL CORP 2882

PATTERSON COS INC 2883

PATTERSON-UTI ENERGY INC

2884

PAYCHEX INC 2885

PBG SA 2886

PCCW LTD

2887

PDG REALTY SA EMPREENDIMENTOS E

PARTICIP

2888

PDL BIOPHARMA INC 2889

PEAB AB

2890

PEABODY ENERGY CORP 2891

PEARSON PLC 2892

PEDIATRIX MEDICAL GROUP INC

2893

PEMBINA PIPELINE INC-TR UTS 2894

PENGROWTH ENERGY TRUST 2895

PENN NATIONAL GAMING INC

2896

PENN VIRGINIA CORP 2897

PENN WEST ENERGY TRUST 2898

PENNON GROUP PLC

2899

PENSKE AUTO GROUP INC 2900

PENTAIR INC 2901

PEOPLE'S UNITED FINANCIAL

2902

PEPCO HOLDINGS INC 2903

PEPSI BOTTLING GROUP INC 2904

PEPSIAMERICAS INC

2905

PEPSICO INC 2906

PERDIGAO SA 2907

PERFORMANCE FOOD GROUP CO

2908

PERKINELMER INC 2909

PERNOD-RICARD SA 2910

PEROT SYSTEMS CORP-CL A

2911

PERPETUAL LTD 2912

PERRIGO CO 2913

PERSIMMON PLC

2914

PERUSAHAAN GAS NEGARA PT 2915

PETKIM PETROKIMYA HOLDING 2916

PETROBANK ENERGY & RESOURCES

2917

PETROBRAS ENERGIA-SPON ADR 2918

PETRO-CANADA 2919

PETROFAC LTD

2920

PETROHAWK ENERGY CORP 2921

PETROL OFISI 2922

PETROLEO BRASILEIRO S.A.-ADR

2923

PETROLEO BRASILEIRO SA 2924

PETROLEUM GEO-SERVICES 2925

PETRONAS DAGANGAN BHD

2926

PETRONAS GAS BHD 2927

PETROPLUS HOLDINGS AG 2928

PETSMART INC

2929

PEUGEOT SA 2930

PEYTO ENERGY TRUST 2931

PFIZER INC

2932

PFLEIDERER AG 2933

PG&E CORP 2934

PHARMACEUTICAL PRODUCT DEVEL

2935

PHARMION CORP 2936

PHILADELPHIA CONS HLDG CO 2937

PHILIPPINE LONG DIST -SP ADR

2938

PHILIPS ELECTRONICS NV 2939

PHILIPS ELECTRONICS-NY SHR 2940

PHILLIPS-VAN HEUSEN

2941

PHOENIX COMPANIES INC 2942

PHOENIX MILLS LTD 2943

PIAGGIO & C SPA

2944

PICK'N PAY STORES LTD 2945

PIEDMONT NATURAL GAS CO 2946

PIK GROUP

2947

PILGRIM'S PRIDE CORP 2948

PINFRA 2949

PINNACLE ENTERTAINMENT INC

2950

PINNACLE WEST CAPITAL 2951

PIONEER CORP 2952

PIONEER NATURAL RESOURCES CO

2953

PIRAEUS BANK S.A. 2954

PIRELLI & C REAL ESTATE SPA 2955

PIRELLI & C.

2956

PITNEY BOWES INC 2957

PLACOPLATRE SA 2958

PLAINS EXPLORATION & PRODUCT

2959

PLATINUM ASSET MANGEMENT LTD 2960

PLATINUM UNDERWRITERS HLDGS 2961

PLAYTECH LTD

2962

PLAZA CENTERS NV 2963

PLEXUS CORP 2964

PLUM CREEK TIMBER CO

2965

PLUS EXPRESSWAYS BHD 2966

PMC - SIERRA INC 2967

PNC FINANCIAL SERVICES GROUP

2968

PNM RESOURCES INC 2969

PNOC ENERGY DEVELOPMENT CORP 2970

POLARIS INDUSTRIES INC

2971

POLIMEX MOSTOSTAL SA 2972

POLO RALPH LAUREN CORP 2973

POLYCOM INC

2974

POLYMETAL 2975

POLYUS GOLD CO 2976

POOL CORP

2977

POPULAR INC 2978

PORSCHE AUTOMOBIL HLDG-PFD 2979

PORTLAND GENERAL ELECTRIC CO

2980

PORTUCEL EMPRESA PRODUTORA DE PASTA E

PA

2981

PORTUGAL TELECOM SGPS SA-REG 2982

POSCO

2983

POSITIVO INFORMATICA SA 2984

POST PROPERTIES INC 2985

POTASH CORP OF SASKATCHEWAN

2986

POTLATCH CORP 2987

POWER CORP OF CANADA 2988

POWER FINANCE CORP LTD

2989

POWER FINANCIAL CORP 2990

POWSZECHNA KASA OSZCZEDNOSCI

BANK POLSKI

2991

POYRY OYJ

2992

PPB GROUP BERHAD 2993

PPG INDUSTRIES INC 2994

PPL CORPORATION

2995

PPR 2996

PRAKTIKER BAU- UND

HEIMWERKERMAERKTE AG

2997

PRAXAIR INC

2998

PRECISION CASTPARTS CORP 2999

PRECISION DRILLING TRUST 3000

PREMIER FOODS PLC

3001

PRETORIA PORTLAND CEMENT CO LTD 3002

PRICELINE.COM INC 3003

PRIDE INTERNATIONAL INC

3004

PRINCIPAL FINANCIAL GROUP 3005

PRIVREDNA BANKA ZAGREB D.D. 3006

PROASSURANCE CORP

3007

PROCTER & GAMBLE CO 3008

PROGRESS ENERGY INC 3009

PROGRESS ENERGY TRUST

3010

PROGRESS SOFTWARE CORP 3011

PROGRESSIVE CORP 3012

PROLOGIS

3013

PROMISE CO LTD 3014

PROMOTORA DE INFOM SA -PRISA 3015

PROSAFE SE

3016

PROSEGUR COMP SEGURIDAD-REGD 3017

PROSIEBEN SAT.1 MEDIA AG-PFD 3018

PROSPERITY BANCSHARES INC

3019

PROTECTIVE LIFE CORP 3020

PROVIDENT ENERGY TRUST-UTS 3021

PROVIDENT FINANCIAL PLC

3022

PRUDENTIAL FINANCIAL INC 3023

PRUDENTIAL PLC 3024

PRYSMIAN SPA

3025

PSP SWISS PROPERTY AG-REG 3026

PSS WORLD MEDICAL INC 3027

PSYCHIATRIC SOLUTIONS INC

3028

PT ASTRA INTERNATIONAL TBK 3029

PT INDOSAT-ADR 3030

PT MULTIMEDIA SERVICOS

3031

PTT AROMATICS & REFINING PCL 3032

PTT CHEMICAL PCL 3033

PTT EXPLOR & PROD PUBLIC CO

3034

PTT PCL 3035

PUBLIC BANK BHD 3036

PUBLIC POWER CORP

3037

PUBLIC SERVICE ENTERPRISE GP 3038

PUBLIC STORAGE 3039

PUBLIC WAREHOUSING CO KSC/THE

3040

PUBLICIS GROUPE 3041

PUGET ENERGY INC 3042

PULTE HOMES INC

3043

PUMA AG 3044

PUNCH TAVERNS PLC 3045

PUNJ LLOYD LTD

3046

PUSAN BANK 3047

Q.P. CORP 3048

QANTAS AIRWAYS LTD

3049

QASSIM CEMENT 3050

QATAR GAS TRANSPORT CO NAKILAT 3051

QATAR NATIONAL BANK

3052

QATAR NATIONAL CEMENT CO 3053

QATAR SHIPPING CO 3054

QBE INSURANCE GROUP LIMITED

3055

Q-CELLS AG 3056

QIAGEN N.V. 3057

QIMONDA AG-SPONSORED ADR

3058

QINETIQ PLC 3059

QLOGIC CORP 3060

QUALCOMM INC

3061

QUANEX CORP 3062

QUANTA SERVICES INC 3063

QUEBECOR INC -CL B

3064

QUEENSLAND GAS COMPANY LTD 3065

QUEST DIAGNOSTICS 3066

QUEST SOFTWARE INC

3067

QUESTAR CORP 3068

QUICKSILVER RESOURCES INC 3069

QUIKSILVER INC

3070

QUILMES INDUSTRIAL SA-ADR 3071

QUIMICA Y MINERA CHIL-SP ADR 3072

QUINTAIN ESTATES & DEVELOPMENT PLC

3073

QWEST COMMUNICATIONS INTL 3074

R.H. DONNELLEY CORP 3075

RADIOSHACK CORP

3076

RAFFLES EDUCATION CORP LTD 3077

RAIFFEISEN BANK AVAL 3078

RAIFFEISEN INTL BANK HOLDING

3079

RAK PROPERTIES 3080

RAKUTEN INC 3081

RALCORP HOLDINGS INC

51 116

3082

RALLYE SA 3083

RAMBUS INC 3084

RAMIRENT OYJ

3085

RAMSAY HEALTH CARE LIMITED 3086

RANDGOLD RESOURCES LTD-ADR 3087

RANDON PARTICIPACOES SA

3088

RANDSTAD HOLDING NV 3089

RANGE RESOURCES CORP 3090

RASPADSKAYA

3091

RATCHABURI ELEC GEN HODG PUB 3092

RATIONAL AG 3093

RATOS AB-B SHS

3094

RAUTARUUKKI OYJ 3095

RAYMOND JAMES FINANCIAL INC 3096

RAYONIER INC

3097

RAYTHEON COMPANY 3098

RBC INFORMATION SYSTEMS 3099

RCS MEDIAGROUP SPA

3100

REAL ESTATE / SAUDI ARABIA 3101

REALIA BUSINESS SA 3102

REALTY INCOME CORP

3103

RECKITT BENCKISER GROUP PLC 3104

RED BACK MINING INC 3105

RED ELECTRICA DE ESPANA

3106

RED HAT INC 3107

REDECARD SA 3108

REDWOOD TRUST INC

3109

REECE AUSTRALIA LTD 3110

REED ELSEVIER NV 3111

REED ELSEVIER PLC

3112

REGAL BELOIT CORP 3113

REGAL ENTERTAINMENT GROUP-A 3114

REGAL-BELOIT CORP

3115

REGENCY CENTERS CORP 3116

REGENCY ENERGY PARTNERS LP 3117

REGENERON PHARMACEUTICALS

3118

REGIONS FINANCIAL CORP 3119

REGIS CORP 3120

REGUS GROUP PLC

3121

REINSURANCE GROUP OF AMERICA 3122

REITMANS (CANADA) LTD -CL A 3123

RELIANCE CAPITAL LTD

3124

RELIANCE COMMUNICATIONS LTD 3125

RELIANCE ENERGY LTD 3126

RELIANCE INDUSTRIES LTD

3127

RELIANCE STEEL & ALUMINUM 3128

RELIANT ENERGY INC 3129

RENAISSANCERE HOLDINGS LTD

3130

RENAULT SA 3131

RENEWABLE ENERGY CORP AS 3132

RENGO CO LTD

3133

RENTOKIL INITIAL PLC 3134

REPOWER SYSTEMS AG 3135

REPSOL YPF SA

3136

REPUBLIC SERVICES INC 3137

RESEARCH IN MOTION 3138

RESMED INC

3139

RESMED INC-CDI 3140

RESOLUTION PLC 3141

RESONA HOLDINGS INC

3142

RESORTS WORLD BHD 3143

RESPIRONICS INC 3144

REUNERT LTD

3145

REUTERS GROUP PLC 3146

REXAM PLC 3147

REXEL SA

3148

REYAL URBIS SA 3149

REYNOLDS AMERICAN INC 3150

RGI INTERNATIONAL LTD

3151

RH DONNELLEY CORP 3152

RHB CAPITAL BHD 3153

RHEINMETALL AG

3154

RHJ INTERNATIONAL 3155

RHODIA SA - REGR 3156

RHOEN-KLINIKUM AG

3157

RICHTER GEDEON NYRT 3158

RICOH CO LTD 3159

RIETER HOLDING AG-REG

3160

RIGHTMOVE PLC 3161

RINNAI CORP 3162

RIO TINTO LTD

3163

RIO TINTO PLC 3164

RIO TINTO PLC-SPON ADR 3165

RIOCAN REAL ESTATE INVST TR

3166

RIOZIM LTD 3167

RIPLEY CORP SA 3168

RISANAMENTO SPA

3169

RISKMETRICS GROUP INC 3170

RITCHIE BROS. AUCTIONEERS 3171

RITE AID CORP

3172

RIVERBED TECHNOLOGY INC 3173

RIVERSDALE MINING LTD 3174

RIYAD BANK

3175

RLI CORP 3176

ROBBINS & MYERS INC 3177

ROBERT HALF INTL INC

3178

ROCHE HOLDING AG-GENUSSCHEIN 3179

ROCK-TENN COMPANY -CL A 3180

ROCKWELL AUTOMATION INC

3181

ROCKWELL COLLINS INC. 3182

ROCKWOOD HOLDINGS INC 3183

ROCKWOOL INTL A/S-B SHS

3184

ROFIN-SINAR TECHNOLOGIES INC 3185

ROGERS COMMUNICATIONS -CL B 3186

ROHM AND HAAS CO

3187

ROHM CO., LTD 3188

ROHTO PHARMACEUTICAL CO LTD 3189

ROLLINS INC

3190

ROLLS-ROYCE GROUP PLC 3191

RONA INC 3192

ROPER INDUSTRIES INC

3193

ROSNEFT OIL CO 3194

ROSS STORES INC 3195

ROSSI RESIDENCIAL SA

3196

ROSTELECOM-SPONSORED ADR 3197

ROTHMANS INC 3198

ROTORK PLC

3199

ROWAN COMPANIES INC 3200

ROYAL & SUN ALLIANCE INS GRP 3201

ROYAL BANK OF CANADA

3202

ROYAL BANK OF SCOTLAND GROUP 3203

ROYAL CARIBBEAN CRUISES LTD 3204

ROYAL DUTCH SHELL PLC-A SHS

3205

ROYAL KPN NV 3206

RPC INC 3207

RPM INTERNATIONAL INC

3208

RPS GROUP PLC 3209

RR DONNELLEY & SONS CO 3210

RSC HOLDINGS INC

3211

RTI INTERNATIONAL METALS INC 3212

RTL GROUP SA 3213

RUDDICK CORP

3214

RUSSEL METALS INC 3215

RUUKKI GROUP OYJ 3216

RWE AG

3217

RYANAIR HOLDINGS PLC 3218

RYANAIR HOLDINGS PLC-SP ADR 3219

RYDER SYSTEM INC

3220

RYLAND GROUP INC 3221

RYOHIN KEIKAKU CO LTD 3222

S1 CORPORATION

3223

SA DES CIMENTS VICAT 3224

SABMILLER PLC 3225

SACI FALABELLA

3226

SACYR VALLEHERMOSO SA 3227

SADIA SA 3228

SAFCO

3229

SAFECO CORP 3230

SAFEWAY INC 3231

SAFRAN SA

3232

SAGAMI RAILWAY CO LTD 3233

SAGE GROUP PLC (THE) 3234

SAHARA PETROCHEMICAL CO

3235

SAIC INC 3236

SAINSBURY (J) PLC 3237

SAIPEM

3238

SAKS INC 3239

SALESFORCE.COM INC 3240

SALLY BEAUTY HOLDINGS INC

3241

SALZGITTER AG 3242

SAMBA FINANCIAL GROUP 3243

SAMPO OYJ-A SHS

3244

SAMSUNG CARD CO 3245

SAMSUNG CORPORATION 3246

SAMSUNG ELECTRO-MECHANICS CO LTD

3247

SAMSUNG ELECTRONICS CO LTD 3248

SAMSUNG ENGINEERING CO LTD 3249

SAMSUNG FINE CHEMICALS CO

3250

SAMSUNG FIRE & MARINE INS 3251

SAMSUNG HEAVY INDUSTRIES 3252

SAMSUNG SDI CO LTD

3253

SAMSUNG SECURITIES CO LTD 3254

SAMSUNG TECHWIN CO LTD 3255

SAN MIGUEL CORP

3256

SANDISK CORP 3257

SANDRIDGE ENERGY INC 3258

SANDVIK AB

3259

SAN-IN GODO BANK LTD/THE 3260

SANKYO CO LTD 3261

SANKYU INC

3262

SANLAM LTD 3263

SANOFI-AVENTIS 3264

SANOMAWSOY OYJ

3265

SANTEN PHARMACEUTICAL CO LTD 3266

SANTOS LTD 3267

SANWA HOLDINGS CORP

3268

SANYO ELECTRIC CO LTD 3269

SAO PAULO ALPARGATAS SA 3270

SAP AG

3271

SAPPI LTD 3272

SAPPI LTD -SPONSORED ADR 3273

SAPPORO HOKUYO HOLDINGS INC

3274

SAPPORO HOLDINGS LTD 3275

SAPUTO INC 3276

SARA LEE CORP

3277

SAS AB 3278

SASKATCHEWAN WHEAT POOL 3279

SASOL LTD

3280

SASOL LTD-SPONSORED ADR 3281

SATYAM COMPUTER SERVICES LTD 3282

SATYAM COMPUTER SERVICES-ADR

3283

SAUDI BASIC INDUSTRIES CORP 3284

SAUDI BRITISH BANK 3285

SAUDI CEMENT

3286

SAUDI ELECTRICITY CO 3287

SAUDI INDUSTRIAL INVESTMENT GROUP

3288

SAUDI INTERNATIONAL PETROCHEMICAL CO

3289

SAUDI INVESTMENT BANK 3290

SAUDI KAYAN PETROCHEMICAL CO 3291

SAUDI TELECOM CO

52 116

3292

SAVA 3293

SAVIENT PHARMACEUTICALS INC 3294

SAVOLA

3295

SAVVIS INC 3296

SBA COMMUNICATIONS CORP-CL A 3297

SBERBANK

3298

SBI E*TRADE SECURITIES CO LTD 3299

SBI HOLDINGS INC 3300

SBM OFFSHORE NV

3301

SCA HYGIENE PRODUCTS AG 3302

SCANIA AB-B SHS 3303

SCHERING-PLOUGH CORP

3304

SCHIBSTED ASA 3305

SCHINDLER HOLDING-PART CERT 3306

SCHLUMBERGER LTD

3307

SCHNEIDER ELECTRIC SA 3308

SCHNITZER STEEL INDS INC-A 3309

SCHOLASTIC CORP

3310

SCHRODERS PLC 3311

SCHULTHESS GROUP 3312

SCHWAB (CHARLES) CORP

3313

SCHWARZ PHARMA AG 3314

SCIENTIFIC GAMES CORP-A 3315

SCOR SE

3316

SCOTTISH & NEWCASTLE PLC 3317

SCOTTISH & SOUTHERN ENERGY 3318

SCOTTS MIRACLE-GRO CO-CL A

3319

SEABOARD CORP 3320

SEACOR HOLDINGS INC 3321

SEADRILL LTD

3322

SEAGATE TECHNOLOGY 3323

SEALED AIR CORP 3324

SEARS CANADA INC

3325

SEARS HOLDINGS CORP 3326

SEASPAN CORP 3327

SEAT PAGINE GIALLE

3328

SEB SA 3329

SECHE ENVIRONNEMENT SA 3330

SECHILIENNE-SIDEC

3331

SECO TOOLS 3332

SECOM CO LTD 3333

SECURITAS AB-B SHS

3334

SECURITAS DIRECT AB 3335

SECURITIES HOUSE 3336

SEEK LTD

3337

SEGA SAMMY HOLDINGS INC 3338

SEGRO PLC 3339

SEI INVESTMENTS COMPANY

3340

SEIKO EPSON CORP 3341

SEINO HOLDINGS CO LTD 3342

SEKISUI CHEMICAL CO LTD

3343

SEKISUI HOUSE LTD 3344

SELECTIVE INSURANCE GROUP 3345

SEMAPA-SOCIEDADE DE INVESTIMENTO E

GESTA

3346

SEMBCORP INDUSTRIES LTD 3347

SEMBCORP MARINE LTD 3348

SEMEN GRESIK PERSERO TBK PT

3349

SEMPRA ENERGY 3350

SENIOR HOUSING PROP TRUST 3351

SENSIENT TECHNOLOGIES CORP

3352

SEOUL BROADCASTING SYSTEM 3353

SEPRACOR INC 3354

SERCO GROUP PLC

3355

SERVICE CORP INTERNATIONAL 3356

SES-FDR 3357

SEVEN & I HOLDINGS CO LTD

3358

SEVEN NETWORK LIMITED 3359

SEVENTH CONTINENT 3360

SEVERN TRENT PLC

3361

SEVERSTAL 3362

SFCG CO LTD 3363

SGL CARBON AG

3364

SGS SA-REG 3365

SHARP CORP 3366

SHAW COMMUNICATIONS INC-B

3367

SHAW GROUP INC 3368

SHAWCOR LTD 3369

SHELL REFINING CO (F.O.M.)

3370

SHERRITT INTERNATIONAL CORP 3371

SHERWIN-WILLIAMS CO/THE 3372

SHIGA BANK LTD/THE

3373

SHIKOKU ELECTRIC POWER CO 3374

SHIMA SEIKI MFG LTD 3375

SHIMACHU CO LTD

3376

SHIMADZU CORP 3377

SHIMAMURA CO LTD 3378

SHIMANO INC

3379

SHIMIZU CORP 3380

SHIN CORP PCL 3381

SHIN-ETSU CHEMICAL CO LTD

3382

SHINHAN FINANCIAL GROUP LTD 3383

SHINKO ELECTRIC INDUSTRIES 3384

SHINKO SECURITIES CO LTD

3385

SHINSEGAE CO LTD 3386

SHINSEI BANK LTD 3387

SHIONOGI & CO LTD

3388

SHIP FINANCE INTL LTD 3389

SHIRE PLC 3390

SHISEIDO CO LTD

3391

SHIZUOKA BANK LTD/THE 3392

SHOPPERS DRUG MART CORP 3393

SHOWA DENKO K K

3394

SHOWA SHELL SEKIYU KK 3395

SIA ENGINEERING CO LTD 3396

SIAM CEMENT PUBLIC CO LTD

3397

SIAM CITY CEMENT PUB CO LTD 3398

SIAM COMMERCIAL BANK PUB CO 3399

SIBIRSKIY CEMENT

3400

SIDI KERIR PETROCHEMCIALS CO 3401

SIEMENS AG-REG 3402

SIEMENS INDIA LTD

3403

SIERRA HEALTH SERVICES INC 3404

SIERRA PACIFIC RESOURCES 3405

SIG PLC

3406

SIGMA DESIGNS INC 3407

SIGMA PHARMACEUTICALS LTD 3408

SIGMA-ALDRICH

3409

SIGNET GROUP PLC 3410

SIKA AG-BR 3411

SILGAN HOLDINGS INC

3412

SILIC 3413

SILICON LABORATORIES INC 3414

SILOVIYE MASHINY

3415

SILVER STANDARD RESOURCES 3416

SILVER WHEATON CORP 3417

SILVERCORP METALS INC

3418

SILVINIT 3419

SIME DARBY BERHAD 3420

SIMON PROPERTY GROUP INC

3421

SIMPSON MANUFACTURING CO INC 3422

SIMS GROUP LTD 3423

SINA CORP

3424

SINGAPORE AIRLINES LTD 3425

SINGAPORE AIRPORT TERMINAL

SERVICES LTD

3426

SINGAPORE EXCHANGE LTD

3427

SINGAPORE LAND LTD 3428

SINGAPORE POST LTD 3429

SINGAPORE PRESS HOLDINGS LTD

3430

SINGAPORE TECHNOLOGIES ENG 3431

SINGAPORE TELECOMM-CDI 3432

SINGAPORE TELECOMMUNICATIONS LTD

3433

SINO GOLD MINING LTD 3434

SINO LAND CO 3435

SINO-FOREST CORPORATION

3436

SIRIUS SATELLITE RADIO INC 3437

SIRONA DENTAL SYSTEMS INC 3438

SISTEMA JSFC

3439

SISTEMA-HALS 3440

SK CHEMICALS CO LTD 3441

SK ENERGY CO LTD

3442

SK HOLDINGS CO LTD 3443

SK NETWORKS CO LTD 3444

SK SECURITIES CO LTD

3445

SK TELECOM 3446

SKANDINAVISKA ENSKILDA BAN-A 3447

SKANSKA AB-B SHS

3448

SKF AB-B SHARES 3449

SKY CITY ENTERTAINMENT GROUP LTD 3450

SKY PERFECT JSAT CORP

3451

SKYWEST INC 3452

SKYWORKS SOLUTIONS INC 3453

SL GREEN REALTY CORP

3454

SLIGRO FOOD GROUP NV 3455

SLM CORP 3456

SM INVESTMENTS CORP

3457

SM PRIME HOLDINGS INC 3458

SMC CORP 3459

SMITH & NEPHEW PLC

3460

SMITH (A.O.) CORP 3461

SMITH INTERNATIONAL INC 3462

SMITHFIELD FOODS INC

3463

SMITHS GROUP PLC 3464

SMRT CORP LTD 3465

SMURFIT KAPPA GROUP PLC

3466

SMURFIT-STONE CONTAINER CORP 3467

SNAM RETE GAS 3468

SNAP-ON INC

3469

SNC-LAVALIN GROUP INC 3470

SOBHA DEVELOPERS LTD 3471

SOCIEDAD GENERAL DE AGUAS DE

BARCELONA S

3472

SOCIEDAD MINERA CERRO VERDE SA 3473

SOCIETA INIZIATIVE AUTOSTRADALI E

SERVIZ

3474

SOCIETE BIC SA

3475

SOCIETE DES AUTOROUTES

PARIS-RHIN-RHONE

3476

SOCIETE DES BAINS DE MER ET DU

CERCLE DE

3477

SOCIETE FONCIERE FINANCIERE ET DE

PARTIC

3478

SOCIETE FONCIERE LYONNAISE SA 3479

SOCIETE GENERALE 3480

SOCIETE TELEVISION FRANCAISE 1

3481

SODEXHO ALLIANCE SA 3482

SOFTBANK CORP 3483

SOFTWARE AG

3484

SOGECABLE 3485

SOHGO SECURITY SERVICES CO 3486

S-OIL CORPORATION

3487

SOJITZ CORP 3488

SOL MELIA SA 3489

SOLARIA ENERGIA Y MEDIO AMBI

3490

SOLARWORLD AG 3491

SOLERA HOLDINGS INC 3492

SOLIDERE

3493

SOLVAY SA 3494

SOMFY SA 3495

SOMPO JAPAN INSURANCE INC

3496

SONAE SGPS SA 3497

SONGBIRD ESTATES PLC 3498

SONIC AUTOMOTIVE INC-CLASS A

53 116

3499

SONIC CORP 3500

SONIC HEALTHCARE LTD 3501

SONOCO PRODUCTS CO

3502

SONOVA HOLDING AG-REG 3503

SONY CORP 3504

SONY FINANCIAL HOLDINGS INC

3505

SOROUH REAL ESTATE CO 3506

SOS CUETARA SA 3507

SOTHEBY'S

3508

SOUTH FINANCIAL GROUP INC 3509

SOUTH JERSEY INDUSTRIES 3510

SOUTH ORE MINING & PROCESSING

FRANCHISE

3511

SOUTHERN CO 3512

SOUTHERN COPPER CORP 3513

SOUTHERN COPPER CORP/PERU

3514

SOUTHERN CROSS HEALTHCARE LTD 3515

SOUTHERN PROVINCE CEMENT CO 3516

SOUTHERN UNION CO

3517

SOUTHWEST AIRLINES CO 3518

SOUTHWEST GAS CORP 3519

SOUTHWESTERN ENERGY CO

3520

SOUZA CRUZ SA 3521

SOVEREIGN BANCORP INC 3522

SP AUSNET

3523

SP SETIA BHD 3524

SPARK INFRASTRUCTURE GROUP 3525

SPECTRA ENERGY CORP

3526

SPECTRIS PLC 3527

SPEEDWAY MOTORSPORTS INC 3528

SPIRAX-SARCO ENGINEERING PLC

3529

SPIRIT AEROSYSTEMS HOLD-CL A 3530

SPONDA OYJ 3531

SPORTS DIRECT INTERNATIONAL PLC

3532

SPRINT NEXTEL CORP 3533

SPX CORP 3534

SQUARE ENIX CO LTD

3535

SRA INTERNATIONAL INC-CL A 3536

SSAB SVENSKT STAL AB 3537

SSANGYONG CEMENT IND

3538

ST GEORGE BANK LIMITED 3539

ST JOE CO/THE 3540

ST JUDE MEDICAL INC

3541

ST MARY LAND & EXPLORATION 3542

ST MODWEN PROPERTIES PLC 3543

STADA ARZNEIMITTEL AG

3544

STAGECOACH GROUP PLC 3545

STANCORP FINANCIAL GROUP 3546

STANDARD BANK GROUP LTD

3547

STANDARD CHARTERED PLC 3548

STANDARD LIFE PLC 3549

STANLEY ELECTRIC CO LTD

3550

STANLEY WORKS/THE 3551

STANTEC INC 3552

STAPLES INC

3553

STARBUCKS CORP 3554

STARHUB LTD 3555

STARWOOD HOTELS & RESORTS

3556

STATE AUTO FINANCIAL CORP 3557

STATE STREET CORP 3558

STATOILHYDRO ASA

3559

STATS CHIPPAC LTD 3560

STEEL AUTHORITY OF INDIA LTD 3561

STEEL DYNAMICS INC

3562

STEELCASE INC-CL A 3563

STEINHOFF INTERNATIONAL HOLDINGS

LTD

3564

STERICYCLE INC

3565

STERIS CORP 3566

STERLITE INDUSTRIES INDIA LTD 3567

STERLITE INDUSTRIES INDI-ADR

3568

STMICROELECTRONICS NV 3569

STOCKLAND 3570

STOCKMANN OYJ ABP

3571

STOLT-NIELSEN SA 3572

STONE ENERGY CORP 3573

STORA ENSO OYJ-R SHS

3574

STOREBRAND ASA 3575

STORK NV 3576

STRABAG AG

3577

STRAITS RESOURCES LIMITED 3578

STRAITS TRADING CO LTD 3579

STRATEGIC HOTELS & RESORTS I

3580

STRAUMANN HOLDING AG 3581

STRAUMUR-BURDARAS

FJARFESTINGABANKI HF

3582

STRAYER EDUCATION INC

3583

STRYKER CORP 3584

STUDENT LOAN CORP 3585

STX CORPORATION

3586

STX ENGINE CO LTD 3587

STX PAN OCEAN CO LTD 3588

STX SHIPBUILDING CO LTD

3589

SUBSEA 7 INC 3590

SUED-CHEMIE AG 3591

SUEDZUCKER AG

3592

SUEZ CEMENT 3593

SUEZ SA 3594

SUGI PHARMACY CO LTD

3595

SULZER AG-REG 3596

SUMCO CORP 3597

SUMITOMO BAKELITE CO LTD

3598

SUMITOMO CHEMICAL CO LTD 3599

SUMITOMO CORP 3600

SUMITOMO ELECTRIC INDUSTRIES

3601

SUMITOMO FORESTRY CO LTD 3602

SUMITOMO HEAVY INDUSTRIES 3603

SUMITOMO METAL INDUSTRIES

3604

SUMITOMO METAL MINING CO LTD 3605

SUMITOMO MITSUI FINANCIAL GR 3606

SUMITOMO REAL ESTATE SALES

3607

SUMITOMO REALTY & DEVELOPMNT 3608

SUMITOMO RUBBER INDUSTRIES 3609

SUMITOMO TRUST & BANKING CO

3610

SUN HUNG KAI PROPERTIES 3611

SUN INTERBREW UKRAINE 3612

SUN INTERNATIONAL LTD

3613

SUN LIFE FINANCIAL INC 3614

SUN MICROSYSTEMS INC 3615

SUN PHARMACEUTICAL INDUSTRIES LTD

3616

SUN TV NETWORK LTD 3617

SUNCOM WIRELESS HOLDING-CL A 3618

SUNCOR ENERGY INC

3619

SUNCORP-METWAY LTD 3620

SUNDRUG CO LTD 3621

SUNOCO INC

3622

SUNPOWER CORP-CLASS A 3623

SUNRISE SENIOR LIVING INC 3624

SUNTRUST BANKS INC

3625

SUPERIOR ENERGY SERVICES INC 3626

SUPERVALU INC 3627

SURAMERICANA DE INVERSIONES SA

3628

SURGUTNEFTEGAZ 3629

SURUGA BANK LTD 3630

SUSQUEHANNA BANCSHARES INC

3631

SUZLON ENERGY LTD 3632

SUZUKEN CO LTD 3633

SUZUKI MOTOR CORP

3634

SVB FINANCIAL GROUP 3635

SVENSKA CELLULOSA AB-B SHS 3636

SVENSKA HANDELSBANKEN-A SHS

3637

SWATCH GROUP AG 3638

SWEDBANK AB - A SHARES 3639

SWEDISH MATCH AB

3640

SWIFT ENERGY CO 3641

SWIRE PACIFIC LTD 'A' 3642

SWISS LIFE HOLDING-REG

3643

SWISS PRIME SITE AG 3644

SWISS RE-REG 3645

SWISSCOM AG-REG

3646

SYBASE INC 3647

SYDBANK A/S 3648

SYMANTEC CORP

3649

SYMBION HEALTH LTD 3650

SYMRISE AG 3651

SYNEAR FOOD HOLDINGS LTD

3652

SYNGENTA AG-REG 3653

SYNIVERSE HOLDINGS INC 3654

SYNOPSYS INC

3655

SYNOVUS FINANCIAL CORP 3656

SYNTEL INC 3657

SYNTHES INC

3658

SYNUTRA INTERNATIONAL INC 3659

SYSCO CORP 3660

SYSMEX CORP

3661

T ROWE PRICE GROUP INC 3662

T&D HOLDINGS INC 3663

TABCORP HOLDINGS LIMITED

3664

TADANO LTD 3665

TAEKWANG INDUSTRIAL CO LTD 3666

TAEWOONG CO LTD

3667

TAIBAH 3668

TAIHAN ELECTRIC WIRE CO LTD 3669

TAIHEIYO CEMENT CORP

3670

TAISEI CORP 3671

TAISHO PHARMACEUTICAL CO LTD 3672

TAIYO NIPPON SANSO CORP

3673

TAIYO YUDEN CO LTD 3674

TAKARA HOLDINGS INC 3675

TAKASHIMAYA CO LTD

3676

TAKATA CORP 3677

TAKEDA PHARMACEUTICAL CO LTD 3678

TAKEFUJI CORP

3679

TAKE-TWO INTERACTIVE SOFTWRE 3680

TAKKT AG 3681

TALISMAN ENERGY INC

3682

TAM SA-SPONSORED ADR 3683

TANDBERG ASA 3684

TANGER FACTORY OUTLET CENTER

3685

TANJONG PLC 3686

TARGA RESOURCES PARTNERS LP 3687

TARGET CORP

3688

TATA CHEMICALS LTD 3689

TATA CONSULTANCY SERVICES LTD 3690

TATA MOTORS LTD-SPON ADR

3691

TATA STEEL LTD 3692

TATE & LYLE PLC 3693

TATTS GROUP LTD

3694

TAUBMAN CENTERS INC 3695

TAV HAVALIMANLARI HOLDING AS 3696

TAYLOR NELSON SOFRES PLC

3697

TAYLOR WIMPEY PLC 3698

TC PIPELINES LP 3699

TCF FINANCIAL CORP

3700

TD AMERITRADE HOLDING CORP 3701

TDC A/S 3702

TDK CORP

3703

TDK CORP-SPONSORED ADR 3704

TECH DATA CORP 3705

TECH MAHINDRA LTD

54 116

3706

TECHEM AG 3707

TECHNE CORP 3708

TECHNIP SA

3709

TECK COMINCO LTD 3710

TECK COMINCO LTD-CL B 3711

TECNICAS REUNIDAS SA

3712

TECO ENERGY INC 3713

TEEKAY CORP 3714

TEIJIN LTD

3715

TELE ATLAS NV 3716

TELE NORTE LESTE PARTICIPACOES SA 3717

TELE2 AB-B SHS

3718

TELECOM ARGENTINA SA-SP ADR 3719

TELECOM CORP OF NEW ZEALAND 3720

TELECOM ITALIA SPA

3721

TELECOM NEW ZEALAND-SP ADR 3722

TELECOMUNICACOES DE SAO PAULO SA

3723

TELEDYNE TECHNOLOGIES INC

3724

TELEFLEX INC 3725

TELEFONAKTIEBOLAGET LM ERICSSON 3726

TELEFONICA DE ARGEN-SPON ADR

3727

TELEFONICA O2 CZECH REPUBLIC AS 3728

TELEFONICA SA 3729

TELEFONOS DE MEXICO-SP ADR L

3730

TELEKOM AUSTRIA AG 3731

TELEKOM MALAYSIA BHD 3732

TELEKOMUNIK INDONESIA-SP ADR

3733

TELEKOMUNIKACJA POLSKA SA 3734

TELEKOMUNIKASI INDONESIA TBK PT 3735

TELEMAR NORTE LESTE SA

3736

TELENOR ASA 3737

TELEPERFORMANCE 3738

TELEPHONE AND DATA SYSTEMS

3739

TELETECH HOLDINGS INC 3740

TELEVISION FRANCAISE (T.F.1) 3741

TELIASONERA AB

3742

TELKOM SA LTD 3743

TELKOM SOUTH AFRICA-SPON ADR 3744

TELLABS INC

3745

TELSTRA CORP LTD 3746

TELSTRA CORPORATION-INS RECP 3747

TELUS CORP

3748

TEMPLE-INLAND INC 3749

TEMPUR-PEDIC INTERNATIONAL 3750

TEN NETWORK HOLDINGS LIMITED

3751

TENAGA NASIONAL BHD 3752

TENARIS SA 3753

TENARIS SA-ADR

3754

TENET HEALTHCARE CORP 3755

TENNECO INC 3756

TERADATA CORP

3757

TERADYNE INC 3758

TERANET INCOME FUND 3759

TEREX CORP

3760

TERNA SPA 3761

TERNIUM SA-SPONSORED ADR 3762

TERRA INDUSTRIES INC

3763

TERUMO CORP 3764

TESCO PLC 3765

TESORO CORP

3766

TESSENDERLO CHEMIE NV 3767

TESSERA TECHNOLOGIES INC 3768

TETRA TECH INC

3769

TETRA TECHNOLOGIES INC 3770

TEVA PHARMACEUTICAL-SP ADR 3771

TEXAS INDUSTRIES INC

3772

TEXAS INSTRUMENTS INC 3773

TEXTRON INC 3774

TFS FINANCIAL CORP

3775

TGS NOPEC GEOPHYSICAL CO ASA 3776

THAI AIRWAYS INTERNATIONAL 3777

THAI BEVERAGE PCL

3778

THAI OIL PCL 3779

THALES SA 3780

THE BUCKLE INC

3781

THE COOPER COS INC 3782

THE MEN'S WEARHOUSE INC 3783

THE MOSAIC COMPANY

3784

THE SEIYU LTD 3785

THE ST JOE COMPANY 3786

THE SWATCH GROUP AG-BR

3787

THE WALT DISNEY CO 3788

THERAVANCE INC 3789

THERMAX LTD

3790

THERMO FISHER SCIENTIFIC INC 3791

THK CO LTD 3792

THOMAS & BETTS CORP

3793

THOMAS COOK GROUP PLC 3794

THOMPSON CREEK METALS CO INC 3795

THOMSON (EX-TMM)

3796

THOMSON CORP 3797

THOR INDUSTRIES INC 3798

THORNBURG MORTGAGE INC

3799

THQ INC 3800

THYSSENKRUPP AG 3801

TIBCO SOFTWARE INC

3802

TIDEWATER INC 3803

TIFFANY & CO 3804

TIGER BRANDS LTD

3805

TIM HORTONS INC 3806

TIM PARTICIPACOES SA 3807

TIME WARNER CABLE-A

3808

TIME WARNER INC 3809

TIME WARNER TELECOM-CLASS A 3810

TIMKEN CO

3811

TINGYI CAYMAN ISLANDS HOLDING CORP 3812

TITAN CEMENT CO. S.A. 3813

TITANIUM METALS CORP

3814

TJX COMPANIES INC 3815

TMB BANK PCL 3816

TMK OAO

3817

TNK-BP HOLDING 3818

TNT NV 3819

TOBU RAILWAY CO LTD

3820

TOC CO LTD 3821

TODA CORP 3822

TOD'S SPA

3823

TOGNUM AG 3824

TOHO CO LTD 3825

TOHO GAS CO LTD

3826

TOHO PHARMACEUTICAL CO LTD 3827

TOHO TITANIUM CO LTD 3828

TOHOKU ELECTRIC POWER CO INC

3829

TOKAI CARBON CO LTD 3830

TOKAI RIKA CO LTD 3831

TOKAI RUBBER INDUSTRIES

3832

TOKAI TOKYO SECURITIES CO 3833

TOKUYAMA CORPORATION 3834

TOKYO BROADCASTING SYSTEM

3835

TOKYO DOME CORP 3836

TOKYO ELECTRIC POWER CO INC 3837

TOKYO ELECTRIC POWER CO INC/THE

3838

TOKYO ELECTRON LTD 3839

TOKYO GAS CO LTD 3840

TOKYO STAR BANK LTD/THE

3841

TOKYO STEEL MFG CO LTD 3842

TOKYO TATEMONO CO LTD 3843

TOKYU CORP

3844

TOKYU LAND CORP 3845

TOLL BROTHERS INC 3846

TOLL HOLDINGS LIMITED

3847

TOMKINS PLC 3848

TOMTOM 3849

TONENGENERAL SEKIYU KK

3850

TONG YANG INVESTMENT BANK 3851

TOOTSIE ROLL INDS 3852

TOPDANMARK A/S

3853

TOPPAN FORMS CO LTD 3854

TOPPAN PRINTING CO LTD 3855

TORAY INDUSTRIES INC

3856

TORCHMARK CORP 3857

TORO CO 3858

TOROMONT INDUSTRIES LTD

3859

TORONTO-DOMINION BANK 3860

TORSTAR CORP - CL B 3861

TOSHIBA CORP

3862

TOSHIBA MACHINE CO LTD 3863

TOSHIBA TEC CORP 3864

TOSOH CORP

3865

TOTAL ACCESS COMMUNICATION 3866

TOTAL SA 3867

TOTAL SYSTEM SERVICES INC

3868

TOTO LTD 3869

TOYAMA CHEMICAL CO LTD 3870

TOYO INK MFG CO LTD

3871

TOYO SEIKAN KAISHA LTD 3872

TOYO SUISAN KAISHA LTD 3873

TOYO TANSO CO LTD

3874

TOYOBO CO LTD 3875

TOYODA GOSEI CO LTD 3876

TOYOTA AUTO BODY CO LTD

3877

TOYOTA BOSHOKU CORP 3878

TOYOTA INDUSTRIES CORP 3879

TOYOTA MOTOR CORP

3880

TOYOTA MOTOR CORP -SPON ADR 3881

TOYOTA TSUSHO CORP 3882

TRACTEBEL ENERGIA SA

3883

TRACTOR SUPPLY COMPANY 3884

TRADUS PLC 3885

TRANE INC

3886

TRANSALTA CORP 3887

TRANSATLANTIC HOLDINGS INC 3888

TRANSCANADA CORP

3889

TRANSCONTINENTAL INC-CL A 3890

TRANSDIGM GROUP INC 3891

TRANSFIELD SERVICES LIMITED

3892

TRANSOCEAN INC 3893

TRANSPACIFIC INDUSTRIES GROU 3894

TRANSURBAN GROUP

3895

TRAVELERS COS INC/THE 3896

TRAVIS PERKINS PLC 3897

TRELLEBORG AB-B SHS

3898

TREND MICRO INC 3899

TRICAN WELL SERVICE LTD 3900

TRIMBLE NAVIGATION LTD

3901

TRINITY INDUSTRIES INC 3902

TRINITY MIRROR PLC 3903

TRUBA ALAM MANUNGGAL ENGINEERING PT

3904

TRUSTMARK CORP 3905

TRUWORTHS INTERNATIONAL LTD 3906

TRW AUTOMOTIVE HOLDINGS CORP

3907

TS TECH CO LTD 3908

TSAKOS ENERGY NAVIGATION LTD 3909

TSUBAKIMOTO CHAIN CO

3910

TSUMURA & CO 3911

TSX GROUP INC 3912

TUBACEX SA

3913

TUBOS REUNIDOS SA 3914

TUI AG 3915

TUI TRAVEL PLC

55 116

3916

TULLOW OIL PLC 3917

TUPPERWARE BRANDS CORP 3918

TURK SISE VE CAM FABRIKALARI AS

3919

TURKCELL ILETISIM HIZMET-ADR 3920

TURKIYE GARANTI BANKASI AS 3921

TURKIYE HALK BANKASI AS

3922

TURKIYE IS BANKASI 3923

TURKIYE VAKIFLAR BANKASI TAO 3924

TV ASAHI CORP

3925

TYCO ELECTRONICS LTD 3926

TYCO INTERNATIONAL LTD 3927

TYSON FOODS INC-CL A

3928

UAL CORP 3929

UAP HOLDING CORP 3930

UBE INDUSTRIES LTD

3931

UBISOFT ENTERTAINMENT 3932

UBS AG-REG 3933

UCB SA

3934

UCBH HOLDINGS INC 3935

UDR INC 3936

UEM WORLD BHD

3937

UGI CORP 3938

ULTRA ELECTRONICS HOLDINGS 3939

ULTRA PETROLEUM CORP

3940

ULTRA TECH CEMENT LTD 3941

ULVAC INC 3942

UMB FINANCIAL CORP

3943

UMICORE 3944

UMW HOLDINGS BHD 3945

UNDER ARMOUR INC-CLASS A

3946

UNIBAIL-RODAMCO 3947

UNIBANCO 3948

UNICHARM CORP

3949

UNICREDIT SPA 3950

UNIFIED ENERGY SYSTEM-CLS 3951

UNILEVER INDONESIA TBK PT

3952

UNILEVER NV-CVA 3953

UNILEVER PLC 3954

UNION FENOSA SA

3955

UNION PACIFIC CORP 3956

UNION PROPERTIES 3957

UNIONBANCAL CORPORATION

3958

UNIONE DI BANCHE ITALIANE SC 3959

UNIPOL GRUPPO FINANZIARI-PFD 3960

UNISOURCE ENERGY CORP CO

3961

UNISYS CORP 3962

UNIT CORP 3963

UNITECH LTD

3964

UNITED BANKSHARES INC 3965

UNITED BUSINESS MEDIA PLC 3966

UNITED GROUP LTD

3967

UNITED INDUSTRIAL CORP LTD 3968

UNITED INTERNET AG 3969

UNITED NATURAL FOODS INC

3970

UNITED OVERSEAS BANK LTD 3971

UNITED PARCEL SERVICE-CL B 3972

UNITED PHOSPHORUS LTD

3973

UNITED RENTALS INC 3974

UNITED STATES STEEL CORP 3975

UNITED STATIONERS INC

3976

UNITED TECHNOLOGIES CORP 3977

UNITED THERAPEUTICS CORP 3978

UNITED TRACTORS TBK PT

3979

UNITED UTILITIES PLC 3980

UNITEDHEALTH GROUP INC 3981

UNITRIN INC

3982

UNITY BANK PLC 3983

UNIVERSAL AMERICAN CORP 3984

UNIVERSAL CORP/VA

3985

UNIVERSAL HEALTH SERVICES-B 3986

UNUM GROUP 3987

UNY CO LTD

3988

UOL GROUP LTD 3989

UPM-KYMMENE OYJ 3990

URALITA SA

3991

URALKALI 3992

URANIUM ONE INC 3993

URBAN CORP

3994

URBAN OUTFITTERS INC 3995

URBI DESARROLLOS URBANOS SA DE CV

3996

URS CORP

3997

US AIRWAYS GROUP INC 3998

US BANCORP 3999

US CELLULAR CORP

4000

USG CORP 4001

USG PEOPLE NV 4002

USHIO INC

4003

USINAS SIDERURGICAS DE MINAS GERAIS SA

4004

USJ CO LTD 4005

USS CO LTD

4006

UST INC 4007

UTI WORLDWIDE INC 4008

UTS ENERGY CORP

4009

VAIL RESORTS INC 4010

VALAD PROPERTY GROUP 4011

VALEANT PHARMACEUTICALS INTE

4012

VALEO SA 4013

VALERO ENERGY CORP 4014

VALHI INC

4015

VALIDUS HOLDINGS LTD 4016

VALLEY NATIONAL BANCORP 4017

VALLOUREC

4018

VALMONT INDUSTRIES 4019

VALSPAR CORP 4020

VALUECLICK INC

4021

VARIAN INC 4022

VARIAN MEDICAL SYSTEMS INC 4023

VARIAN SEMICONDUCTOR EQUIP

4024

VATTENFALL EUROPE AG 4025

VCA ANTECH INC 4026

VECTOR GROUP LTD

4027

VECTREN CORPORATION 4028

VEDANTA RESOURCES PLC 4029

VEDIOR NV-CVA

4030

VEIDEKKE ASA 4031

VENTANA MEDICAL SYSTEMS 4032

VENTAS INC

4033

VENTURE CORP LTD 4034

VEOLIA ENVIRONNEMENT 4035

VERBUND

4036

VERIFONE HOLDINGS INC 4037

VERIGY LTD 4038

VERISIGN INC

4039

VERIZON COMMUNICATIONS INC 4040

VERMILION ENERGY TRUST 4041

VERTEX PHARMACEUTICALS INC

4042

VESTAS WIND SYSTEMS A/S 4043

VF CORP 4044

VIACOM INC-CL B

4045

VIACOM INC-CLASS B 4046

VIDEOCON INDUSTRIES LTD 4047

VIDESH SANCHAR NIGAM-ADR

4048

VIETNAM DAIRY PRODUCT CO 4049

VIMPELCOM-SP ADR 4050

VINA CONCHA Y TORO SA-SP ADR

4051

VINCI SA 4052

VIRGIN BLUE HOLDINGS LTD 4053

VIRGIN MEDIA INC

4054

VISHAY INTERTECHNOLOGY INC 4055

VISTAPRINT LTD 4056

VIVARTIA SA

4057

VIVENDI 4058

VIVO PARTICIPACOES SA 4059

VMWARE INC-CLASS A

4060

VOCENTO SA 4061

VODAFONE GROUP PLC 4062

VOESTALPINE AG

4063

VOLCAN CIA MINERA SAA 4064

VOLGA TERRITORIAL GENERATING CO 4065

VOLKSWAGEN AG

4066

VOLTAS LTD 4067

VOLVO AB-B SHS 4068

VORNADO REALTY TRUST

4069

VOSSLOH AG 4070

VOTORANTIM CELULOSE-SPON ADR 4071

VSMPO-AVISMA CORP

4072

VTB BANK OJSC 4073

VULCAN MATERIALS CO 4074

VYKSA METALLURGICAL

4075

W&T OFFSHORE INC 4076

WABCO HOLDINGS INC 4077

WABTEC CORP

4078

WACHOVIA CORP 4079

WACKER CHEMIE AG 4080

WACOAL HOLDINGS CORP

4081

WADDELL & REED FINANCIAL-A 4082

WALGREEN CO 4083

WALLENSTAM BYGGNADS AB

4084

WAL-MART DE MEXICO SAB DE CV 4085

WAL-MART STORES INC 4086

WALT DISNEY CO.

4087

WALTER INDUSTRIES INC 4088

WAREHOUSE GROUP LTD 4089

WARNACO GROUP INC/THE

4090

WARNER CHILCOTT LTD-CLASS A 4091

WARTSILA OYJ-B SHARES 4092

WASHINGTON FEDERAL INC

4093

WASHINGTON MUTUAL INC 4094

WASHINGTON POST -CL B 4095

WASHINGTON REAL ESTATE INV

4096

WASTE CONNECTIONS INC 4097

WASTE MANAGEMENT INC 4098

WATERS CORP

4099

WATSON PHARMACEUTICALS INC 4100

WATSON WYATT WORLDWIDE INC-A 4101

WATTS WATER TECHNOLOGIES-A

4102

WEATHERFORD INTL LTD 4103

WEBMD HEALTH CORP-CLASS A 4104

WEBSTER FINANCIAL CORP

4105

WEG SA 4106

WEIGHT WATCHERS INTL INC 4107

WEINGARTEN REALTY INVESTORS

4108

WEIR GROUP PLC (THE) 4109

WELLCARE HEALTH PLANS INC 4110

WELLPOINT INC

4111

WELLS FARGO & COMPANY 4112

WELSPUN-GUJARAT STAHL LTD 4113

WENDEL

4114

WENDY'S INTERNATIONAL INC 4115

WERELDHAVE NV 4116

WERNER ENTERPRISES INC

4117

WESCO INTERNATIONAL INC 4118

WESFARMERS LIMITED 4119

WEST AFRICAN PORTLAND CEMENT PLC

4120

WEST AUSTRALIAN NEWSPAPERS 4121

WEST FRASER TIMBER CO LTD 4122

WEST JAPAN RAILWAY CO

4123

WEST PHARMACEUTICAL SERVICES 4124

WESTAMERICA BANCORPORATION 4125

WESTAR ENERGY INC

56 116

4126

WESTERN DIGITAL CORP 4127

WESTERN REFINING INC 4128

WESTERN UNION CO

4129

WESTFIELD GROUP 4130

WESTJET AIRLINES LTD 4131

WESTLAKE CHEMICAL CORP

4132

WESTON (GEORGE) LTD 4133

WESTPAC BANKING CORP 4134

WESTPAC BANKING CORP-SP ADR

4135

WESTSHORE TERMINALS INC FD 4136

WEYERHAEUSER CO 4137

WGL HOLDINGS INC

4138

W-H ENERGY SERVICES INC 4139

WH SMITH PLC 4140

WHARF HOLDINGS LTD

4141

WHEELOCK & CO LTD 4142

WHEELOCK PROPERTIES S LTD 4143

WHIRLPOOL CORP

4144

WHIRLPOOL SA 4145

WHITBREAD PLC 4146

WHITE MOUNTAINS INSURANCE GP

4147

WHITING PETROLEUM CORP 4148

WHITNEY HOLDING CORP 4149

WHOLE FOODS MARKET INC

4150

WIENERBERGER AG 4151

WILEY (JOHN) & SONS -CL A 4152

WILH WILHELMSEN ASA

4153

WILLBROS GROUP INC 4154

WILLIAM DEMANT HOLDING 4155

WILLIAM HILL PLC

4156

WILLIAMS COS INC 4157

WILLIAMS-SONOMA INC 4158

WILLIS GROUP HOLDINGS LTD

4159

WILMAR INTERNATIONAL LTD 4160

WILMINGTON TRUST CORP 4161

WIMM-BILL-DANN FOODS-ADR

4162

WINCOR NIXDORF AG 4163

WINDSTREAM CORP 4164

WING TAI HOLDINGS LTD

4165

WIPRO LTD-ADR 4166

WIRECARD AG 4167

WISCONSIN ENERGY CORP

4168

WM MORRISON SUPERMARKETS 4169

WM WRIGLEY JR CO 4170

WMS INDUSTRIES INC

4171

WOLSELEY PLC 4172

WOLTERS KLUWER 4173

WOLVERINE WORLD WIDE INC

4174

WOOD GROUP (JOHN) PLC 4175

WOODSIDE PETROLEUM LTD 4176

WOODWARD GOVERNOR CO

4177

WOOLWORTHS HOLDINGS LTD 4178

WOOLWORTHS LIMITED 4179

WOONGJIN COWAY CO LTD

4180

WOORI FINANCE HOLDINGS CO 4181

WOORI INVESTMENT & SECURITIE 4182

WORLD WRESTLING ENTMNT INC-A

4183

WORLEYPARSONS LTD 4184

WORTHINGTON INDUSTRIES 4185

WPP GROUP PLC

4186

WR BERKLEY CORP 4187

WR GRACE & CO 4188

WRIGHT EXPRESS CORP

4189

WRIGLEY WM JR CO 4190

WW GRAINGER INC 4191

WYETH

4192

WYNDHAM WORLDWIDE CORP 4193

WYNN RESORTS LTD 4194

XCEL ENERGY INC

4195

XCHANGING PLC 4196

XEBIO CO LTD 4197

XENOPORT INC

4198

XEROX CORP 4199

XILINX INC 4200

XL CAPITAL LTD -CLASS A

4201

XM SATELLITE RADIO HOLD-CL A 4202

XSTRATA PLC 4203

XTO ENERGY INC

4204

YAHOO! INC 4205

YAHOO! JAPAN CORP 4206

YAKULT HONSHA CO LTD

4207

YAMADA DENKI CO LTD 4208

YAMAGUCHI FINANCIAL GROUP IN 4209

YAMAHA CORP

4210

YAMAHA MOTOR CO LTD 4211

YAMAMAH SAUDI CEMENT CO 4212

YAMANA GOLD INC

4213

YAMANASHI CHUO BANK LTD/THE 4214

YAMATAKE CORP 4215

YAMATO HOLDINGS CO LTD

4216

YAMATO KOGYO CO LTD 4217

YAMAZAKI BAKING CO LTD 4218

YANBU CEMENT

4219

YANBU NATIONAL PETROCHEMICALS CO 4220

YANGZIJIANG SHIPBUILDING 4221

YANLORD LAND GROUP LTD

4222

YAPI VE KREDI BANKASI AS 4223

YARA INTERNATIONAL ASA 4224

YASKAWA ELECTRIC CORP

4225

YELL GROUP PLC 4226

YELLOW PAGES INCOME FUND 4227

YIT OYJ

4228

YOKOGAWA ELECTRIC CORP 4229

YOKOHAMA RUBBER CO LTD 4230

YOSHINOYA HOLDINGS CO LTD

4231

YPF S.A.-SPONSORED ADR 4232

YTL CORPORATION BERHAD 4233

YUE YUEN INDUSTRIAL HOLDINGS

4234

YUHAN CORPORATION 4235

YUM! BRANDS INC 4236

ZAGREBACKA BANKA DD

4237

ZAKLAD PRZETWORSTWA HUTNICZEGO

STALPRODU

4238

ZARDOYA OTIS SA 4239

ZEBRA TECHNOLOGIES CORP-CL A

4240

ZELTIA SA 4241

ZENITH NATIONAL INSURANCE CP 4242

ZEON CORP

4243

ZIMMER HOLDINGS INC 4244

ZINIFEX LTD 4245

ZIONS BANCORPORATION

4246

ZODIAC SA 4247

ZOLTEK COMPANIES INC 4248

ZUMTOBEL AG

4249

ZURICH FINANCIAL SERVICE-REG

1.

(1)

a.

b.

c.

(2)

a. Affected Share

Affected Share

+

57 116

b.

Affected Share

2.

(1)

a.

b. Special Bonus

(2)

1 +

58 116

—

h × h

h R

h

1. h=1

( )

























××+=

11

1

1111

,, CapFloor

G

g

PortfolioPRAMaxMinR

2. h= 2,3,……,T 2

(1)

etargt

h

i

RR <

∑

−

=

1

R

target

( )

























××+=

∑

−

=

−

1

arg

,,,

h

i

ietthh

h

hhhh

RRCapFloor

G

g

PortfolioPRAMaxMinR

(2)

ett

h

i

RR

arg

1

≥

∑

−

=

R

target

R

h+i

= F i=0,1,2,…,T-h ( )

3. K R

target

R

K

AD

K

4.

R

T

ED

T

T =

∑

=

H

i

M

1

H

M

i

i M

i

= 12 / t

mi

t

mi

i 1

2 3 6 12

h

t

mi

6 t

mi

= 6 M

i

= 2 2003/7/3

2003/7/3 2004/1/3 2004/1/3 2004/7/3

2004/7/3 2005/1/3

A

h

,PR

h

,Floor

h

,Cap

h

g

h

h Barrier

h

LIBOR CMS

59 116

G

h

Barrier

h

R

target

AD

K

ED

T

F

h Portfolio

h

∑

=

























−

×=

N

n

hh

n

h

n

h

nh

UFUC

Underlying

UnderlyingUnderlying

MinMaxWPortfolio

1

0

,,

N

h

n

W

n h

1

=

∑

=

N

n

h

n

W

0

n

Underlying

n

h

n

Underlying

n h dh

UC

h

h dh

UF

h

h dh

dh

1.1997 8 8 6 H 6 10,000

2. 6 t

mi

= 6 M

i

= 12 / t

mi

= 12 / 6 = 2 T =

∑

=

H

i

M

1

=

∑

=

6

1

2

i

= 12

3. 5 N = 5 5

5/1...

521

====

hhh

WWW

4.A

h

=3% PR

h

=150% Floor

h

=0% Cap

h

=10% R

target

=30% dh=5 UC

h

=50% UF

h

= -20%

5.F 2 6 LIBOR

6.

60 116

30%

1~3

4~5

6 7 8 9 10

11

12

AD

k

0%

2%

3%

4%

5%

6%

7%

8%

9%

7. 8%

ED

T

=8%

8. Barrier

h

h Barrier

h

1 0%~5.75%

2 0%~5.75%

3 0%~5.75%

4 0%~5.75%

5 0%~6.25%

6 0%~6.25%

7 0%~6.25%

8 0%~6.25%

9 0%~6.5%

10 0%~6.5%

11 0%~6.5%

12 0%~6.5%

 1 1997/8/8~1998/2/9 h = 1

(1). 5

T US DOW US

MRK US

VZ US

BLS US

1997/8/8

42.93 31.04 46.76 36.59 23.00

1 1998/2/9 5 1998/2/2

66.68 31.50 55.72 46.44 31.13

1 Portfolio

1

=

























+







−

























−+

























−× -20%50%1,

46.76

55.72

-20%50%1,

31.04

31.50

-20%50%1,

42.93

66.68

5

1

, , , MinMaxMinMaxMinMax























































−+−+ -20%50%1,

23.00

31.13

-20%50%1,

36.59

46.44

, , MinMaxMinMax

=

[ ]

35.35%26.92%19.16%1.48%50.00%

5

1

++++×

= 26.58%

(2). 1 1997/8/8~1998/2/2 6 LIBOR

61 116

1 2 3 4 5

LIBOR

1

1997/8/8 5.84%

1997/9/16 5.84%

1997/10/22

5.91%

1997/11/27

5.91%

1998/1/7 5.72%

2

1997/8/11 5.88%

1997/9/17 5.81%

1997/10/23

5.88%

1997/11/28

5.91%

1998/1/8 5.72%

3

1997/8/12 5.88%

1997/9/18 5.81%

1997/10/24

5.88%

1997/12/1 5.94%

1998/1/9 5.66%

4

1997/8/13 5.88%

1997/9/19 5.81%

1997/10/27

5.84%

1997/12/2 5.94%

1998/1/12 5.56%

5

1997/8/14 5.85%

1997/9/22 5.81%

1997/10/28

5.78%

1997/12/3 5.94%

1998/1/13 5.59%

6

1997/8/15 5.84%

1997/9/23 5.81%

1997/10/29

5.84%

1997/12/4 5.94%

1998/1/14 5.63%

7

1997/8/18 5.81%

1997/9/24 5.81%

1997/10/30

5.78%

1997/12/5 5.91%

1998/1/15 5.60%

8

1997/8/19 5.81%

1997/9/25 5.81%

1997/10/31

5.79%

1997/12/8 5.97%

1998/1/16 5.63%

9

1997/8/20 5.81%

1997/9/26 5.84%

1997/11/3 5.81%

1997/12/9 6.00%

1998/1/19 5.66%

10

1997/8/21 5.83%

1997/9/29 5.84%

1997/11/4 5.81%

1997/12/10

5.97%

1998/1/20 5.63%

11

1997/8/22 5.84%

1997/9/30 5.84%

1997/11/5 5.84%

1997/12/11

5.94%

1998/1/21 5.63%

12

1997/8/26 5.84%

1997/10/1 5.84%

1997/11/6 5.83%

1997/12/12

5.91%

1998/1/22 5.63%

13

1997/8/27 5.84%

1997/10/2 5.82%

1997/11/7 5.81%

1997/12/15

5.91%

1998/1/23 5.63%

14

1997/8/28 5.84%

1997/10/3 5.81%

1997/11/10

5.84%

1997/12/16

5.91%

1998/1/26 5.63%

15

1997/8/29 5.84%

1997/10/6 5.78%

1997/11/11

5.88%

1997/12/17

5.91%

1998/1/27 5.63%

16

1997/9/1 5.84%

1997/10/7 5.78%

1997/11/12

5.94%

1997/12/18

5.91%

1998/1/28 5.66%

17

1997/9/2 5.84%

1997/10/8 5.78%

1997/11/13

5.91%

1997/12/19

5.91%

1998/1/29 5.66%

18

1997/9/3 5.84%

1997/10/9 5.81%

1997/11/14

5.91%

1997/12/22

5.91%

1998/1/30 5.63%

19

1997/9/4 5.84%

1997/10/10

5.82%

1997/11/17

5.91%

1997/12/23

5.91%

1998/2/2 5.63%

20

1997/9/5 5.84%

1997/10/13

5.85%

1997/11/18

5.91%

1997/12/24

5.91%

21

1997/9/8 5.84%

1997/10/14

5.85%

1997/11/19

5.91%

1997/12/29

5.91%

22

1997/9/9 5.84%

1997/10/15

5.84%

1997/11/20

5.91%

1997/12/30

5.84%

23

1997/9/10 5.84%

1997/10/16

5.88%

1997/11/21

5.91%

1997/12/31

5.84%

24

1997/9/11 5.86%

1997/10/17

5.88%

1997/11/24

5.89%

1998/1/2 5.84%

25

1997/9/12 5.87%

1997/10/20

5.91%

1997/11/25

5.91%

1998/1/5 5.81%

26

1997/9/15 5.84%

1997/10/21

5.91%

1997/11/26

5.91%

1998/1/6 5.75%

G

1

= 1 6 LIBOR =123( )

g

1

= 1 6 LIBOR 0%~5.75%

= 20( )

(3). (1) (2) 1

( ) ( )

















































××+=××+= ,10%,0%

123

26.58%150%3%,10%,0%150%3%

20

MaxMin

G

g

PortfolioMaxMinR

1

=

[

]

{

}

,10%6.97%,0%MaxMin

=6.97%

=10000 × 6.97% = 697

 2 1998/2/9~1998/8/10 h = 2

(1). 5

T US

DOW

US

MRK

US

VZ US

BLS US

1997/8/8

42.93

31.04

46.76

36.59

23.00

2 1998/8/10 5 1998/8/3

63.16

30.23

57.50

46.63

34.72

62 116

2 Portfolio

2

=

























+







−

























−+

























−× -20%,50% 1,

46.76

57.50

-20%,50% 1,

31.04

30.23

-20%,50% 1,

42.93

63.16

5

1

MinMaxMinMaxMinMax























































−+−+ -20%,50% 1,

23.00

34.72

-20%,50% 1,

36.59

46.63

MinMaxMinMax

=

( )

[ ]

50.00%27.44%22.97%2.61%47.12%

5

1

+++−+×

=28.98%

(2). 2 1998/2/3~1998/8/3 6 LIBOR

1 2 3 4 5

LIBOR

1

1998/2/3 5.63%

1998/3/11 5.72%

1998/4/20 5.72%

1998/5/28 5.75%

1998/7/3 5.75%

2

1998/2/4 5.63%

1998/3/12 5.71%

1998/4/21 5.75%

1998/5/29 5.75%

1998/7/6 5.75%

3

1998/2/5 5.63%

1998/3/13 5.69%

1998/4/22 5.75%

1998/6/1 5.74%

1998/7/7 5.75%

4

1998/2/6 5.63%

1998/3/16 5.69%

1998/4/23 5.75%

1998/6/2 5.74%

1998/7/8 5.75%

5

1998/2/9 5.63%

1998/3/17 5.69%

1998/4/24 5.78%

1998/6/3 5.75%

1998/7/9 5.75%

6

1998/2/10 5.65%

1998/3/18 5.69%

1998/4/27 5.78%

1998/6/4 5.75%

1998/7/10 5.75%

7

1998/2/11 5.66%

1998/3/19 5.69%

1998/4/28 5.81%

1998/6/5 5.75%

1998/7/13 5.75%

8

1998/2/12 5.66%

1998/3/20 5.71%

1998/4/29 5.81%

1998/6/8 5.75%

1998/7/14 5.75%

9

1998/2/13 5.63%

1998/3/23 5.71%

1998/4/30 5.81%

1998/6/9 5.75%

1998/7/15 5.75%

10

1998/2/16 5.63%

1998/3/24 5.71%

1998/5/1 5.78%

1998/6/10 5.75%

1998/7/16 5.75%

11

1998/2/17 5.63%

1998/3/25 5.72%

1998/5/5 5.78%

1998/6/11 5.75%

1998/7/17 5.75%

12

1998/2/18 5.63%

1998/3/26 5.74%

1998/5/6 5.78%

1998/6/12 5.72%

1998/7/20 5.75%

13

1998/2/19 5.63%

1998/3/27 5.75%

1998/5/7 5.75%

1998/6/15 5.72%

1998/7/21 5.75%

14

1998/2/20 5.63%

1998/3/30 5.75%

1998/5/8 5.75%

1998/6/16 5.72%

1998/7/22 5.75%

15

1998/2/23 5.63%

1998/3/31 5.75%

1998/5/11 5.75%

1998/6/17 5.72%

1998/7/23 5.75%

16

1998/2/24 5.66%

1998/4/1 5.75%

1998/5/12 5.78%

1998/6/18 5.75%

1998/7/24 5.75%

17

1998/2/25 5.69%

1998/4/2 5.75%

1998/5/13 5.76%

1998/6/19 5.75%

1998/7/27 5.75%

18

1998/2/26 5.70%

1998/4/3 5.72%

1998/5/14 5.75%

1998/6/22 5.74%

1998/7/28 5.75%

19

1998/2/27 5.70%

1998/4/6 5.69%

1998/5/15 5.77%

1998/6/23 5.75%

1998/7/29 5.75%

20

1998/3/2 5.69%

1998/4/7 5.69%

1998/5/18 5.78%

1998/6/24 5.75%

1998/7/30 5.75%

21

1998/3/3 5.72%

1998/4/8 5.69%

1998/5/19 5.78%

1998/6/25 5.75%

1998/7/31 5.75%

22

1998/3/4 5.72%

1998/4/9 5.69%

1998/5/20 5.77%

1998/6/26 5.75%

1998/8/3 5.75%

23

1998/3/5 5.71%

1998/4/14 5.72%

1998/5/21 5.75%

1998/6/29 5.78%

24

1998/3/6 5.72%

1998/4/15 5.72%

1998/5/22 5.78%

1998/6/30 5.78%

25

1998/3/9 5.72%

1998/4/16 5.72%

1998/5/26 5.78%

1998/7/1 5.78%

26

1998/3/10 5.72%

1998/4/17 5.72%

1998/5/27 5.75%

1998/7/2 5.75%

G

2

= 2 6 LIBOR =126( )

g

2

= 2 6 LIBOR 0%~5.75%

= 107( )

(3). (1) (2) 2

R

1

6.97% 30%

( )

























××+= 6.97%,10%,30%-,0%150%3%

2

22

G

g

PortfolioMaxMinR

( )

























××+= %,10%,23.03,0%

126

107

28.98%150%3%

MaxMin

=

[

]

{

}

10%,23.03%39.46%,0% ,MaxMin

=10%

63 116

=10000 × 10% = 1000

 3 1998/8/10~1999/2/8 h = 3

(1). 5

T US

DOW US

MRK US

VZ US

BLS US

1997/8/8

42.93

31.04 46.76 36.59 23.00

3 1999/2/8 5 1999/2/1

99.32

30.27 69.54 59.50 45.13

3 Portfolio

3

=

























+







−

























−+

























−× -20%,50% 1,

46.76

69.54

-20%,50% 1,

31.04

30.27

-20%,50% 1,

42.93

99.32

5

1

MinMaxMinMaxMinMax























































−+−−+ -20%,50% 1,

23.00

45.13

20%,50% 1,

36.59

59.50

MinMaxMinMax

=

( )

[ ]

50.00%50.00%48.72%2.48%50.00%

5

1

+++−+×

=39.25%

(2). 3 1998/8/4~1999/2/1 6 LIBOR

1 2 3 4 5

LIBOR

1

1998/8/4 5.75%

1998/9/10 5.50%

1998/10/16

4.94%

1998/11/23

5.12%

1998/12/31

5.07%

2

1998/8/5 5.75%

1998/9/11 5.41%

1998/10/19

4.94%

1998/11/24

5.13%

1999/1/4 5.06%

3

1998/8/6 5.75%

1998/9/14 5.41%

1998/10/20

4.94%

1998/11/25

5.13%

1999/1/5 5.06%

4

1998/8/7 5.75%

1998/9/15 5.41%

1998/10/21

4.95%

1998/11/26

5.13%

1999/1/6 5.06%

5

1998/8/10 5.72%

1998/9/16 5.41%

1998/10/22

4.96%

1998/11/27

5.15%

1999/1/7 5.06%

6

1998/8/11 5.72%

1998/9/17 5.41%

1998/10/23

4.97%

1998/11/30

5.15%

1999/1/8 5.06%

7

1998/8/12 5.72%

1998/9/18 5.41%

1998/10/26

4.97%

1998/12/1 5.15%

1999/1/11 5.08%

8

1998/8/13 5.72%

1998/9/21 5.41%

1998/10/27

4.99%

1998/12/2 5.13%

1999/1/12 5.09%

9

1998/8/14 5.72%

1998/9/22 5.41%

1998/10/28

4.97%

1998/12/3 5.10%

1999/1/13 5.03%

10

1998/8/17 5.72%

1998/9/23 5.41%

1998/10/29

4.97%

1998/12/4 5.08%

1999/1/14 5.01%

11

1998/8/18 5.72%

1998/9/24 5.34%

1998/10/30

4.98%

1998/12/7 5.10%

1999/1/15 4.97%

12

1998/8/19 5.72%

1998/9/25 5.25%

1998/11/2 5.06%

1998/12/8 5.12%

1999/1/18 4.99%

13

1998/8/20 5.72%

1998/9/28 5.25%

1998/11/3 5.11%

1998/12/9 5.09%

1999/1/19 4.97%

14

1998/8/21 5.72%

1998/9/29 5.25%

1998/11/4 5.13%

1998/12/10

5.07%

1999/1/20 5.00%

15

1998/8/24 5.69%

1998/9/30 5.25%

1998/11/5 5.19%

1998/12/11

5.04%

1999/1/21 5.00%

16

1998/8/25 5.69%

1998/10/1 5.21%

1998/11/6 5.19%

1998/12/14

5.06%

1999/1/22 4.97%

17

1998/8/26 5.69%

1998/10/2 5.13%

1998/11/9 5.23%

1998/12/15

5.06%

1999/1/25 4.97%

18

1998/8/27 5.69%

1998/10/5 5.13%

1998/11/10

5.19%

1998/12/16

5.06%

1999/1/26 4.97%

19

1998/8/28 5.59%

1998/10/6 5.14%

1998/11/11

5.19%

1998/12/17

5.06%

1999/1/27 4.97%

20

1998/9/1 5.56%

1998/10/7 5.19%

1998/11/12

5.20%

1998/12/18

5.06%

1999/1/28 4.97%

21

1998/9/2 5.56%

1998/10/8 5.16%

1998/11/13

5.19%

1998/12/21

5.06%

1999/1/29 4.97%

22

1998/9/3 5.56%

1998/10/9 5.15%

1998/11/16

5.21%

1998/12/22

5.11%

1999/2/1 4.98%

23

1998/9/4 5.56%

1998/10/12 5.16%

1998/11/17

5.19%

1998/12/23

5.12%

24

1998/9/7 5.54%

1998/10/13 5.16%

1998/11/18

5.06%

1998/12/24

5.16%

25

1998/9/8 5.53%

1998/10/14 5.16%

1998/11/19

5.09%

1998/12/29

5.16%

26

1998/9/9 5.50%

1998/10/15 5.16%

1998/11/20

5.12%

1998/12/30

5.08%

G

3

= 3 6 LIBOR =126( )

g

3

= 3 6 LIBOR 0%~5.75%

= 126( )

64 116

(3).

(1) (2) 3

R

1

+ R

2

16.97% 30%

( )

























××+= 16.97%-10%,30%0%150%3%

3

,,

G

g

PortfolioMaxMinR

3

( )

























××+= %,10%,13.03,0%

126

39.25%150%3%

MaxMin

=

[

]

{

}

10%,13.03%61.88%,0% ,MaxMin

=10%

=10000 × 10% = 1000

 4 1999/2/8~1999/8/9 h = 4

(1). 5

T US DOW US

MRK US

VZ US

BLS US

1997/8/8

42.93 31.04 46.76 36.59 23.00

4 1999/8/9 5 1999/8/2

82.00 42.10 63.77 65.00 49.63

4 Portfolio

4

=

























+







−

























−+

























−× -20%,50% 1,

46.76

63.77

-20%,50% 1,

31.04

42.10

-20%,50% 1,

42.93

82.00

5

1

MinMaxMinMaxMinMax























































−+−+ -20%,50% 1,

23.00

49.63

-20%,50% 1,

36.59

65.00

MinMaxMinMax

=

[ ]

50.00%50.00%36.38%35.63%50.00%

5

1

++++×

=44.40%

(2). 4 1999/2/2~1999/8/2 6 LIBOR

1 2 3 4 5

LIBOR

1

1999/2/2 5.00%

1999/3/10 5.06%

1999/4/19 5.06%

1999/5/26 5.18%

1999/7/2 5.59%

2

1999/2/3 5.00%

1999/3/11 5.06%

1999/4/20 5.05%

1999/5/27 5.19%

1999/7/5 5.59%

3

1999/2/4 5.00%

1999/3/12 5.06%

1999/4/21 5.05%

1999/5/28 5.25%

1999/7/6 5.59%

4

1999/2/5 5.03%

1999/3/15 5.06%

1999/4/22 5.05%

1999/6/1 5.25%

1999/7/7 5.60%

5

1999/2/8 5.04%

1999/3/16 5.06%

1999/4/23 5.06%

1999/6/2 5.29%

1999/7/8 5.60%

6

1999/2/9 5.04%

1999/3/17 5.06%

1999/4/26 5.06%

1999/6/3 5.28%

1999/7/9 5.60%

7

1999/2/10 5.03%

1999/3/18 5.06%

1999/4/27 5.06%

1999/6/4 5.29%

1999/7/12 5.60%

8

1999/2/11 5.03%

1999/3/19 5.06%

1999/4/28 5.06%

1999/6/7 5.29%

1999/7/13 5.60%

9

1999/2/12 5.04%

1999/3/22 5.06%

1999/4/29 5.06%

1999/6/8 5.29%

1999/7/14 5.60%

10

1999/2/15 5.08%

1999/3/23 5.06%

1999/4/30 5.04%

1999/6/9 5.30%

1999/7/15 5.60%

11

1999/2/16 5.06%

1999/3/24 5.06%

1999/5/4 5.07%

1999/6/10 5.33%

1999/7/16 5.60%

65 116

1 2 3 4 5

LIBOR

12

1999/2/17 5.06%

1999/3/25 5.06%

1999/5/5 5.07%

1999/6/11 5.35%

1999/7/19 5.60%

13

1999/2/18 5.06%

1999/3/26 5.06%

1999/5/6 5.07%

1999/6/14 5.37%

1999/7/20 5.60%

14

1999/2/19 5.06%

1999/3/29 5.05%

1999/5/7 5.09%

1999/6/15 5.37%

1999/7/21 5.58%

15

1999/2/22 5.06%

1999/3/30 5.06%

1999/5/10 5.08%

1999/6/16 5.38%

1999/7/22 5.58%

16

1999/2/23 5.06%

1999/3/31 5.06%

1999/5/11 5.08%

1999/6/17 5.36%

1999/7/23 5.63%

17

1999/2/24 5.09%

1999/4/1 5.06%

1999/5/12 5.08%

1999/6/18 5.34%

1999/7/26 5.64%

18

1999/2/25 5.12%

1999/4/6 5.06%

1999/5/13 5.08%

1999/6/21 5.35%

1999/7/27 5.64%

19

1999/2/26 5.13%

1999/4/7 5.06%

1999/5/14 5.07%

1999/6/22 5.37%

1999/7/28 5.64%

20

1999/3/1 5.12%

1999/4/8 5.06%

1999/5/17 5.13%

1999/6/23 5.40%

1999/7/29 5.65%

21

1999/3/2 5.15%

1999/4/9 5.04%

1999/5/18 5.14%

1999/6/24 5.43%

1999/7/30 5.71%

22

1999/3/3 5.13%

1999/4/12 5.03%

1999/5/19 5.18%

1999/6/25 5.45%

1999/8/2 5.74%

23

1999/3/4 5.13%

1999/4/13 5.04%

1999/5/20 5.18%

1999/6/28 5.46%

24

1999/3/5 5.13%

1999/4/14 5.04%

1999/5/21 5.18%

1999/6/29 5.62%

25

1999/3/8 5.09%

1999/4/15 5.04%

1999/5/24 5.18%

1999/6/30 5.65%

26

1999/3/9 5.09%

1999/4/16 5.04%

1999/5/25 5.18%

1999/7/1 5.58%

G

4

= 4 6 LIBOR = 126( )

g

4

= 4 6 LIBOR 0%~5.75%

= 126( )

(3). (1) (2) 4

R

1

+ R

2

+ R

3

26.97% 30%

( )

























××+= 26.97%-10%,30%0%150%3%

4

,,

G

g

PortfolioMaxMinR

4

























××+= ,10%,3.03%,0%

126

44.40%)150%(3%

MaxMin

=

[

]

{

}

10%,3.03%69.6%,0%

,MaxMin

=3.03%

=10000 × 3.03% =303

(4). 4 =

%

i

R

30

4

1

=

∑

=

30% 4 303

2% =10,000 ×2% 200

 5 h = 5,6,…,12

4 =

%

i

R

30

4

1

=

∑

=

30%

66 116

5 6 LIBOR R

5+i

= F = 2 6

LIBOR i = 0,1,…,7

5 12 2 6 LIBOR

h 2

2 6

LIBOR

5 1999/8/5 5.77%

6 2000/2/4 6.31%

7 2000/8/4 6.87%

8 2001/2/6 5.27%

9 2001/8/6 3.66%

10 2002/2/6 2.02%

11 2002/8/6 1.73%

12 2003/2/6 1.35%

R

5

= 5 2 6 LIBOR = 5.77% 5

= 10,000 × 5.77%÷2 = 289

R

6

= 6 2 6 LIBOR = 6.31% 6

= 10,000 × 6.31%÷2 = 316

R

7

= 7 2 6 LIBOR = 6.87% 7

= 10,000 × 6.87%÷2 = 344

R

8

= 8 2 6 LIBOR = 5.27% 8

= 10,000 × 5.27%÷2 = 264

R

9

= 9 2 6 LIBOR = 3.66% 9

= 10,000 × 3.66%÷2 = 183

R

10

= 10 2 6 LIBOR = 2.02% 10

= 10,000 × 2.02%÷2 = 101

R

11

= 11 2 6 LIBOR = 1.73% 11

= 10,000 × 1.73%÷2 = 87

R

12

= 12 2 6 LIBOR = 1.35% 12

= 10,000 × 1.35%÷2 = 68

= = 10,000

4

67 116

h × h

h R

h

1.h=1,…,K K R

h

=C

h

2.h= K+1,K+2,……,T K+1

(1)

etargt

h

i

RR <

∑

−

=

1

R

target

( )













×+=

∑

−

=

−

1

arg

,,

h

i

ietthhhhh

RRPortfolioFEDMaxMinR

(2)

etargt

h

i

RR ≥

∑

−

=

1

R

target

R

h+i

= F i=0,1,2,…,T-h ( )

T

T =

∑

=

H

i

M

1

H

M

i

i M

i

= 12 / t

mi

t

mi

i 1 2

3 6 12

h

t

mi

6

t

mi

= 6 M

i

= 2 2003/7/3

2003/7/3 2004/1/3 2004/1/3 2004/7/3

2004/7/3 2005/1/3

C

h

,D

h

,E

h

,F

h

R

target

K

F

h Portfolio

h

∑

=

×=

N

n

h

n

h

nh

AdjUnderlyingWPortfolio

1











−

>

=

−

0

1

0

n

h

n

h

n

h

n

h

n

Underlying

UnderlyingUnderlying

AdjUnderlying

UnderlyingUnderlyingXX

AdjUnderlying

68 116

N

h

n

W

n h

1

=

∑

=

N

n

h

n

W

0

n

Underlying

n

h

n

Underlying

n h dh

XX

0

dh

1.1997 7 31 6 H = 6 10,000

2. 6 t

mi

= 6 M

i

= 12 / t

mi

= 12 / 6 = 2 T =

∑

=

H

i

M

1

=

∑

=

6

1

2

i

= 12 ;

3. 10 N = 10 10

10/1...

1021

====

hhh

WWW

4.C

h

=5% D

h

=0% E

h

=4% F

h

=2% K=2 R

target

=21% XX 12% dh=5

5.F 2 6 LIBOR

6. 10 2 6 LIBOR

h

5

AIG

US

AXP

US

BAC

US

DOW

US

GE

US

GM

US

JNJ

US

JPM

US

KO

US

PG

US

0 1997/7/31

37.87

27.92

71.19

31.67

23.38

48.88

31.06

37.85

69.13

37.74

5

2

6

LIBOR

1 1998/2/2

1998/1/26

38.40

26.46

59.63

30.25

24.90

47.65

33.59

34.04

63.06

38.95

1998/1/29

5.66%

2 1998/7/31

1998/7/24

51.87

35.69

82.25

31.06

30.56

59.28

38.28

49.08

83.44

43.54

1998/7/29

5.75%

3 1999/2/1

1999/1/25

52.60

33.83

64.69

29.50

33.50

74.87

39.38

49.63

62.94

41.49

1999/1/28

4.97%

4 1999/8/2

1999/7/26

63.83

45.50

69.81

40.33

38.00

65.94

48.63

55.25

63.06

43.32

1999/7/29

5.64%

5 2000/1/31

2000/1/24

67.71

50.67

44.56

42.10

46.04

79.81

41.84

48.67

64.88

51.04

2000/1/27

6.22%

6 2000/7/31

2000/7/24

79.50

57.06

47.44

29.53

54.00

59.31

47.23

51.56

59.25

30.76

2000/7/27

6.89%

7 2001/1/31

2001/1/24

87.88

46.25

51.06

32.00

46.31

53.44

45.28

53.25

58.06

34.70

2001/1/29

5.45%

8 2001/7/31

2001/7/24

82.89

37.80

62.01

33.88

44.00

62.08

52.71

42.68

44.20

33.78

2001/7/27

3.72%

9 2002/1/31

2002/1/24

77.38

36.75

64.00

28.00

37.55

48.13

58.04

35.90

44.22

38.59

2002/1/29

1.88%

10

2002/7/31

2002/7/24

53.38

30.43

59.00

27.45

26.53

44.75

47.70

23.30

46.85

41.13

2002/7/29

1.91%

69 116

h

5

AIG

US

AXP

US

BAC

US

DOW

US

GE

US

GM

US

JNJ

US

JPM

US

KO

US

PG

US

2

6

LIBOR

11

2003/1/31

2003/1/24

56.04

33.70

69.62

29.50

23.06

37.55

53.61

23.81

42.83

42.11

2003/1/29

1.37%

12

2003/7/31

2003/7/24

62.20

44.40

81.96

33.75

27.44

36.27

51.70

34.58

44.52

44.12

2003/7/29

1.12%

7.

h

AIG US

AXP US

BAC US

DOW US

GE US

GM US

JNJ US

JPM US

KO US

PG US

Portfolio

h

1 1998/1/26 12.00%

-5.22%

-16.24%

-4.47%

12.00%

-2.52%

12.00%

-10.07%

-8.77%

12.00%

0.07%

2 1998/7/24 12.00%

12.00%

-1.91%

12.00%

10.61%

3 1999/1/25 12.00%

12.00%

-6.84%

12.00%

10.12%

4 1999/7/26 12.00%

12.00%

5 2000/1/24 12.00%

12.00%

6 2000/7/24 12.00%

12.00%

7 2001/1/24 12.00%

12.00%

8 2001/7/24 12.00%

12.00%

9 2002/1/24 12.00%

12.00%

10

2002/7/24 12.00%

12.00%

11

2003/1/24 12.00%

12.00%

12

2003/7/24 12.00%

12.00%

1 h = 1

AIG US 38.40 37.87 =12%

12%

AXP US 26.46 27.92 = (26.46/27.92)-1 -5.22%

…

PS US 38.95 37.74 =12%

12%

Portfolio

1

=

( )

0.07%12%(-8.77%)(-16.24%)(-5.22%)12%

10

1

=++…+++×

2 h = 2

AXP US 35.69 27.92 =12%

12%

BAC US 82.25 71.19 =12%

12%

…

KO US

83.44 69.13 =12%

12%

70 116

Portfolio

2

=

( )

10.61%12%12%(-1.91%)12%12%12%

10

1

=++…++++×

3 h = 3

DOW US 29.50 31.67 = (29.50/31.67)-1 -6.84%

Portfolio

3

=

( )

10.12%12%12%(-6.84%)12%12%12%

10

1

=++…++++×

4 h = 4, 5, …, 12

DOW US 40.33 31.67 =12%

12%

Portfolio

4

=

( )

12%12%12%12%12%12%12%

10

1

=++…++++×



1 2 h 1, 2

R

1

R

2

5%

10000 ×5% 500



3 h 3

R

1

R

2

5% 5% 10% 21% 3

R

3

Min [Max 0% 4% 2%×Portfolio

3

, 21% 10% ] Min [Max 0 4.20% , 11%]

Min [4.20% , 11%] 4.20%

10000 ×4.20% 420



4 h 4

R

1

R

2

R

3

14.20% 21% 4

R

4

Min [Max 0% 4% 2%×Portfolio

4

, 21% 14.20% ] Min [Max 0 4.24% , 6.80%]

Min [4.24% , 6.80%] 4.24%

10000 ×4.24% 424



5 h 5

R

1

R

2

R

3

R

4

18.44% 21% 5

R

5

Min [Max 0% 4% 2%×Portfolio

5

, 21% 18.44% ] Min [Max 0 4.24% , 2.56%]

Min [4.24% ,2.56%] 2.56%

10000 ×2.56% 256



6 h 6,7,…,12

5 =

%

i

R

21

5

1

=

∑

=

21% 6

6 LIBOR R

6+i

= F = 2 6 LIBOR i =

0,1,…,6

R

6

= 6 2 6 LIBOR = 6.89% 6

= 10,000 × 6.89%÷2 = 345

R

7

= 7 2 6 LIBOR = 5.45% 7

= 10,000 × 5.45%÷2 = 273

R

8

= 8 2 6 LIBOR = 3.72% 8

71 116

= 10,000

× 3.72%÷2 = 186

R

9

= 9 2 6 LIBOR = 1.88% 9

= 10,000 × 1.88%÷2 = 94

R

10

= 10 2 6 LIBOR = 1.91% 10

= 10,000 × 1.91%÷2 = 96

R

11

= 11 2 6 LIBOR = 1.37% 11

= 10,000 × 1.37%÷2 = 69

R

12

= 12 2 6 LIBOR = 1.12% 12

= 10,000 × 1.12%÷2 = 56

= = 10,000

72 116

h × h

h R

h

1. h=1 1

( )

























××+=

11

1

1111

,, CapFloor

G

g

PortfolioPRAMaxMinR

2. h= 2,3,……,T 2

(1)

(

)

0121

,..., BPBPBPBPMax

h

<

−

( 1 h-1

)

( )

























××+=

hh

h

hhhh

CapFloor

G

g

PortfolioPRAMaxMinR ,,

(2)

(

)

0121

,..., BPBPBPBPMax

h

≥

−

( 1 h-1

)

R

h+i

= F i=0,1,2,…,T-h ( )

3. K

R

K

AD

K

T

T =

∑

=

H

i

M

1

H

M

i

i M

i

= 12 / t

mi

t

mi

i 1 2

3 6 12

h

t

mi

6

t

mi

=6,M

i

=2 2003/7/3 2003/7/3

2004/1/3 2004/1/3 2004/7/3 2004/7/3

2005/1/3

h

h=1 dh

h=2 dh

dh h=3

dh dh

dh

BP

h

h BP

0

A

h

,PR

h

,Floor

h

,Cap

h

73 116

g

h

h Barrier

h

LIBOR CMS

G

h

Barrier

h

AD

K

F

h Portfolio

h

∑

=

























−

×=

N

n

hh

n

h

n

h

nh

UFUC

Underlying

UnderlyingUnderlying

MinMaxWPortfolio

1

0

,,

N

h

n

W

n h

1

=

∑

=

N

n

h

n

W

0

n

Underlying

n

h

n

Underlying

n h dh

h

UC

h dh

h

UF

h dh

1.1997 8 8 6 H 6 10,000

2. 6 t

mi

= 6 M

i

= 12 / t

mi

= 12 / 6 = 2 T =

∑

=

H

i

M

1

=

∑

=

6

1

2

i

= 12

3. 5 N = 5 5

5/1...

521

====

hhh

WWW

4.BP

0

=1.00 A

h

=3% PR

h

=150% Floor

h

=0% Cap

h

=10% dh=5 UC

h

=50% UF

h

= -20%

5.F 2 6 LIBOR

6.

1~3

4~5

6 7 8 9 10 11 12

AD

k

0%

2%

3%

4%

5%

6%

7%

8%

9%

7. Barrier

h

BP

h

74 116

h

Barrier

h

BP

h

1 0%~5.75% 0.93

2 0%~5.75% 0.95

3 0%~5.75% 0.98

4 0%~5.75% 1.01

5 0%~6.25% 0.99

6 0%~6.25% 1.01

7 0%~6.25% 1.00

8 0%~6.25% 0.99

9 0%~6.5% 1.00

10 0%~6.5% 1.01

11 0%~6.5% 1.00

12 0%~6.5% 1.00



1 1997/8/8~1998/2/9 h = 1

(1). 5

T US DOW US

MRK US

VZ US

BLS US

1997/8/8

42.93 31.04 46.76 36.59 23.00

1 1998/2/9 5 1998/2/2

66.68 31.50 55.72 46.44 31.13

1 Portfolio

1

=

























+







−

























−+

























−×

-20%50%1,

46.76

55.72

-20%50%1,

31.04

31.50

-20%50%1,

42.93

66.68

5

1

, , , MinMaxMinMaxMinMax























































−+−+

-20%50%1,

23.00

31.13

-20%50%1,

36.59

46.44

, , MinMaxMinMax

=

[ ]

35.35%26.92%19.16%1.48%50.00%

5

1

++++×

= 26.58%

(2). 1 1997/8/8~1998/2/2 6 LIBOR

1 2 3 4 5

LIBOR

1

1997/8/8 5.84%

1997/9/16 5.84%

1997/10/22 5.91%

1997/11/27

5.91%

1998/1/7 5.72%

2

1997/8/11 5.88%

1997/9/17 5.81%

1997/10/23 5.88%

1997/11/28

5.91%

1998/1/8 5.72%

3

1997/8/12 5.88%

1997/9/18 5.81%

1997/10/24 5.88%

1997/12/1 5.94%

1998/1/9 5.66%

4

1997/8/13 5.88%

1997/9/19 5.81%

1997/10/27 5.84%

1997/12/2 5.94%

1998/1/12 5.56%

5

1997/8/14 5.85%

1997/9/22 5.81%

1997/10/28 5.78%

1997/12/3 5.94%

1998/1/13 5.59%

6

1997/8/15 5.84%

1997/9/23 5.81%

1997/10/29 5.84%

1997/12/4 5.94%

1998/1/14 5.63%

7

1997/8/18 5.81%

1997/9/24 5.81%

1997/10/30 5.78%

1997/12/5 5.91%

1998/1/15 5.60%

8

1997/8/19 5.81%

1997/9/25 5.81%

1997/10/31 5.79%

1997/12/8 5.97%

1998/1/16 5.63%

9

1997/8/20 5.81%

1997/9/26 5.84%

1997/11/3 5.81%

1997/12/9 6.00%

1998/1/19 5.66%

10

1997/8/21 5.83%

1997/9/29 5.84%

1997/11/4 5.81%

1997/12/10

5.97%

1998/1/20 5.63%

11

1997/8/22 5.84%

1997/9/30 5.84%

1997/11/5 5.84%

1997/12/11

5.94%

1998/1/21 5.63%

12

1997/8/26 5.84%

1997/10/1 5.84%

1997/11/6 5.83%

1997/12/12

5.91%

1998/1/22 5.63%

75 116

1 2 3 4 5

LIBOR

13

1997/8/27 5.84%

1997/10/2 5.82%

1997/11/7 5.81%

1997/12/15

5.91%

1998/1/23 5.63%

14

1997/8/28 5.84%

1997/10/3 5.81%

1997/11/10 5.84%

1997/12/16

5.91%

1998/1/26 5.63%

15

1997/8/29 5.84%

1997/10/6 5.78%

1997/11/11 5.88%

1997/12/17

5.91%

1998/1/27 5.63%

16

1997/9/1 5.84%

1997/10/7 5.78%

1997/11/12 5.94%

1997/12/18

5.91%

1998/1/28 5.66%

17

1997/9/2 5.84%

1997/10/8 5.78%

1997/11/13 5.91%

1997/12/19

5.91%

1998/1/29 5.66%

18

1997/9/3 5.84%

1997/10/9 5.81%

1997/11/14 5.91%

1997/12/22

5.91%

1998/1/30 5.63%

19

1997/9/4 5.84%

1997/10/10 5.82%

1997/11/17 5.91%

1997/12/23

5.91%

1998/2/2 5.63%

20

1997/9/5 5.84%

1997/10/13 5.85%

1997/11/18 5.91%

1997/12/24

5.91%

21

1997/9/8 5.84%

1997/10/14 5.85%

1997/11/19 5.91%

1997/12/29

5.91%

22

1997/9/9 5.84%

1997/10/15 5.84%

1997/11/20 5.91%

1997/12/30

5.84%

23

1997/9/10 5.84%

1997/10/16 5.88%

1997/11/21 5.91%

1997/12/31

5.84%

24

1997/9/11 5.86%

1997/10/17 5.88%

1997/11/24 5.89%

1998/1/2 5.84%

25

1997/9/12 5.87%

1997/10/20 5.91%

1997/11/25 5.91%

1998/1/5 5.81%

26

1997/9/15 5.84%

1997/10/21 5.91%

1997/11/26 5.91%

1998/1/6 5.75%

G

1

= 1 6 LIBOR =123 ( )

g

1

= 1 6 LIBOR 0%~5.75%

= 20 ( )

(3). (1) (2) 1

( ) ( )

















































××+=××+=

,10%,0%

123

26.58%150%3%,10%,0%150%3%

20

MaxMin

G

g

PortfolioMaxMinR

1

=

[

]

{

}

,10%6.97%,0%MaxMin

=6.97%

=10000 × 6.97% =697



2 1998/2/9~1998/8/10 h = 2

(1). 5

T US

DOW

US

MRK

US

VZ US

BLS US

1997/8/8

42.93

31.04

46.76

36.59

23.00

2 1998/8/10 5 1998/8/3

63.16

30.23

57.50

46.63

34.72

2 Portfolio

2

=

























+







−

























−+

























−×

-20%,50% 1,

46.76

57.50

-20%,50% 1,

31.04

30.23

-20%,50% 1,

42.93

63.16

5

1

MinMaxMinMaxMinMax























































−+−+

-20%,50% 1,

23.00

34.72

-20%,50% 1,

36.59

46.63

MinMaxMinMax

=

( )

[ ]

50.00%27.44%22.97%2.61%47.12%

5

1

+++−+×

=28.98%

(2). 2 1998/2/3~1998/8/3 6 LIBOR

1 2 3 4 5

LIBOR

1

1998/2/3 5.63%

1998/3/11 5.72%

1998/4/20 5.72%

1998/5/28 5.75%

1998/7/3 5.75%

2

1998/2/4 5.63%

1998/3/12 5.71%

1998/4/21 5.75%

1998/5/29 5.75%

1998/7/6 5.75%

3

1998/2/5 5.63%

1998/3/13 5.69%

1998/4/22 5.75%

1998/6/1 5.74%

1998/7/7 5.75%

4

1998/2/6 5.63%

1998/3/16 5.69%

1998/4/23 5.75%

1998/6/2 5.74%

1998/7/8 5.75%

76 116

1 2 3 4 5

LIBOR

5

1998/2/9 5.63%

1998/3/17 5.69%

1998/4/24 5.78%

1998/6/3 5.75%

1998/7/9 5.75%

6

1998/2/10 5.65%

1998/3/18 5.69%

1998/4/27 5.78%

1998/6/4 5.75%

1998/7/10 5.75%

7

1998/2/11 5.66%

1998/3/19 5.69%

1998/4/28 5.81%

1998/6/5 5.75%

1998/7/13 5.75%

8

1998/2/12 5.66%

1998/3/20 5.71%

1998/4/29 5.81%

1998/6/8 5.75%

1998/7/14 5.75%

9

1998/2/13 5.63%

1998/3/23 5.71%

1998/4/30 5.81%

1998/6/9 5.75%

1998/7/15 5.75%

10

1998/2/16 5.63%

1998/3/24 5.71%

1998/5/1 5.78%

1998/6/10 5.75%

1998/7/16 5.75%

11

1998/2/17 5.63%

1998/3/25 5.72%

1998/5/5 5.78%

1998/6/11 5.75%

1998/7/17 5.75%

12

1998/2/18 5.63%

1998/3/26 5.74%

1998/5/6 5.78%

1998/6/12 5.72%

1998/7/20 5.75%

13

1998/2/19 5.63%

1998/3/27 5.75%

1998/5/7 5.75%

1998/6/15 5.72%

1998/7/21 5.75%

14

1998/2/20 5.63%

1998/3/30 5.75%

1998/5/8 5.75%

1998/6/16 5.72%

1998/7/22 5.75%

15

1998/2/23 5.63%

1998/3/31 5.75%

1998/5/11 5.75%

1998/6/17 5.72%

1998/7/23 5.75%

16

1998/2/24 5.66%

1998/4/1 5.75%

1998/5/12 5.78%

1998/6/18 5.75%

1998/7/24 5.75%

17

1998/2/25 5.69%

1998/4/2 5.75%

1998/5/13 5.76%

1998/6/19 5.75%

1998/7/27 5.75%

18

1998/2/26 5.70%

1998/4/3 5.72%

1998/5/14 5.75%

1998/6/22 5.74%

1998/7/28 5.75%

19

1998/2/27 5.70%

1998/4/6 5.69%

1998/5/15 5.77%

1998/6/23 5.75%

1998/7/29 5.75%

20

1998/3/2 5.69%

1998/4/7 5.69%

1998/5/18 5.78%

1998/6/24 5.75%

1998/7/30 5.75%

21

1998/3/3 5.72%

1998/4/8 5.69%

1998/5/19 5.78%

1998/6/25 5.75%

1998/7/31 5.75%

22

1998/3/4 5.72%

1998/4/9 5.69%

1998/5/20 5.77%

1998/6/26 5.75%

1998/8/3 5.75%

23

1998/3/5 5.71%

1998/4/14 5.72%

1998/5/21 5.75%

1998/6/29 5.78%

24

1998/3/6 5.72%

1998/4/15 5.72%

1998/5/22 5.78%

1998/6/30 5.78%

25

1998/3/9 5.72%

1998/4/16 5.72%

1998/5/26 5.78%

1998/7/1 5.78%

26

1998/3/10 5.72%

1998/4/17 5.72%

1998/5/27 5.75%

1998/7/2 5.75%

G

2

= 2 6 LIBOR =126 ( )

g

2

= 2 6 LIBOR 0%~5.75% (

)

=107 ( )

(3). (1) (2) 2

1 BP

1

=0.93

BP

0

=1.00

( )

























××+=

,10%,0%150%3%

2

22

G

g

PortfolioMaxMinR

( )

























××+=

,10%,0%

126

107

28.98%150%3%

MaxMin

=

[

]

{

}

10% 39.46%,0% ,MaxMin

=10%

=10000 × 10% = 1000



3 1998/8/10~1999/2/8 h = 3

(1). 5

T US DOW US

MRK US

VZ US

BLS US

1997/8/8

42.93 31.04 46.76 36.59 23.00

3 1999/2/8 5 1999/2/1

99.32 30.27 69.54 59.50 45.13

3 Portfolio

3

=

























+







−

























−+

























−×

-20%,50% 1,

46.76

69.54

-20%,50% 1,

31.04

30.27

-20%,50% 1,

42.93

99.32

5

1

MinMaxMinMaxMinMax























































−+−−+

-20%,50% 1,

23.00

45.13

20%,50% 1,

36.59

59.50

MinMaxMinMax

=

( )

[ ]

50.00%50.00%48.72%2.48%50.00%

5

1

+++−+×

=39.25%

(2).

3 1998/8/4~1999/2/1 6 LIBOR

77 116

1 2 3 4 5

LIBOR

1

1998/8/4 5.75%

1998/9/10 5.50%

1998/10/16 4.94%

1998/11/23 5.12%

1998/12/31 5.07%

2

1998/8/5 5.75%

1998/9/11 5.41%

1998/10/19 4.94%

1998/11/24 5.13%

1999/1/4 5.06%

3

1998/8/6 5.75%

1998/9/14 5.41%

1998/10/20 4.94%

1998/11/25 5.13%

1999/1/5 5.06%

4

1998/8/7 5.75%

1998/9/15 5.41%

1998/10/21 4.95%

1998/11/26 5.13%

1999/1/6 5.06%

5

1998/8/10 5.72%

1998/9/16 5.41%

1998/10/22 4.96%

1998/11/27 5.15%

1999/1/7 5.06%

6

1998/8/11 5.72%

1998/9/17 5.41%

1998/10/23 4.97%

1998/11/30 5.15%

1999/1/8 5.06%

7

1998/8/12 5.72%

1998/9/18 5.41%

1998/10/26 4.97%

1998/12/1 5.15%

1999/1/11 5.08%

8

1998/8/13 5.72%

1998/9/21 5.41%

1998/10/27 4.99%

1998/12/2 5.13%

1999/1/12 5.09%

9

1998/8/14 5.72%

1998/9/22 5.41%

1998/10/28 4.97%

1998/12/3 5.10%

1999/1/13 5.03%

10

1998/8/17 5.72%

1998/9/23 5.41%

1998/10/29 4.97%

1998/12/4 5.08%

1999/1/14 5.01%

11

1998/8/18 5.72%

1998/9/24 5.34%

1998/10/30 4.98%

1998/12/7 5.10%

1999/1/15 4.97%

12

1998/8/19 5.72%

1998/9/25 5.25%

1998/11/2 5.06%

1998/12/8 5.12%

1999/1/18 4.99%

13

1998/8/20 5.72%

1998/9/28 5.25%

1998/11/3 5.11%

1998/12/9 5.09%

1999/1/19 4.97%

14

1998/8/21 5.72%

1998/9/29 5.25%

1998/11/4 5.13%

1998/12/10 5.07%

1999/1/20 5.00%

15

1998/8/24 5.69%

1998/9/30 5.25%

1998/11/5 5.19%

1998/12/11 5.04%

1999/1/21 5.00%

16

1998/8/25 5.69%

1998/10/1 5.21%

1998/11/6 5.19%

1998/12/14 5.06%

1999/1/22 4.97%

17

1998/8/26 5.69%

1998/10/2 5.13%

1998/11/9 5.23%

1998/12/15 5.06%

1999/1/25 4.97%

18

1998/8/27 5.69%

1998/10/5 5.13%

1998/11/10 5.19%

1998/12/16 5.06%

1999/1/26 4.97%

19

1998/8/28 5.59%

1998/10/6 5.14%

1998/11/11 5.19%

1998/12/17 5.06%

1999/1/27 4.97%

20

1998/9/1 5.56%

1998/10/7 5.19%

1998/11/12 5.20%

1998/12/18 5.06%

1999/1/28 4.97%

21

1998/9/2 5.56%

1998/10/8 5.16%

1998/11/13 5.19%

1998/12/21 5.06%

1999/1/29 4.97%

22

1998/9/3 5.56%

1998/10/9 5.15%

1998/11/16 5.21%

1998/12/22 5.11%

1999/2/1 4.98%

23

1998/9/4 5.56%

1998/10/12 5.16%

1998/11/17 5.19%

1998/12/23 5.12%

24

1998/9/7 5.54%

1998/10/13 5.16%

1998/11/18 5.06%

1998/12/24 5.16%

25

1998/9/8 5.53%

1998/10/14 5.16%

1998/11/19 5.09%

1998/12/29 5.16%

26

1998/9/9 5.50%

1998/10/15 5.16%

1998/11/20 5.12%

1998/12/30 5.08%

G

3

= 3 6 LIBOR =126 ( )

g

3

= 3 6 LIBOR 0%~5.75% (

)

=126 ( )

(3). (1) (2) 3

1 2 BP

1

=0.93 BP

2

=0.95

BP

0

=1.00

( )

























××+= %,%,

G

g

Portfolio%%MaxMinR

1001503

3

( )

























××+=

,10%,0%

126

39.25%150%3%

MaxMin

=

[

]

{

}

10% 61.88%,0% ,MaxMin

=10%

=10000 × 10% = 1000



4 1999/2/8~1999/8/9 h = 4

(1). 5

T US DOW US

MRK US

VZ US

BLS US

1997/8/8

42.93 31.04 46.76 36.59 23.00

4 1999/8/9 5 1999/8/2

82.00 42.10 63.77 65.00 49.63

4 Portfolio

4

=

























+







−

























−+

























−×

-20%,50% 1,

46.76

63.77

-20%,50% 1,

31.04

42.10

-20%,50% 1,

42.93

82.00

5

1

MinMaxMinMaxMinMax























































−+−+ -20%,50% 1,

23.00

49.63

-20%,50% 1,

36.59

65.00

MinMaxMinMax

78 116

=

[ ]

50.00%50.00%36.38%35.63%50.00%

5

1

++++×

=44.40%

(2). 4 1999/2/2~1999/8/2 6 LIBOR

1 2 3 4 5

LIBOR

1

1999/2/2 5.00%

1999/3/10 5.06%

1999/4/19 5.06%

1999/5/26 5.18%

1999/7/2 5.59%

2

1999/2/3 5.00%

1999/3/11 5.06%

1999/4/20 5.05%

1999/5/27 5.19%

1999/7/5 5.59%

3

1999/2/4 5.00%

1999/3/12 5.06%

1999/4/21 5.05%

1999/5/28 5.25%

1999/7/6 5.59%

4

1999/2/5 5.03%

1999/3/15 5.06%

1999/4/22 5.05%

1999/6/1 5.25%

1999/7/7 5.60%

5

1999/2/8 5.04%

1999/3/16 5.06%

1999/4/23 5.06%

1999/6/2 5.29%

1999/7/8 5.60%

6

1999/2/9 5.04%

1999/3/17 5.06%

1999/4/26 5.06%

1999/6/3 5.28%

1999/7/9 5.60%

7

1999/2/10 5.03%

1999/3/18 5.06%

1999/4/27 5.06%

1999/6/4 5.29%

1999/7/12 5.60%

8

1999/2/11 5.03%

1999/3/19 5.06%

1999/4/28 5.06%

1999/6/7 5.29%

1999/7/13 5.60%

9

1999/2/12 5.04%

1999/3/22 5.06%

1999/4/29 5.06%

1999/6/8 5.29%

1999/7/14 5.60%

10

1999/2/15 5.08%

1999/3/23 5.06%

1999/4/30 5.04%

1999/6/9 5.30%

1999/7/15 5.60%

11

1999/2/16 5.06%

1999/3/24 5.06%

1999/5/4 5.07%

1999/6/10 5.33%

1999/7/16 5.60%

12

1999/2/17 5.06%

1999/3/25 5.06%

1999/5/5 5.07%

1999/6/11 5.35%

1999/7/19 5.60%

13

1999/2/18 5.06%

1999/3/26 5.06%

1999/5/6 5.07%

1999/6/14 5.37%

1999/7/20 5.60%

14

1999/2/19 5.06%

1999/3/29 5.05%

1999/5/7 5.09%

1999/6/15 5.37%

1999/7/21 5.58%

15

1999/2/22 5.06%

1999/3/30 5.06%

1999/5/10 5.08%

1999/6/16 5.38%

1999/7/22 5.58%

16

1999/2/23 5.06%

1999/3/31 5.06%

1999/5/11 5.08%

1999/6/17 5.36%

1999/7/23 5.63%

17

1999/2/24 5.09%

1999/4/1 5.06%

1999/5/12 5.08%

1999/6/18 5.34%

1999/7/26 5.64%

18

1999/2/25 5.12%

1999/4/6 5.06%

1999/5/13 5.08%

1999/6/21 5.35%

1999/7/27 5.64%

19

1999/2/26 5.13%

1999/4/7 5.06%

1999/5/14 5.07%

1999/6/22 5.37%

1999/7/28 5.64%

20

1999/3/1 5.12%

1999/4/8 5.06%

1999/5/17 5.13%

1999/6/23 5.40%

1999/7/29 5.65%

21

1999/3/2 5.15%

1999/4/9 5.04%

1999/5/18 5.14%

1999/6/24 5.43%

1999/7/30 5.71%

22

1999/3/3 5.13%

1999/4/12 5.03%

1999/5/19 5.18%

1999/6/25 5.45%

1999/8/2 5.74%

23

1999/3/4 5.13%

1999/4/13 5.04%

1999/5/20 5.18%

1999/6/28 5.46%

24

1999/3/5 5.13%

1999/4/14 5.04%

1999/5/21 5.18%

1999/6/29 5.62%

25

1999/3/8 5.09%

1999/4/15 5.04%

1999/5/24 5.18%

1999/6/30 5.65%

26

1999/3/9 5.09%

1999/4/16 5.04%

1999/5/25 5.18%

1999/7/1 5.58%

G

4

= 4 6 LIBOR =126 ( )

g

4

= 4 6 LIBOR 0%~5.75% (

)

=126 ( )

(3). (1) (2) 4

1 2 3 BP

1

=0.93 BP

2

=0.95 BP

3

=0.98

BP

0

=1.00

( )

























××+= %,%,

G

g

Portfolio%%MaxMinR

1001503

4

























××+=

,10%,0%

126

44.40%)150%(3%MaxMin

=

[

]

{

}

10% 69.6%,0% ,MaxMin

=10%

=10000 ×10% =1000

4 1

K=4 4 1000 2%

=10,000 ×2% 200



5 h = 5,6,…,12

4 BP

4

=1.01

79 116

BP

0

=1.00 5 6 LIBOR R

5+i

= F =

2 6 LIBOR i = 0,1,…,7

5 12 2 6 LIBOR

h 2

2 6

LIBOR

5 1999/8/5 5.77%

6 2000/2/4 6.31%

7 2000/8/4 6.87%

8 2001/2/6 5.27%

9 2001/8/6 3.66%

10 2002/2/6 2.02%

11 2002/8/6 1.73%

12 2003/2/6 1.35%

R

5

= 5 2 6 LIBOR = 5.77% 5

= 10,000 × 5.77%÷2 = 289

R

6

= 6 2 6 LIBOR = 6.31% 6

= 10,000 × 6.31%÷2 = 316

R

7

= 7 2 6 LIBOR = 6.87% 7

= 10,000 × 6.87%÷2 = 344

R

8

= 8 2 6 LIBOR = 5.27% 8

= 10,000 × 5.27%÷2 = 264

R

9

= 9 2 6 LIBOR = 3.66% 9

= 10,000 × 3.66%÷2 = 183

R

10

= 10 2 6 LIBOR = 2.02% 10

= 10,000 × 2.02%÷2 = 101

R

11

= 11 2 6 LIBOR = 1.73% 11

= 10,000 × 1.73%÷2 = 87

R

12

= 12 2 6 LIBOR = 1.35% 12

= 10,000 × 1.35%÷2 = 68

= = 10,000

80 116

= [ 1 + Max (

) ]

=

∑

=

T

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

n

h

n

Underlying

UnderlyingUnderlying

T

T =

∑

=

H

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

N

W

h

∑

=

T

1h

h

W

= 1

0

n

Underlying

n

h

n

Underlying

n h dh

dh

1.1997 3 31 6 H = 6 10,000

81 116

2.

6 t

mi

= 6 M

i

= 12 / t

mi

= 12 / 6 = 2 T =

∑

=

H

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

5.

h

MO

US

T

US

BLS

US

BMY

US

7751

JP

DOW

US

EOA

GR

7267

JP

LLOY

LN

MRK

US

NESN

VX

PRU

LN

RDEN

US

SGP

US

7203

JP

0

1997/03/31

38.04

37.02

21.06

28.08

2650

26.63

48.27

3690

499.50

39.87

168.50

567.00

38.64

26.25

3130

1

1997/09/30

41.56

46.97

23.13

39.38

3530

30.23

52.00

4210

834.50

47.29

202.60

690.50

50.55

30.72

3700

2

1998/03/31

41.69

69.80

33.72

49.64

3010

32.42

65.96

4800

929.00

60.66

291.30

878.00

53.55

43.37

3550

3

1998/09/30

46.25

62.03

37.63

49.43

2770

28.48

44.36

4150

659.00

61.31

275.40

860.00

42.43

44.38

3050

4

1999/03/31

35.19

84.72

40.06

61.03

2930

31.06

48.65

5350

937.00

75.83

268.90

807.50

49.25

47.19

3430

5

1999/09/30

34.19

69.26

45.00

64.24

3100

37.88

51.40

4460

755.00

61.34

282.00

933.00

54.50

51.06

3390

6

2000/03/31

20.75

89.67

46.88

54.37

4450

38.00

53.36

4240

662.00

58.80

298.00

946.50

61.01

42.13

5370

7

2000/10/02

29.44

46.18

40.50

54.73

4790

24.94

58.40

3980

631.00

70.45

360.00

923.00

68.49

49.88

4270

8

2001/04/02

47.45

33.92

40.92

56.54

4550

31.57

54.10

5120

691.50

71.84

361.70

752.50

62.99

44.63

4350

9

2001/10/01

48.29

39.57

41.55

55.56

3270

32.76

56.89

3870

650.00

63.03

345.00

700.00

55.22

47.12

3060

10

2002/04/01

52.67

32.19

36.86

40.49

4720

32.72

58.35

5380

721.00

54.50

374.00

708.00

62.75

37.44

3650

11

2002/09/30

38.80

24.62

18.36

23.80

3980

27.31

47.80

4930

469.50

43.26

322.00

339.50

40.85

20.10

3130

12

2003/03/31

29.96

16.20

21.67

21.13

4140

27.61

37.78

3950

322.00

51.85

267.50

308.50

37.31

20.06

2635

h

MO

US

T

US

BLS

US

BMY

US

7751

JP

DOW

US

EOA

GR

7267

JP

LLOY

LN

MRK

US

NESN

VX

PRU

LN

RDEN

US

SGP

US

7203

JP

Portfolio

h

1 9.25%

26.88%

9.83%

40.24%

33.21%

13.52%

7.73%

14.09%

67.07%

18.61%

20.24%

21.78%

30.82%

17.03%

18.21%

67.07%

2 9.60%

88.55%

60.11%

76.78%

13.58%

21.74%

36.65%

30.08%

52.14%

72.88%

54.85%

38.59%

65.22%

13.42%

88.55%

3 21.58%

78.68%

76.03%

4.53%

6.95%

-8.10%

12.47%

53.77%

63.44%

51.68%

9.81%

69.07%

-2.56%

78.68%

4 -7.49%

117.34%

10.57%

16.64%

0.79%

44.99%

90.19%

59.58%

42.42%

27.46%

79.77%

9.58%

117.34%

5 -10.12%

16.98%

42.25%

6.48%

20.87%

53.85%

67.36%

64.55%

41.05%

94.51%

8.31%

94.51%

6 -45.45%

67.92%

42.70%

10.54%

14.91%

47.48%

76.85%

66.93%

57.89%

71.57%

76.85%

7 -22.61%

80.75%

-6.35%

20.99%

7.86%

76.70%

62.79%

77.25%

36.42%

80.75%

8 24.74%

18.55%

12.08%

38.75%

80.19%

32.72%

63.02%

38.98%

80.19%

9 26.95%

23.02%

17.86%

4.88%

23.46%

42.91%

-2.24%

42.91%

10

38.46%

22.87%

20.88%

45.80%

24.87%

16.61%

45.80%

11

2.00%

2.55%

-0.97%

-40.12%

0.00%

2.55%

12

-21.24%

-21.73%

-45.59%

-15.81%

0.5 h = 1

MO US = 41.56 / 38.04 –1 = 9.25% T US = 46.97 / 37.02 –1 = 26.88%

SBC US = 30.72 / 26.25 –1 = 17.03% 7203 JP = 3700 / 3130 –1 = 18.21%

Portfolio

1

= 15 = Max ( 9.25% 26.87% 17.03% 18.21% ) = 67.07%

1 h = 2

MO US = 41.69 / 38.04 –1 = 9.60% T US = 69.80 / 37.02 –1 = 88.55%

SBC US = 43.37 / 26.25 –1 = 65.22% 7203 JP = 3550 / 3130 –1 = 13.42%

Portfolio

2

= 14 = Max ( 9.60% 88.55% 65.22% 13.42% ) = 88.55%

1.5 h = 3

MO US

= 46.25 / 38.04 –1 = 21.58% BLS US = 37.63 / 21.06 –1 = 78.68%

SBC US = 44.38 / 26.25 –1 = 69.07% 7203 JP = 3050 / 3130 –1 = - 2.56%

82 116

Portfolio

3

= 13 = Max ( 21.58% 78.68% 69.07% - 2.56% ) = 78.68%

5.5 h = 11

MO US = 38.80 / 38.04 –1 = 2.00% DOW US = 27.31 / 26.63 –1 = 2.55%

EOA GR = 47.80 / 48.27 –1 = - 0.97% PRU LN = 339.50 / 567.00 –1 = - 40.12%

7203 JP = 3130 / 3130 –1 = 0.00%

Portfolio

11

= 5 = Max ( 2.00% 2.55% - 0.97% - 40.12% 0.00% ) = 2.55%

6 h = 12

MO US = 29.96 / 38.04 –1 = - 21.24% EOA GR = 37.78 / 48.27 –1 = - 21.73%

PRU LN = 308.50 / 567.00 –1 = - 45.59% 7203 JP = 2635 / 3130 –1 = - 15.81%

Portfolio

12

= 4 = Max ( - 21.24% - 21.73% - 45.59% - 15.81% ) = - 15.81%

=

∑

=

12

1h

h

W

× Portfolio

h

= [ 67.07% + 88.55% + 78.68% + + 2.55% + ( - 15.81% ) ] / 12 = 63.28%

= [ 1 + Max (

) ]

= 10,000 [ 1 + Max ( 63.28% 65% 23% ) ]

= 10,000 [ 1 + Max ( 41.13% 23% ) ] = 14,113

83 116

= ( 1 +

∑

=

T

h

CP

1

)

CP

h

= Max ( EC

h

, X

h

)







=

−

ThCP

hA

X

h

~2,

1,

1

EC

h

= ( ) h = 1~T

= Min [ Return( Index

1,h

) , Return( Index

2,h

) ,…, Return( Index

N,h

) ]

Min [ Return( Index

1,1

) , Return( Index

2,1

) ,…, Return( Index

N,1

) ] h=1 1

Min [ Return( Index

1,2

) , Return( Index

2,2

) ,…, Return( Index

N,2

) ] h=2 2

Min [ Return( Index

1,T

) , Return( Index

2,T

) ,…, Return( Index

N,T

) ] h=T T

Return( Index

i,h

) i h

Return( Index

i,h

) =

1,

,

−

hi

Index

- 1 i =1,2,…,N h = 1,2,…,T

T

T =

∑

=

H

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

N

1.1997 12 30 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

M

1

=

∑

=

6

1

i

= 6

4.A = 3%

= 20%

84 116

5.

h

S&P500

0 1997/12/30 970.84

13722.70

1 1998/12/30 1231.93 13739.07

2 1999/12/30 1464.47 11581.58

3 2001/01/02 1283.27 9510.62

4 2001/12/31 1148.08 12116.87

5 2002/12/30 879.39 13714.78

6 2003/12/30 1109.64

13722.70

h

Return( Index

1,h

)

Return( Index

2,h

)

EC

h

X

h

CP

h

1 26.89% 0.12% 0.12% 0.024% 3.00% 3.00%

2 18.88% -15.70% 15.70% 3.140% 3.00% 3.14%

3 -12.37% -17.88% 12.37% 2.474% 3.14% 3.14%

4 -10.53% 27.40% 10.53% 2.106% 3.14% 3.14%

5 -23.40% 13.19% 13.19% 2.638% 3.14% 3.14%

6 26.18% 0.06% 0.06% 0.012% 3.14% 3.14%

1 h = 1

=Min[ Return( Index

1,1

) , Return( Index

2,1

)

=Min[ 1231.93 / 970.84 - 1 , 13739.07 / 13722.70 - 1 ]

=Min[ 26.89% , 0.12% ]= 0.12%

CP

1

= Max ( EC

1

, X

1

)

= Max ( , A )

= Max ( 20% 0.12% ,3.00% )

= Max ( 0.024% ,3.00% )

= 3.00%

2 h = 2

=Min[ Return( Index

1,2

) , Return( Index

2,2

)

=Min[ 1464.47 / 1231.93 - 1 , 11581.58 / 13739.07 - 1 ]

=Min[ 18.88% , -15.70% ]= 15.70%

CP

2

= Max ( EC

2

, X

2

)

= Max ( , CP

1

)

= Max ( 20% 15.70% , 3.00% )

= Max ( 3.140% ,3.00% )

= 3.14%

6 h = 6

=Min[ Return( Index

1,6

) , Return( Index

2,6

)

=Min[ 1109.64 / 879.37 - 1 , 13722.70 / 13714.78 - 1 ]

=Min[ 26.18% , 0.06% ]= 0.06%

CP

6

= Max ( EC

6

, X

6

)

= Max ( , CP

5

)

= Max ( 20% 0.06% , 3.14% )

= Max ( 0.012% ,3.14% )

= 3.14%

85 116

= ( 1 +

∑

=

T

h

CP

1

)

= 10,000 [ 1 + 3.00% + 3.14% + 3.14% + 3.14% + 3.14% + 3.14% ]

= 11,870

86 116

h × h

h R

h

1.h=1 1

( )













××+=

11

1

1111

,,

][

CapFloor

G

g

PortfolioPRAMaxMinR

2.h=2,3,……,T 2

(1)

etargt

h

i

RR <

∑

−

=

1

R

target

( )

























××+=

∑

−

=

−

1

arg

,,,

h

i

ietthh

h

hhhh

RRCapFloor

G

g

PortfolioPRAMaxMinR

(2)

ett

h

i

RR

arg

1

≥

∑

−

=

R

target

R

h+i

= F

i=0,1,2,…,

T-h

( )

3.

K R

target

R

K

AD

K

4.

R

T

ED

T

=

∑

=

H

i

M

1

H

M

i

M

i

= 12 /

t

mi

t

mi

i 1 2

3 6 12

Portfolio

h

h Portfolio

h

=[X]CMS

h

[Y]CMS

h

[

X

]

CMS

h

h dh

(

h

)

X

[

Y

]

CMS

h

h dh

(

h

)

Y

dh

h

t

mi

6

t

mi

= 6

M

i

= 2 2003/7/3 2003/7/3

2004/1/3 2004/1/3 2004/7/3 2004/7/3

2005/1/3

h

=1

dh

h

=2

dh

dh h

=3

dh dh

R

target

87 116

g

h

d

h

Spread

Barrier

h

G

h

d

h

Spread

=

d

h

d

h

CMSYCMSX ][][ −

Barrier

h

d

h

CMSX ][

h d

X

d

h

CMSY ][

h d

Y

Y<X X Y

A

h

,B

h

,PR

h

,Floor

h

,Cap

h

AD

K

ED

T

F

1.1997 8 1 7

H

7 10,000

2. 12

t

mi

=12

M

i

=12/

t

mi

=12/12=1

T

=

∑

=

H

i

M

1

=

∑

=

7

1

i

= 7

3. (Constant Maturity Swap, CMS)

4.

A

h

=7%

PR

h

=100%

Floor

h

=1%

Cap

h

=10%

R

target

=20%

dh

=5

X

=10

Y

=2

B

h

=100%

5.

F

2 12 LIBOR

6.

20%

1~2

3~5

6 7 8 9 10

11

12

AD

K

0%

2%

3%

4%

5%

6%

7%

8%

9%

7. 8%

ED

T

=8%

8. [10]

CMS

h

[2]

CMS

h

Barrier

h

( 5

)

Barrier

h

[10]

CMS

h

[2]

CMS

h

Portfolio

h

1 1998/8/3 1998/7/27 0%~0.50% 6.03% 5.85% 0.18%

2 1999/8/2 1999/7/26 0%~0.75% 6.84% 6.16% 0.68%

3 2000/8/1 2000/7/25 0%~1.00% 7.23% 7.07% 0.16%

4 2001/8/1 2001/7/25 0%~1.50% 5.99% 4.51% 1.48%

5 2002/8/1 2002/7/25 0%~2.00% 5.01% 2.68% 2.33%

6 2003/8/1 2003/7/25 0%~2.00% 4.60% 1.71% 2.89%

7 2004/8/2 2004/7/26 0%~2.00% 4.98% 3.16% 1.82%

1

Portfolio

1

=

[10]

CMS

1

– [2]

CMS

1

= 6.03% - 5.85% = 0.18%

2

Portfolio

2

=

[10]

CMS

2

– [2]

CMS

2

= 6.84% - 6.16% = 0.68%

3

Portfolio

3

=

[10]

CMS

3

– [2]

CMS

3

= 7.23% - 7.07% = 0.16%

88 116

…



1 1997/8/1~1998/8/3

h

= 1

1 1997/8/1~1998/7/27

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

d

CMS

1

]10[

d

CMS

1

]2[

d

Spread

1

1997/8/1

6.59%

6.17%

0.42%

67

1997/11/3

6.42%

6.07%

0.35%

133

1998/2/3

6.02%

5.67%

0.35%

199

1998/5/6

6.16%

5.93%

0.23%

2

1997/8/4

6.62%

6.20%

0.42%

68

1997/11/4

6.46%

6.08%

0.38%

134

1998/2/4

6.01%

5.66%

0.35%

200

1998/5/7

6.18%

5.95%

0.23%

3

1997/8/5

6.64%

6.21%

0.43%

69

1997/11/5

6.41%

6.05%

0.36%

135

1998/2/5

6.10%

5.70%

0.40%

201

1998/5/8

6.20%

5.98%

0.22%

4

1997/8/6

6.62%

6.20%

0.42%

70

1997/11/6

6.38%

6.07%

0.31%

136

1998/2/6

6.08%

5.70%

0.38%

202

1998/5/11

6.25%

6.02%

0.23%

5

1997/8/7

6.66%

6.24%

0.42%

71

1997/11/7

6.42%

6.09%

0.33%

137

1998/2/9

6.11%

5.72%

0.39%

203

1998/5/12

6.20%

5.98%

0.22%

6

1997/8/8

6.79%

6.31%

0.48%

72

1997/11/10

6.41%

6.10%

0.31%

138

1998/2/10

6.08%

5.74%

0.34%

204

1998/5/13

6.15%

5.98%

0.17%

7

1997/8/11

6.78%

6.30%

0.48%

73

1997/11/11

6.41%

6.10%

0.31%

139

1998/2/11

6.03%

5.71%

0.32%

205

1998/5/14

6.20%

6.00%

0.20%

8

1997/8/12

6.83%

6.34%

0.49%

74

1997/11/12

6.36%

6.09%

0.27%

140

1998/2/12

6.01%

5.70%

0.31%

206

1998/5/15

6.21%

6.00%

0.21%

9

1997/8/13

6.77%

6.24%

0.53%

75

1997/11/13

6.36%

6.09%

0.27%

141

1998/2/13

5.99%

5.68%

0.31%

207

1998/5/18

6.18%

5.97%

0.21%

10

1997/8/14

6.69%

6.20%

0.49%

76

1997/11/14

6.37%

6.10%

0.27%

142

1998/2/16

5.99%

5.68%

0.31%

208

1998/5/19

6.18%

5.96%

0.22%

11

1997/8/15

6.67%

6.15%

0.52%

77

1997/11/17

6.32%

6.09%

0.23%

143

1998/2/17

5.95%

5.67%

0.28%

209

1998/5/20

6.13%

5.94%

0.19%

12

1997/8/18

6.66%

6.14%

0.52%

78

1997/11/18

6.34%

6.08%

0.26%

144

1998/2/18

5.98%

5.69%

0.29%

210

1998/5/21

6.17%

5.99%

0.18%

13

1997/8/19

6.65%

6.15%

0.50%

79

1997/11/19

6.30%

6.07%

0.23%

145

1998/2/19

6.00%

5.71%

0.29%

211

1998/5/22

6.17%

5.99%

0.18%

14

1997/8/20

6.68%

6.19%

0.49%

80

1997/11/20

6.33%

6.10%

0.23%

146

1998/2/20

6.03%

5.71%

0.32%

212

1998/5/25

6.17%

5.99%

0.18%

15

1997/8/21

6.76%

6.24%

0.52%

81

1997/11/21

6.29%

6.04%

0.25%

147

1998/2/23

6.06%

5.74%

0.32%

213

1998/5/26

6.10%

5.93%

0.17%

16

1997/8/22

6.79%

6.25%

0.54%

82

1997/11/24

6.32%

6.06%

0.26%

148

1998/2/24

6.13%

5.86%

0.27%

214

1998/5/27

6.12%

5.93%

0.19%

17

1997/8/25

6.82%

6.27%

0.55%

83

1997/11/25

6.30%

6.07%

0.23%

149

1998/2/25

6.09%

5.82%

0.27%

215

1998/5/28

6.11%

5.94%

0.17%

18

1997/8/26

6.77%

6.25%

0.52%

84

1997/11/26

6.31%

6.09%

0.22%

150

1998/2/26

6.13%

5.88%

0.25%

216

1998/5/29

6.09%

5.92%

0.17%

19

1997/8/27

6.79%

6.27%

0.52%

85

1997/11/27

6.31%

6.09%

0.22%

151

1998/2/27

6.11%

5.86%

0.25%

217

1998/6/1

6.07%

5.87%

0.20%

20

1997/8/28

6.73%

6.22%

0.51%

86

1997/11/28

6.33%

6.11%

0.22%

152

1998/3/2

6.18%

5.88%

0.30%

218

1998/6/2

6.08%

5.89%

0.19%

21

1997/8/29

6.77%

6.26%

0.51%

87

1997/12/1

6.31%

6.14%

0.17%

153

1998/3/3

6.26%

5.94%

0.32%

219

1998/6/3

6.08%

5.90%

0.18%

22

1997/9/1

6.77%

6.26%

0.51%

88

1997/12/2

6.31%

6.11%

0.20%

154

1998/3/4

6.21%

5.90%

0.31%

220

1998/6/4

6.13%

5.93%

0.20%

23

1997/9/2

6.71%

6.21%

0.50%

89

1997/12/3

6.28%

6.06%

0.22%

155

1998/3/5

6.26%

5.93%

0.33%

221

1998/6/5

6.11%

5.94%

0.17%

24

1997/9/3

6.75%

6.26%

0.49%

90

1997/12/4

6.29%

6.05%

0.24%

156

1998/3/6

6.19%

5.88%

0.31%

222

1998/6/8

6.10%

5.94%

0.16%

25

1997/9/4

6.76%

6.26%

0.50%

91

1997/12/5

6.36%

6.16%

0.20%

157

1998/3/9

6.14%

5.87%

0.27%

223

1998/6/9

6.12%

5.95%

0.17%

26

1997/9/5

6.77%

6.26%

0.51%

92

1997/12/8

6.41%

6.20%

0.21%

158

1998/3/10

6.14%

5.86%

0.28%

224

1998/6/10

6.05%

5.91%

0.14%

27

1997/9/8

6.74%

6.26%

0.48%

93

1997/12/9

6.38%

6.16%

0.22%

159

1998/3/11

6.13%

5.87%

0.26%

225

1998/6/11

5.99%

5.82%

0.17%

28

1997/9/9

6.75%

6.26%

0.49%

94

1997/12/10

6.34%

6.11%

0.23%

160

1998/3/12

6.07%

5.82%

0.25%

226

1998/6/12

5.98%

5.82%

0.16%

29

1997/9/10

6.78%

6.29%

0.49%

95

1997/12/11

6.27%

6.05%

0.22%

161

1998/3/13

6.09%

5.84%

0.25%

227

1998/6/15

5.93%

5.77%

0.16%

30

1997/9/11

6.81%

6.31%

0.50%

96

1997/12/12

6.20%

5.99%

0.21%

162

1998/3/16

6.05%

5.82%

0.23%

228

1998/6/16

6.00%

5.86%

0.14%

31

1997/9/12

6.70%

6.22%

0.48%

97

1997/12/15

6.26%

6.04%

0.22%

163

1998/3/17

6.08%

5.86%

0.22%

229

1998/6/17

6.08%

5.90%

0.18%

32

1997/9/15

6.71%

6.22%

0.49%

98

1997/12/16

6.24%

6.04%

0.20%

164

1998/3/18

6.07%

5.84%

0.23%

230

1998/6/18

6.06%

5.88%

0.18%

33

1997/9/16

6.52%

6.11%

0.41%

99

1997/12/17

6.27%

6.08%

0.19%

165

1998/3/19

6.08%

5.85%

0.23%

231

1998/6/19

6.02%

5.86%

0.16%

34

1997/9/17

6.53%

6.10%

0.43%

100

1997/12/18

6.21%

6.04%

0.17%

166

1998/3/20

6.06%

5.86%

0.20%

232

1998/6/22

6.02%

5.88%

0.14%

35

1997/9/18

6.56%

6.14%

0.42%

101

1997/12/19

6.20%

6.02%

0.18%

167

1998/3/23

6.07%

5.87%

0.20%

233

1998/6/23

6.01%

5.87%

0.14%

36

1997/9/19

6.53%

6.12%

0.41%

102

1997/12/22

6.19%

6.03%

0.16%

168

1998/3/24

6.08%

5.87%

0.21%

234

1998/6/24

6.02%

5.87%

0.15%

37

1997/9/22

6.50%

6.11%

0.39%

103

1997/12/23

6.19%

6.01%

0.18%

169

1998/3/25

6.15%

5.93%

0.22%

235

1998/6/25

6.02%

5.88%

0.14%

38

1997/9/23

6.52%

6.14%

0.38%

104

1997/12/24

6.23%

6.05%

0.18%

170

1998/3/26

6.19%

5.98%

0.21%

236

1998/6/26

6.01%

5.87%

0.14%

39

1997/9/24

6.48%

6.10%

0.38%

105

1997/12/25

6.23%

6.04%

0.19%

171

1998/3/27

6.20%

6.00%

0.20%

237

1998/6/29

6.02%

5.88%

0.14%

40

1997/9/25

6.56%

6.18%

0.38%

106

1997/12/26

6.23%

6.04%

0.19%

172

1998/3/30

6.22%

5.99%

0.23%

238

1998/6/30

6.00%

5.84%

0.16%

41

1997/9/26

6.54%

6.15%

0.39%

107

1997/12/29

6.25%

6.05%

0.20%

173

1998/3/31

6.17%

5.95%

0.22%

239

1998/7/1

5.99%

5.85%

0.14%

42

1997/9/29

6.54%

6.15%

0.39%

108

1997/12/30

6.27%

6.04%

0.23%

174

1998/4/1

6.10%

5.94%

0.16%

240

1998/7/2

5.97%

5.82%

0.15%

43

1997/9/30

6.55%

6.15%

0.40%

109

1997/12/31

6.22%

6.01%

0.21%

175

1998/4/2

6.08%

5.90%

0.18%

241

1998/7/3

5.97%

5.82%

0.15%

44

1997/10/1

6.49%

6.12%

0.37%

110

1998/1/1

6.22%

6.00%

0.22%

176

1998/4/3

6.01%

5.82%

0.19%

242

1998/7/6

5.96%

5.81%

0.15%

45

1997/10/2

6.46%

6.09%

0.37%

111

1998/1/2

6.12%

5.93%

0.19%

177

1998/4/6

6.04%

5.83%

0.21%

243

1998/7/7

5.99%

5.82%

0.17%

46

1997/10/3

6.44%

6.04%

0.40%

112

1998/1/5

6.01%

5.92%

0.09%

178

1998/4/7

6.06%

5.84%

0.22%

244

1998/7/8

5.99%

5.83%

0.16%

47

1997/10/6

6.42%

6.01%

0.41%

113

1998/1/6

5.96%

5.75%

0.21%

179

1998/4/8

6.11%

5.86%

0.25%

245

1998/7/9

5.96%

5.80%

0.16%

48

1997/10/7

6.38%

5.98%

0.40%

114

1998/1/7

6.01%

5.79%

0.22%

180

1998/4/9

6.10%

5.87%

0.23%

246

1998/7/10

5.97%

5.79%

0.18%

49

1997/10/8

6.55%

6.10%

0.45%

115

1998/1/8

5.98%

5.68%

0.30%

181

1998/4/10

6.10%

5.87%

0.23%

247

1998/7/13

6.04%

5.84%

0.20%

50

1997/10/9

6.54%

6.10%

0.44%

116

1998/1/9

5.94%

5.57%

0.37%

182

1998/4/13

6.17%

5.94%

0.23%

248

1998/7/14

6.05%

5.84%

0.21%

51

1997/10/10

6.60%

6.18%

0.42%

117

1998/1/12

5.90%

5.56%

0.34%

183

1998/4/14

6.12%

5.93%

0.19%

249

1998/7/15

6.05%

5.83%

0.22%

52

1997/10/13

6.61%

6.18%

0.43%

118

1998/1/13

5.95%

5.65%

0.30%

184

1998/4/15

6.10%

5.92%

0.18%

250

1998/7/16

6.06%

5.84%

0.22%

53

1997/10/14

6.54%

6.14%

0.40%

119

1998/1/14

5.96%

5.65%

0.31%

185

1998/4/16

6.09%

5.89%

0.20%

251

1998/7/17

6.07%

5.84%

0.23%

54

1997/10/15

6.58%

6.16%

0.42%

120

1998/1/15

5.97%

5.63%

0.34%

186

1998/4/17

6.10%

5.90%

0.20%

252

1998/7/20

6.03%

5.84%

0.19%

55

1997/10/16

6.57%

6.18%

0.39%

121

1998/1/16

6.03%

5.72%

0.31%

187

1998/4/20

6.16%

5.95%

0.21%

253

1998/7/21

6.00%

5.83%

0.17%

56

1997/10/17

6.64%

6.26%

0.38%

122

1998/1/19

6.03%

5.71%

0.32%

188

1998/4/21

6.17%

5.97%

0.20%

254

1998/7/22

6.02%

5.84%

0.18%

57

1997/10/20

6.62%

6.24%

0.38%

123

1998/1/20

6.07%

5.73%

0.34%

189

1998/4/22

6.17%

5.97%

0.20%

255

1998/7/23

6.00%

5.84%

0.16%

58

1997/10/21

6.61%

6.24%

0.37%

124

1998/1/21

6.03%

5.69%

0.34%

190

1998/4/23

6.19%

5.99%

0.20%

256

1998/7/24

6.02%

5.86%

0.16%

89 116

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

59

1997/10/22

6.60%

6.25%

0.35%

125

1998/1/22

6.06%

5.68%

0.38%

191

1998/4/24

6.15%

5.98%

0.17%

257

1998/7/27

6.03%

5.85%

0.18%

60

1997/10/23

6.49%

6.15%

0.34%

126

1998/1/23

6.18%

5.75%

0.43%

192

1998/4/27

6.26%

6.06%

0.20%

61

1997/10/24

6.47%

6.10%

0.37%

127

1998/1/26

6.11%

5.72%

0.39%

193

1998/4/28

6.30%

6.09%

0.21%

62

1997/10/27

6.50%

6.16%

0.34%

128

1998/1/27

6.16%

5.79%

0.37%

194

1998/4/29

6.30%

6.10%

0.20%

63

1997/10/28

6.50%

6.10%

0.40%

129

1998/1/28

6.16%

5.79%

0.37%

195

1998/4/30

6.17%

5.97%

0.20%

64

1997/10/29

6.40%

6.00%

0.40%

130

1998/1/29

6.04%

5.70%

0.34%

196

1998/5/1

6.16%

5.97%

0.19%

65

1997/10/30

6.35%

6.00%

0.35%

131

1998/1/30

5.99%

5.66%

0.33%

197

1998/5/4

6.16%

5.97%

0.19%

66

1997/10/31

6.37%

6.02%

0.35%

132

1998/2/2

6.05%

5.71%

0.34%

198

1998/5/5

6.21%

6.01%

0.20%

G

1

=

1 =257( )

g

1

= 1

d

Spread

1

0%~0.50% = 245( )

1

( ) ( )

















































××+=××+= ,10%,1%

257

245

0.18%100%7%,10%,1%100%7% MaxMin

G

g

PortfolioMaxMinR

1

=

Min

{

Max

( 6.84%, 1% ) , 10% } = 6.84%

=10,000 × 6.84% = 684



2 1998/8/3~1999/8/2

h

= 2

2 1998/7/28~1999/7/26

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

d

CMS

2

]10[

d

CMS

2

]2[

d

Spread

2

1

1998/7/28

6.05%

5.85%

0.20%

67

1998/10/28

5.38%

4.60%

0.78%

133

1999/1/28

5.44%

5.11%

0.33%

199

1999/4/30

6.06%

5.51%

0.55%

2

1998/7/29

6.08%

5.90%

0.18%

68

1998/10/29

5.32%

4.59%

0.73%

134

1999/1/29

5.40%

5.13%

0.27%

200

1999/5/3

6.06%

5.52%

0.54%

3

1998/7/30

6.06%

5.89%

0.17%

69

1998/10/30

5.37%

4.70%

0.67%

135

1999/2/1

5.46%

5.15%

0.31%

201

1999/5/4

6.10%

5.54%

0.56%

4

1998/7/31

6.05%

5.88%

0.17%

70

1998/11/2

5.57%

4.84%

0.73%

136

1999/2/2

5.53%

5.21%

0.32%

202

1999/5/5

6.08%

5.54%

0.54%

5

1998/8/3

6.01%

5.85%

0.16%

71

1998/11/3

5.52%

4.80%

0.72%

137

1999/2/3

5.59%

5.22%

0.37%

203

1999/5/6

6.17%

5.60%

0.57%

6

1998/8/4

5.98%

5.80%

0.18%

72

1998/11/4

5.63%

4.96%

0.67%

138

1999/2/4

5.62%

5.26%

0.36%

204

1999/5/7

6.20%

5.59%

0.61%

7

1998/8/5

6.01%

5.83%

0.18%

73

1998/11/5

5.64%

5.03%

0.61%

139

1999/2/5

5.68%

5.31%

0.37%

205

1999/5/10

6.18%

5.55%

0.63%

8

1998/8/6

6.03%

5.82%

0.21%

74

1998/11/6

5.68%

5.12%

0.56%

140

1999/2/8

5.68%

5.30%

0.38%

206

1999/5/11

6.21%

5.58%

0.63%

9

1998/8/7

6.00%

5.78%

0.22%

75

1998/11/9

5.58%

5.09%

0.49%

141

1999/2/9

5.65%

5.26%

0.39%

207

1999/5/12

6.21%

5.57%

0.64%

10

1998/8/10

6.00%

5.78%

0.22%

76

1998/11/10

5.54%

5.03%

0.51%

142

1999/2/10

5.69%

5.25%

0.44%

208

1999/5/13

6.12%

5.51%

0.61%

11

1998/8/11

6.01%

5.76%

0.25%

77

1998/11/11

5.54%

5.03%

0.51%

143

1999/2/11

5.70%

5.32%

0.38%

209

1999/5/14

6.34%

5.68%

0.66%

12

1998/8/12

6.00%

5.75%

0.25%

78

1998/11/12

5.51%

5.02%

0.49%

144

1999/2/12

5.81%

5.34%

0.47%

210

1999/5/17

6.35%

5.69%

0.66%

13

1998/8/13

6.05%

5.80%

0.25%

79

1998/11/13

5.55%

5.05%

0.50%

145

1999/2/15

5.83%

5.39%

0.44%

211

1999/5/18

6.37%

5.75%

0.62%

14

1998/8/14

6.01%

5.74%

0.27%

80

1998/11/16

5.63%

5.10%

0.53%

146

1999/2/16

5.78%

5.37%

0.41%

212

1999/5/19

6.33%

5.76%

0.57%

15

1998/8/17

6.03%

5.75%

0.28%

81

1998/11/17

5.61%

5.07%

0.54%

147

1999/2/17

5.74%

5.36%

0.38%

213

1999/5/20

6.36%

5.76%

0.60%

16

1998/8/18

6.05%

5.76%

0.29%

82

1998/11/18

5.59%

5.04%

0.55%

148

1999/2/18

5.80%

5.37%

0.43%

214

1999/5/21

6.31%

5.72%

0.59%

17

1998/8/19

6.05%

5.77%

0.28%

83

1998/11/19

5.58%

5.11%

0.47%

149

1999/2/19

5.82%

5.41%

0.41%

215

1999/5/24

6.29%

5.73%

0.56%

18

1998/8/20

6.05%

5.76%

0.29%

84

1998/11/20

5.55%

5.12%

0.43%

150

1999/2/22

5.77%

5.42%

0.35%

216

1999/5/25

6.28%

5.72%

0.56%

19

1998/8/21

6.04%

5.68%

0.36%

85

1998/11/23

5.61%

5.19%

0.42%

151

1999/2/23

5.84%

5.47%

0.37%

217

1999/5/26

6.35%

5.80%

0.55%

20

1998/8/24

6.09%

5.69%

0.40%

86

1998/11/24

5.58%

5.20%

0.38%

152

1999/2/24

5.91%

5.55%

0.36%

218

1999/5/27

6.40%

5.86%

0.54%

21

1998/8/25

6.06%

5.66%

0.40%

87

1998/11/25

5.60%

5.21%

0.39%

153

1999/2/25

6.07%

5.66%

0.41%

219

1999/5/28

6.41%

5.86%

0.55%

22

1998/8/26

6.00%

5.62%

0.38%

88

1998/11/26

5.59%

5.20%

0.39%

154

1999/2/26

6.03%

5.64%

0.39%

220

1999/5/31

6.42%

5.86%

0.56%

23

1998/8/27

5.91%

5.52%

0.39%

89

1998/11/27

5.58%

5.17%

0.41%

155

1999/3/1

6.13%

5.68%

0.45%

221

1999/6/1

6.55%

5.99%

0.56%

24

1998/8/28

5.89%

5.48%

0.41%

90

1998/11/30

5.53%

5.07%

0.46%

156

1999/3/2

6.09%

5.68%

0.41%

222

1999/6/2

6.56%

5.99%

0.57%

25

1998/8/31

5.81%

5.36%

0.45%

91

1998/12/1

5.49%

5.05%

0.44%

157

1999/3/3

6.14%

5.66%

0.48%

223

1999/6/3

6.60%

5.99%

0.61%

26

1998/9/1

5.89%

5.46%

0.43%

92

1998/12/2

5.46%

5.00%

0.46%

158

1999/3/4

6.18%

5.69%

0.49%

224

1999/6/4

6.59%

6.00%

0.59%

27

1998/9/2

5.85%

5.47%

0.38%

93

1998/12/3

5.40%

4.91%

0.49%

159

1999/3/5

6.07%

5.59%

0.48%

225

1999/6/7

6.59%

6.01%

0.58%

28

1998/9/3

5.80%

5.45%

0.35%

94

1998/12/4

5.48%

5.04%

0.44%

160

1999/3/8

6.05%

5.60%

0.45%

226

1999/6/8

6.61%

6.01%

0.60%

29

1998/9/4

5.78%

5.43%

0.35%

95

1998/12/7

5.50%

5.10%

0.40%

161

1999/3/9

5.97%

5.49%

0.48%

227

1999/6/9

6.67%

6.06%

0.61%

30

1998/9/7

5.78%

5.43%

0.35%

96

1998/12/8

5.43%

5.03%

0.40%

162

1999/3/10

6.00%

5.54%

0.46%

228

1999/6/10

6.71%

6.09%

0.62%

31

1998/9/8

5.78%

5.41%

0.37%

97

1998/12/9

5.42%

5.02%

0.40%

163

1999/3/11

6.00%

5.53%

0.47%

229

1999/6/11

6.84%

6.15%

0.69%

32

1998/9/9

5.66%

5.26%

0.40%

98

1998/12/10

5.33%

4.97%

0.36%

164

1999/3/12

5.96%

5.49%

0.47%

230

1999/6/14

6.81%

6.11%

0.70%

33

1998/9/10

5.57%

5.15%

0.42%

99

1998/12/11

5.46%

5.03%

0.43%

165

1999/3/15

5.95%

5.47%

0.48%

231

1999/6/15

6.81%

6.12%

0.69%

34

1998/9/11

5.65%

5.19%

0.46%

100

1998/12/14

5.42%

4.98%

0.44%

166

1999/3/16

5.89%

5.44%

0.45%

232

1999/6/16

6.76%

6.04%

0.72%

35

1998/9/14

5.66%

5.22%

0.44%

101

1998/12/15

5.46%

5.02%

0.44%

167

1999/3/17

5.91%

5.45%

0.46%

233

1999/6/17

6.61%

5.93%

0.68%

36

1998/9/15

5.68%

5.24%

0.44%

102

1998/12/16

5.40%

4.92%

0.48%

168

1999/3/18

5.90%

5.44%

0.46%

234

1999/6/18

6.63%

5.98%

0.65%

37

1998/9/16

5.66%

5.24%

0.42%

103

1998/12/17

5.43%

5.01%

0.42%

169

1999/3/19

5.96%

5.49%

0.47%

235

1999/6/21

6.68%

6.02%

0.66%

38

1998/9/17

5.61%

5.18%

0.43%

104

1998/12/18

5.42%

5.01%

0.41%

170

1999/3/22

5.98%

5.51%

0.47%

236

1999/6/22

6.73%

6.05%

0.68%

39

1998/9/18

5.54%

5.17%

0.37%

105

1998/12/21

5.49%

5.08%

0.41%

171

1999/3/23

5.94%

5.45%

0.49%

237

1999/6/23

6.85%

6.14%

0.71%

40

1998/9/21

5.54%

5.16%

0.38%

106

1998/12/22

5.54%

5.11%

0.43%

172

1999/3/24

5.96%

5.46%

0.50%

238

1999/6/24

6.87%

6.14%

0.73%

41

1998/9/22

5.56%

5.16%

0.40%

107

1998/12/23

5.62%

5.24%

0.38%

173

1999/3/25

6.00%

5.49%

0.51%

239

1999/6/25

6.86%

6.16%

0.70%

42

1998/9/23

5.51%

5.05%

0.46%

108

1998/12/24

5.63%

5.26%

0.37%

174

1999/3/26

6.00%

5.47%

0.53%

240

1999/6/28

6.79%

6.10%

0.69%

43

1998/9/24

5.43%

4.95%

0.48%

109

1998/12/25

5.64%

5.27%

0.37%

175

1999/3/29

6.05%

5.47%

0.58%

241

1999/6/29

6.78%

6.14%

0.64%

44

1998/9/25

5.39%

4.93%

0.46%

110

1998/12/28

5.56%

5.21%

0.35%

176

1999/3/30

5.98%

5.42%

0.56%

242

1999/6/30

6.62%

5.99%

0.63%

90 116

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

45

1998/9/28

5.40%

4.95%

0.45%

111

1998/12/29

5.50%

5.16%

0.34%

177

1999/3/31

6.01%

5.43%

0.58%

243

1999/7/1

6.69%

6.04%

0.65%

46

1998/9/29

5.37%

4.95%

0.42%

112

1998/12/30

5.46%

5.12%

0.34%

178

1999/4/1

6.04%

5.46%

0.58%

244

1999/7/2

6.67%

6.05%

0.62%

47

1998/9/30

5.22%

4.79%

0.43%

113

1998/12/31

5.45%

5.11%

0.34%

179

1999/4/2

5.99%

5.43%

0.56%

245

1999/7/5

6.66%

6.04%

0.62%

48

1998/10/1

5.17%

4.73%

0.44%

114

1999/1/1

5.45%

5.13%

0.32%

180

1999/4/5

5.98%

5.42%

0.56%

246

1999/7/6

6.70%

6.07%

0.63%

49

1998/10/2

5.17%

4.75%

0.42%

115

1999/1/4

5.43%

5.10%

0.33%

181

1999/4/6

5.90%

5.37%

0.53%

247

1999/7/7

6.74%

6.08%

0.66%

50

1998/10/5

5.10%

4.64%

0.46%

116

1999/1/5

5.45%

5.16%

0.29%

182

1999/4/7

5.89%

5.38%

0.51%

248

1999/7/8

6.67%

6.04%

0.63%

51

1998/10/6

5.13%

4.68%

0.45%

117

1999/1/6

5.47%

5.10%

0.37%

183

1999/4/8

5.82%

5.35%

0.47%

249

1999/7/9

6.67%

6.07%

0.60%

52

1998/10/7

5.29%

4.77%

0.52%

118

1999/1/7

5.53%

5.16%

0.37%

184

1999/4/9

5.83%

5.35%

0.48%

250

1999/7/12

6.60%

6.01%

0.59%

53

1998/10/8

5.48%

4.82%

0.66%

119

1999/1/8

5.64%

5.25%

0.39%

185

1999/4/12

5.82%

5.37%

0.45%

251

1999/7/13

6.59%

6.01%

0.58%

54

1998/10/9

5.70%

4.92%

0.78%

120

1999/1/11

5.70%

5.31%

0.39%

186

1999/4/13

5.87%

5.38%

0.49%

252

1999/7/14

6.62%

6.05%

0.57%

55

1998/10/12

5.70%

4.91%

0.79%

121

1999/1/12

5.62%

5.21%

0.41%

187

1999/4/14

5.89%

5.40%

0.49%

253

1999/7/15

6.63%

6.07%

0.56%

56

1998/10/13

5.66%

4.82%

0.84%

122

1999/1/13

5.54%

5.13%

0.41%

188

1999/4/15

5.93%

5.42%

0.51%

254

1999/7/16

6.56%

6.00%

0.56%

57

1998/10/14

5.55%

4.82%

0.73%

123

1999/1/14

5.45%

5.05%

0.40%

189

1999/4/16

5.97%

5.47%

0.50%

255

1999/7/19

6.56%

5.99%

0.57%

58

1998/10/15

5.43%

4.71%

0.72%

124

1999/1/15

5.52%

5.10%

0.42%

190

1999/4/19

5.90%

5.41%

0.49%

256

1999/7/20

6.53%

5.94%

0.59%

59

1998/10/16

5.34%

4.56%

0.78%

125

1999/1/18

5.50%

5.10%

0.40%

191

1999/4/20

5.90%

5.42%

0.48%

257

1999/7/21

6.55%

5.93%

0.62%

60

1998/10/19

5.33%

4.55%

0.78%

126

1999/1/19

5.50%

5.05%

0.45%

192

1999/4/21

5.93%

5.44%

0.49%

258

1999/7/22

6.67%

6.04%

0.63%

61

1998/10/20

5.41%

4.61%

0.80%

127

1999/1/20

5.52%

5.16%

0.36%

193

1999/4/22

5.99%

5.49%

0.50%

259

1999/7/23

6.73%

6.12%

0.61%

62

1998/10/21

5.41%

4.65%

0.76%

128

1999/1/21

5.46%

5.10%

0.36%

194

1999/4/23

5.99%

5.48%

0.51%

260

1999/7/26

6.84%

6.16%

0.68%

63

1998/10/22

5.45%

4.67%

0.78%

129

1999/1/22

5.42%

5.06%

0.36%

195

1999/4/26

5.94%

5.46%

0.48%

64

1998/10/23

5.55%

4.70%

0.85%

130

1999/1/25

5.42%

5.09%

0.33%

196

1999/4/27

5.95%

5.44%

0.51%

65

1998/10/26

5.49%

4.67%

0.82%

131

1999/1/26

5.48%

5.11%

0.37%

197

1999/4/28

5.98%

5.47%

0.51%

66

1998/10/27

5.42%

4.62%

0.80%

132

1999/1/27

5.48%

5.09%

0.39%

198

1999/4/29

5.93%

5.41%

0.52%

G

2

=

2 =260( )

g

2

= 2

d

Spread

2

0%~0.75% = 248( )

R

1

6.84% 20% 2

( ) ( )





































∑













××+=××+=

−

=

%,10%,13.16,1%

260

248

0.68%100%7%-,10%,20%,1%100%7% MaxMin

G

g

PortfolioMaxMinR

2

12

1

2

i

R

=

Min

{

Max

( 7.33%, 1% ) , 10%, 13.16% } = 7.33%

=10,000 × 7.33% = 733



3 1999/8/2~2000/8/1

h

= 3

3 1999/7/27~2000/7/25

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

d

CMS

3

]10[

d

CMS

3

]2[

d

Spread

3

1

1999/7/27

6.80%

6.13%

0.67%

67

1999/10/27

7.08%

6.55%

0.53%

133

2000/1/27

7.42%

7.01%

0.41%

199

2000/4/28

7.40%

7.32%

0.08%

2

1999/7/28

6.77%

6.12%

0.65%

68

1999/10/28

6.99%

6.48%

0.51%

134

2000/1/28

7.45%

7.09%

0.36%

200

2000/5/1

7.46%

7.36%

0.10%

3

1999/7/29

6.86%

6.22%

0.64%

69

1999/10/29

6.86%

6.36%

0.50%

135

2000/1/31

7.51%

7.15%

0.36%

201

2000/5/2

7.50%

7.34%

0.16%

4

1999/7/30

6.90%

6.27%

0.63%

70

1999/11/1

6.92%

6.38%

0.54%

136

2000/2/1

7.44%

7.13%

0.31%

202

2000/5/3

7.65%

7.43%

0.22%

5

1999/8/2

6.94%

6.33%

0.61%

71

1999/11/2

6.89%

6.37%

0.52%

137

2000/2/2

7.46%

7.16%

0.30%

203

2000/5/4

7.71%

7.48%

0.23%

6

1999/8/3

6.99%

6.34%

0.65%

72

1999/11/3

6.86%

6.34%

0.52%

138

2000/2/3

7.38%

7.16%

0.22%

204

2000/5/5

7.81%

7.58%

0.23%

7

1999/8/4

6.98%

6.27%

0.71%

73

1999/11/4

6.81%

6.29%

0.52%

139

2000/2/4

7.46%

7.22%

0.24%

205

2000/5/8

7.85%

7.61%

0.24%

8

1999/8/5

6.89%

6.23%

0.66%

74

1999/11/5

6.75%

6.24%

0.51%

140

2000/2/7

7.51%

7.23%

0.28%

206

2000/5/9

7.81%

7.58%

0.23%

9

1999/8/6

7.09%

6.41%

0.68%

75

1999/11/8

6.76%

6.23%

0.53%

141

2000/2/8

7.45%

7.21%

0.24%

207

2000/5/10

7.76%

7.52%

0.24%

10

1999/8/9

7.20%

6.49%

0.71%

76

1999/11/9

6.78%

6.25%

0.53%

142

2000/2/9

7.51%

7.19%

0.32%

208

2000/5/11

7.72%

7.52%

0.20%

11

1999/8/10

7.22%

6.52%

0.70%

77

1999/11/10

6.82%

6.33%

0.49%

143

2000/2/10

7.61%

7.19%

0.42%

209

2000/5/12

7.85%

7.64%

0.21%

12

1999/8/11

7.16%

6.47%

0.69%

78

1999/11/11

6.72%

6.32%

0.40%

144

2000/2/11

7.53%

7.14%

0.39%

210

2000/5/15

7.82%

7.61%

0.21%

13

1999/8/12

7.15%

6.43%

0.72%

79

1999/11/12

6.71%

6.28%

0.43%

145

2000/2/14

7.51%

7.15%

0.36%

211

2000/5/16

7.74%

7.62%

0.12%

14

1999/8/13

7.03%

6.37%

0.66%

80

1999/11/15

6.73%

6.28%

0.45%

146

2000/2/15

7.53%

7.16%

0.37%

212

2000/5/17

7.82%

7.67%

0.15%

15

1999/8/16

6.96%

6.34%

0.62%

81

1999/11/16

6.74%

6.34%

0.40%

147

2000/2/16

7.55%

7.17%

0.38%

213

2000/5/18

7.87%

7.66%

0.21%

16

1999/8/17

6.85%

6.27%

0.58%

82

1999/11/17

6.81%

6.38%

0.43%

148

2000/2/17

7.56%

7.23%

0.33%

214

2000/5/19

7.82%

7.61%

0.21%

17

1999/8/18

6.85%

6.22%

0.63%

83

1999/11/18

6.83%

6.40%

0.43%

149

2000/2/18

7.51%

7.22%

0.29%

215

2000/5/22

7.77%

7.58%

0.19%

18

1999/8/19

6.85%

6.24%

0.61%

84

1999/11/19

6.86%

6.39%

0.47%

150

2000/2/21

7.51%

7.22%

0.29%

216

2000/5/23

7.77%

7.60%

0.17%

19

1999/8/20

6.92%

6.23%

0.69%

85

1999/11/22

6.81%

6.37%

0.44%

151

2000/2/22

7.40%

7.13%

0.27%

217

2000/5/24

7.76%

7.60%

0.16%

20

1999/8/23

6.94%

6.24%

0.70%

86

1999/11/23

6.80%

6.35%

0.45%

152

2000/2/23

7.45%

7.16%

0.29%

218

2000/5/25

7.70%

7.56%

0.14%

21

1999/8/24

6.84%

6.20%

0.64%

87

1999/11/24

6.89%

6.48%

0.41%

153

2000/2/24

7.40%

7.10%

0.30%

219

2000/5/26

7.64%

7.52%

0.12%

22

1999/8/25

6.74%

6.13%

0.61%

88

1999/11/25

6.89%

6.48%

0.41%

154

2000/2/25

7.38%

6.97%

0.41%

220

2000/5/29

7.64%

7.53%

0.11%

23

1999/8/26

6.76%

6.18%

0.58%

89

1999/11/26

6.93%

6.51%

0.42%

155

2000/2/28

7.45%

7.07%

0.38%

221

2000/5/30

7.71%

7.61%

0.10%

24

1999/8/27

6.88%

6.26%

0.62%

90

1999/11/29

7.02%

6.50%

0.52%

156

2000/2/29

7.42%

7.07%

0.35%

222

2000/5/31

7.63%

7.54%

0.09%

25

1999/8/30

6.97%

6.33%

0.64%

91

1999/11/30

6.99%

6.47%

0.52%

157

2000/3/1

7.40%

7.06%

0.34%

223

2000/6/1

7.49%

7.46%

0.03%

26

1999/8/31

6.99%

6.37%

0.62%

92

1999/12/1

6.90%

6.55%

0.35%

158

2000/3/2

7.39%

7.05%

0.34%

224

2000/6/2

7.41%

7.35%

0.06%

27

1999/9/1

7.02%

6.36%

0.66%

93

1999/12/2

7.04%

6.60%

0.44%

159

2000/3/3

7.37%

7.04%

0.33%

225

2000/6/5

7.31%

7.28%

0.03%

91 116

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

28

1999/9/2

7.09%

6.38%

0.71%

94

1999/12/3

6.87%

6.54%

0.33%

160

2000/3/6

7.37%

7.06%

0.31%

226

2000/6/6

7.33%

7.28%

0.05%

29

1999/9/3

6.96%

6.27%

0.69%

95

1999/12/6

6.93%

6.44%

0.49%

161

2000/3/7

7.39%

7.05%

0.34%

227

2000/6/7

7.40%

7.35%

0.05%

30

1999/9/6

6.97%

6.28%

0.69%

96

1999/12/7

6.90%

6.51%

0.39%

162

2000/3/8

7.40%

7.06%

0.34%

228

2000/6/8

7.41%

7.37%

0.04%

31

1999/9/7

7.03%

6.34%

0.69%

97

1999/12/8

6.94%

6.53%

0.41%

163

2000/3/9

7.38%

7.06%

0.32%

229

2000/6/9

7.40%

7.36%

0.04%

32

1999/9/8

6.97%

6.30%

0.67%

98

1999/12/9

6.93%

6.51%

0.42%

164

2000/3/10

7.43%

7.11%

0.32%

230

2000/6/12

7.33%

7.30%

0.03%

33

1999/9/9

6.99%

6.32%

0.67%

99

1999/12/10

6.88%

6.48%

0.40%

165

2000/3/13

7.44%

7.10%

0.34%

231

2000/6/13

7.34%

7.27%

0.07%

34

1999/9/10

6.89%

6.26%

0.63%

100

1999/12/13

6.93%

6.52%

0.41%

166

2000/3/14

7.40%

7.08%

0.32%

232

2000/6/14

7.28%

7.18%

0.10%

35

1999/9/13

6.90%

6.22%

0.68%

101

1999/12/14

7.04%

6.62%

0.42%

167

2000/3/15

7.41%

7.10%

0.31%

233

2000/6/15

7.25%

7.24%

0.01%

36

1999/9/14

6.92%

6.28%

0.64%

102

1999/12/15

7.07%

6.64%

0.43%

168

2000/3/16

7.35%

7.10%

0.25%

234

2000/6/16

7.17%

7.14%

0.03%

37

1999/9/15

6.81%

6.13%

0.68%

103

1999/12/16

7.14%

6.72%

0.42%

169

2000/3/17

7.28%

7.08%

0.20%

235

2000/6/19

7.19%

7.18%

0.01%

38

1999/9/16

6.81%

6.19%

0.62%

104

1999/12/17

7.14%

6.73%

0.41%

170

2000/3/20

7.30%

7.09%

0.21%

236

2000/6/20

7.26%

7.25%

0.01%

39

1999/9/17

6.80%

6.17%

0.63%

105

1999/12/20

7.19%

6.78%

0.41%

171

2000/3/21

7.27%

7.08%

0.19%

237

2000/6/21

7.35%

7.29%

0.06%

40

1999/9/20

6.85%

6.23%

0.62%

106

1999/12/21

7.21%

6.80%

0.41%

172

2000/3/22

7.31%

7.08%

0.23%

238

2000/6/22

7.36%

7.27%

0.09%

41

1999/9/21

6.87%

6.22%

0.65%

107

1999/12/22

7.19%

6.78%

0.41%

173

2000/3/23

7.25%

7.10%

0.15%

239

2000/6/23

7.40%

7.30%

0.10%

42

1999/9/22

6.85%

6.20%

0.65%

108

1999/12/23

7.22%

6.80%

0.42%

174

2000/3/24

7.35%

7.23%

0.12%

240

2000/6/26

7.33%

7.27%

0.06%

43

1999/9/23

6.73%

6.13%

0.60%

109

1999/12/24

7.22%

6.80%

0.42%

175

2000/3/27

7.36%

7.25%

0.11%

241

2000/6/27

7.31%

7.25%

0.06%

44

1999/9/24

6.72%

6.11%

0.61%

110

1999/12/27

7.20%

6.77%

0.43%

176

2000/3/28

7.38%

7.23%

0.15%

242

2000/6/28

7.33%

7.23%

0.10%

45

1999/9/27

6.75%

6.14%

0.61%

111

1999/12/28

7.21%

6.79%

0.42%

177

2000/3/29

7.41%

7.23%

0.18%

243

2000/6/29

7.27%

7.19%

0.08%

46

1999/9/28

6.84%

6.19%

0.65%

112

1999/12/29

7.18%

6.76%

0.42%

178

2000/3/30

7.36%

7.16%

0.20%

244

2000/6/30

7.26%

7.21%

0.05%

47

1999/9/29

6.93%

6.22%

0.71%

113

1999/12/30

7.17%

6.75%

0.42%

179

2000/3/31

7.27%

7.16%

0.11%

245

2000/7/3

7.21%

7.15%

0.06%

48

1999/9/30

6.85%

6.20%

0.65%

114

1999/12/31

7.17%

6.77%

0.40%

180

2000/4/3

7.23%

7.11%

0.12%

246

2000/7/4

7.21%

7.11%

0.10%

49

1999/10/1

6.92%

6.31%

0.61%

115

2000/1/3

7.36%

6.92%

0.44%

181

2000/4/4

7.17%

6.99%

0.18%

247

2000/7/5

7.15%

7.09%

0.06%

50

1999/10/4

6.87%

6.29%

0.58%

116

2000/1/4

7.29%

6.86%

0.43%

182

2000/4/5

7.17%

7.00%

0.17%

248

2000/7/6

7.22%

7.15%

0.07%

51

1999/10/5

6.97%

6.36%

0.61%

117

2000/1/5

7.37%

6.91%

0.46%

183

2000/4/6

7.20%

7.06%

0.14%

249

2000/7/7

7.17%

7.05%

0.12%

52

1999/10/6

6.95%

6.43%

0.52%

118

2000/1/6

7.32%

6.86%

0.46%

184

2000/4/7

7.14%

7.03%

0.11%

250

2000/7/10

7.20%

7.10%

0.10%

53

1999/10/7

6.95%

6.43%

0.52%

119

2000/1/7

7.27%

6.85%

0.42%

185

2000/4/10

7.15%

6.98%

0.17%

251

2000/7/11

7.23%

7.09%

0.14%

54

1999/10/8

6.94%

6.41%

0.53%

120

2000/1/10

7.31%

6.89%

0.42%

186

2000/4/11

7.21%

7.02%

0.19%

252

2000/7/12

7.25%

7.13%

0.12%

55

1999/10/11

6.94%

6.41%

0.53%

121

2000/1/11

7.43%

6.96%

0.47%

187

2000/4/12

7.24%

7.04%

0.20%

253

2000/7/13

7.17%

7.07%

0.10%

56

1999/10/12

6.83%

6.39%

0.44%

122

2000/1/12

7.46%

6.99%

0.47%

188

2000/4/13

7.20%

7.02%

0.18%

254

2000/7/14

7.28%

7.19%

0.09%

57

1999/10/13

6.98%

6.44%

0.54%

123

2000/1/13

7.40%

6.93%

0.47%

189

2000/4/14

7.19%

7.04%

0.15%

255

2000/7/17

7.35%

7.22%

0.13%

58

1999/10/14

7.04%

6.54%

0.50%

124

2000/1/14

7.43%

6.95%

0.48%

190

2000/4/17

7.25%

7.03%

0.22%

256

2000/7/18

7.35%

7.20%

0.15%

59

1999/10/15

6.98%

6.39%

0.59%

125

2000/1/17

7.43%

6.95%

0.48%

191

2000/4/18

7.23%

6.99%

0.24%

257

2000/7/19

7.39%

7.25%

0.14%

60

1999/10/18

7.06%

6.53%

0.53%

126

2000/1/18

7.50%

6.99%

0.51%

192

2000/4/19

7.19%

7.03%

0.16%

258

2000/7/20

7.20%

7.09%

0.11%

61

1999/10/19

7.07%

6.47%

0.60%

127

2000/1/19

7.49%

6.98%

0.51%

193

2000/4/20

7.20%

7.02%

0.18%

259

2000/7/21

7.20%

7.07%

0.13%

62

1999/10/20

7.06%

6.46%

0.60%

128

2000/1/20

7.52%

7.00%

0.52%

194

2000/4/21

7.21%

7.03%

0.18%

260

2000/7/24

7.24%

7.10%

0.14%

63

1999/10/21

7.00%

6.54%

0.46%

129

2000/1/21

7.48%

6.95%

0.53%

195

2000/4/24

7.24%

7.06%

0.18%

261

2000/7/25

7.23%

7.07%

0.16%

64

1999/10/22

7.07%

6.51%

0.56%

130

2000/1/24

7.40%

6.91%

0.49%

196

2000/4/25

7.32%

7.14%

0.18%

65

1999/10/25

7.10%

6.54%

0.56%

131

2000/1/25

7.39%

6.93%

0.46%

197

2000/4/26

7.33%

7.14%

0.19%

66

1999/10/26

7.10%

6.49%

0.61%

132

2000/1/26

7.37%

6.94%

0.43%

198

2000/4/27

7.42%

7.26%

0.16%

G

3

=

3 =261( )

g

3

= 3

d

Spread

3

0%~1.00 % = 261( )

R

1

+

R

2

14.17% 20% 3

( ) ( )





































∑













××+=××+=

−

=

,10%,5.83%,1%

261

0.16%100%7%-,10%,20%,1%100%7% MaxMin

G

g

PortfolioMaxMinR

3

13

1

3

i

R

=

Min

{

Max

( 7.16%, 1% ) , 10%, 5.83% } = 5.83%

=10,000 × 5.83% = 583

3 =

%

i

R 20

3

1

=

∑

=

20% 3 583

2% =10,000 ×2% 200



4

h

= 4,5,…,7

3 =

20%=

∑

=

3

1i

i

R

20% 4 12

LIBOR

R

4+i

=

F

= 2 12 LIBOR

i

= 0,1,2,3

4 7 2 12 LIBOR

92 116

h

2

2 12

LIBOR

4 2000/7/28 7.04%

5 2001/7/30 3.84%

6 2002/7/30 2.07%

7 2003/7/30 1.28%

R

4

=

4 2 12 LIBOR = 7.04% 4

= 10,000 × 7.04% = 704

R

5

=

5 2 12 LIBOR = 3.84% 5

= 10,000 × 3.84% = 384

R

6

=

6 2 12 LIBOR = 2.07% 6

= 10,000 × 2.07% = 207

R

7

=

7 2 12 LIBOR = 1.28% 7

= 10,000 × 1.28% = 128

= = 10,000

3

93 116

h

×

h

h R

h

1. 1

R

1

Max C PR

×

Portfolio

1

2. 2

h=

2,3,4

,...,T

(1)

ett

h

i

RR

arg

1

<

∑

−

=

R

target

( )













×+=

∑

−

=

−

1

arg

,,

h

i

ietthhhhh

RRPortfolioFEDMaxMinR

(2)

etargt

h

i

RR ≥

∑

−

=

1

R

target

R

h+i

= F

i=0,1,2,…,

T-h

( )

3.

K R

target

R

K

AD

K

R

target

C,PR

0

D

h

,E

h

,F

h

T

=

∑

=

H

i

M

1

H

：

M

i

M

i

= 12 /

t

mi

t

mi

i 1

2 3 6 12

AD

K

h

t

mi

12

t

mi

= 12

M

i

= 1 2003/7/3

2003/7/3 2004/7/3 2004/7/3

2005/7/3

F

h Portfolio

h

































−













−













−=

−−−

1,...,1,1

11

2

1

h

N

h

N

h

Underlying

abs

Underlying

abs

Underlying

absMinPortfolio

94 116

N

abs

(

x

)

x

0

n

Underlying

n

h

n

Underlying

n h dh

dh

1.1996 7 31 6

H

= 6 10,000

2. 12

t

mi

=12

M

i

=12/

t

mi

=12/12=1

T

=

∑

=

H

i

M

1

=

∑

=

6

1

i

= 6

3. 5

N

= 5

4.

D

h

=5%

E

h

=4%

F

h

=5%

R

target

=21%

C=

5%

PR

10%

dh

=5

5.

F

2 12 LIBOR

6.

21%

1 2 3 4 5 6

AD

K

0%

2%

3%

4%

5%

6%

7. 5 12 LIBOR

h

5

AXP US

DOW US

GE US

JNJ US

KO US

2

12

LIBOR

Portfolio

h

0 1996/7/31

14.58

24.75 13.71

23.88

46.88

5

1 1997/7/31

1997/7/24

26.54

30.10 23.96

30.94

70.19

1996/7/29

-- 21.62%

2 1998/7/31

1998/7/24

35.69

31.06 30.56

38.28

83.44

1997/7/29

5.97% 3.19%

3 1999/8/1 1999/7/26

45.50

40.33 38.00

48.63

63.06

1998/7/29

5.81% 24.35%

4 2000/7/31

2000/7/24

57.06

29.53 54.00

47.23

59.25

1999/7/29

5.82% 2.88%

5 2001/7/31

2001/7/24

37.80

33.88 44.00

52.71

44.20

2000/7/27

7.05% 11.60%

6 2002/7/31

2002/7/24

30.43

27.45 26.53

47.70

46.85

2001/7/27

3.89% 6.00%

1

h

1 1

Portfolio

1

=









































































−−−−− 1

8846

1970

1

8823

9430

1

7113

9623

1

7524

1030

1

5814

5426

.

,abs

.

,abs

.

,abs

.

,abs

.

absMin

=

Min abs

(82.03%),

abs

(21.62%),

abs

(74.76%),

abs

(29.56%),

abs

(49.72%)

=

Min

82.03%, 21.62%, 74.76%, 29.56%, 49.72% = 21.62%

2

h

2 2

Portfolio

2

=









































































−−−−− 1

1970

4483

1

9430

2838

1

9623

5630

1

1030

0631

1

5426

6935

.

,abs

.

,abs

.

,abs

.

,abs

.

absMin

95 116

=

Min abs

(34.48%),

abs

(3.19%),

abs

(27.55%),

abs

(23.72%),

abs

(18.88%)

=

Min

34.48%, 3.19%, 27.55%, 23.72%, 18.88% = 3.19%

…

6

h

6 6

Portfolio

6

=









































































−−−−− 1

2044

8546

1

7152

7047

1

0044

5326

1

8833

4527

1

8037

4330

.

,abs

.

,abs

.

,abs

.

,abs

.

absMin

=

Min abs

(-19.50%),

abs

(-18.98%),

abs

(-39.70%),

abs

(-9.50%),

abs

(6.00%)

=

Min

19.50%, 18.98%, 39.70%, 9.50%, 6.00% = 6.00%



1

h

1

R

1

Max

5% 10%×

Portfolio

1

Max

5% 2.16% 5%

10000 ×5% 500



2

h

2

R

1

5% 21% 2

R

2

Min

[

Max

5% 4%+5%×

Portfolio

2

21%-5%]

Min

[

Max

5% 4.16% 16%] 5%

10000 ×5% 500



3

h

3

R

1

R

2

5% 5% 10% 21% 3

R

3

Min

[

Max

5% 4%+5%×

Portfolio

3

21%-10%]

Min

[

Max

5% 5.22% 11%] 5.22%

10000 ×5.22% 522



4

h

4

R

1

R

2

R

3

5% 5% 5.22% 15.22% 21% 4

R

4

Min

[

Max

5 % 4%+5%×

Portfolio

4

21%-15.22%]

Min

[

Max

5% 4.14% 6.22%] 5%

10000 ×5% 500



5

h

5

R

1

R

2

R

3

R

4

5% 5% 5.22% 5% 20.22%

21% 5

R

5

Min

[

Max

5% 4%+5%×

Portfolio

5

21%-20.22%]

Min

[

Max

5% 4.58% 0.78%] 0.78%

10000 ×0.78% 78

5

%

i

R 21

5

1

=

∑

=

21%

K

=5 5 78

5% =10,000 ×5% 500



6

h

6

%

i

R 21

5

1

=

∑

=

21% 6

R

6

=

6 2 12 LIBOR = 3.89% 6

96 116

= 10,000

× 3.89% = 389

= = 10,000

97 116

= [ 1 + Max (

) ]

=

∑

=

×

T

h

hh

Portfoliow

1

h Portfolio

h

























−

×=

∑

=

N

n

h

n

h

nh

Underlying

UnderlyingUnderlying

WFMaxPortfolio

1

0

,

T

=

∑

=

H

i

M

1

H

M

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

F

Portfolio

h

N

h

w

h

∑

=

T

n

w

1

=1

h

n

W

n h

∑

=

N

n

h

n

W

1

= 1

0

n

Underlying

n

h

n

Underlying

n h dh

dh

1.1998 6 30 6

H

= 6 10,000

98 116

2.

12

t

mi

= 12

M

i

= 12 /

t

mi

= 12 / 12 = 1

T

=

∑

=

H

i

M

1

=

∑

=

6

1

i

= 6

3. S&P500 DJ Eurostoxx 50 2

1/2

21

==

hh

WW

4.

1/6...

621

==== www

5. 65% 23%

dh

=0

F

=10%

6.

h

S&P500 DJ Eurostoxx 50

Portfolio

h

0 2000/6/30

1454.60 5145.35

1 2001/7/2

1236.72 4304.44 10.00%

2 2002/7/1

968.65 3131.39 10.00%

3 2003/6/30

974.50 2419.51 10.00%

4 2004/6/30

1140.84 2811.08 10.00%

5 2005/6/30

1191.33 3181.54 10.00%

6 2006/6/30

1270.20 3648.92 10.00%

1

h

= 1

( ){ }

%00.10%66.15%,10

35.5145

35.514544.4304

60.1454

60.145472.1236

2

1

%,10

1

=−=





































−

+

−

×= MaxMaxPortfolio

2

h

= 2

( ){ }

%00.10%28.36%,10

35.5145

35.514539.3131

60.1454

60.145465.968

2

1

%,10

2

=−=





































−

+

−

×= MaxMaxPortfolio

……

6

h

= 6

( ){ }

%00.10%88.02%,10

35.5145

35.514592.3648

60.1454

60.145420.1270

2

1

%,10

6

=−=





































−

+

−

×= MaxMaxPortfolio

=

∑

=

6

1h

h

w

×

Portfolio

h

= (10.00% + 10.00% + 10.00% + 10.00% + 10.00% + 10.00% ) / 6 = 10.00%

= [ 1 + Max (

) ]

= 10,000 [ 1 + Max ( 10.00% 65% 23% ) ]

= 10,000 [ 1 + Max ( 6.50% 23% ) ] = 12,300

99 116

=

h

x

h

h R

h

1.

h

= 1 1

R

1

= Min { Max[ (A

1

+ PR

1

Portfolio

1

)

1

G

g

, Floor

1

] , Cap

1

}

2.

h

= 2,3,4,…,

T

2

(1)

Max(BP

1

,BP

2

,…,BP

h-1

)<BP

0

(

1 h-1

)

R

h

= Min { Max[ (A

h

+ PR

h

Portfolio

h

)

h

G

g

, Floor

h

] , Cap

h

}

(2)

Max(BP

1

,BP

2

,…,BP

h-1

)

≥

BP

0

( 1 h-1

)

R

h+i

= F

i=0,1,2,…,T-h (

)

A

h

,PR

h

,Floor

h

,Cap

h

Portfolio

h

h Portfolio

h

=[X]CMS

h

[Y]CMS

h

[

X

]

CMS

h

h dh

(

h

)

X

[

Y

]

CMS

h

h dh

(

h

)

Y

dh

T

=

∑

=

H

i

M

1

H

M

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

h

1 (

h

=1) 1

dh

( )

2 (

h

=2) 1

dh

( 1 )

2

dh

( ) 3 (

h

=3) 2

dh

( 2 ) 3

dh

( )

G

h

g

h

d

h

Spread

Barrier

h

100 116

d

h

Spread

=

d

h

d

h

CMSYCMSX

][][ −

Barrier

h

d

h

CMSX

][

h d

X

d

h

CMSY

][

h d

Y

Y<X X Y

BP

h

h BP

0

F

1.1997 8 1 6

H

= 6 10,000

2. 12

t

mi

= 12

M

i

= 12 /

t

mi

= 12 / 12 = 1

T

=

∑

=

H

i

M

1

=

∑

=

6

1

i

= 6

3. (Constant Maturity Swap, CMS)

4.

A

h

=7% PR

h

=100% Floor

h

=1% Cap

h

=10% X=10 Y=2 BP

0

=1.00 dh=5;

5.

F

2 12 LIBOR

6. [

10

]

CMS

h

[

2

]

CMS

h

Barrier

h

BP

h

h (

5

)

Barrier

h

BP

h

[

10

]

CMS

h

[

2

]

CMS

h

Portfolio

h

1 1998/8/3

1998/7/27 0%~0.50%

0.98 6.03% 5.85% 0.18%

2 1999/8/2

1999/7/26 0%~0.75%

0.99 6.84% 6.16% 0.68%

3 2000/8/1

2000/7/25 0%~1.00%

1.01 7.23% 7.07% 0.16%

4 2001/8/1

2001/7/25 0%~1.50%

1.01 5.99% 4.51% 1.48%

5 2002/8/1

2002/7/25 0%~2.00%

0.99 5.01% 2.68% 2.33%

6 2003/8/1

2003/7/25 0%~2.00%

1.01 4.60% 1.71% 2.89%

1 Portfolio

1

=[

10

]

CMS

1

[

2

]

CMS

1

=6.03% 5.85%=0.18%

2 Portfolio

2

=[

10

]

CMS

2

[

2

]

CMS

2

=6.84% 6.16%=0.68%

…

6 Portfolio

6

=[

10

]

CMS

6

[

2

]

CMS

6

=4.60% 1.71%=2.89%

101 116



1

h

=1

1 (1997/8/1-1998/7/27)

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

d

CMS

1

]10[

d

CMS

1

]2[

d

Spread

1

1997/8/1

6.59%

6.17%

0.42%

67

1997/11/3

6.42%

6.07%

0.35%

133

1998/2/3

6.02%

5.67%

0.35%

199

1998/5/6

6.16%

5.93%

0.23%

2

1997/8/4

6.62%

6.20%

0.42%

68

1997/11/4

6.46%

6.08%

0.38%

134

1998/2/4

6.01%

5.66%

0.35%

200

1998/5/7

6.18%

5.95%

0.23%

3

1997/8/5

6.64%

6.21%

0.43%

69

1997/11/5

6.41%

6.05%

0.36%

135

1998/2/5

6.10%

5.70%

0.40%

201

1998/5/8

6.20%

5.98%

0.22%

4

1997/8/6

6.62%

6.20%

0.42%

70

1997/11/6

6.38%

6.07%

0.31%

136

1998/2/6

6.08%

5.70%

0.38%

202

1998/5/11

6.25%

6.02%

0.23%

5

1997/8/7

6.66%

6.24%

0.42%

71

1997/11/7

6.42%

6.09%

0.33%

137

1998/2/9

6.11%

5.72%

0.39%

203

1998/5/12

6.20%

5.98%

0.22%

6

1997/8/8

6.79%

6.31%

0.48%

72

1997/11/10

6.41%

6.10%

0.31%

138

1998/2/10

6.08%

5.74%

0.34%

204

1998/5/13

6.15%

5.98%

0.17%

7

1997/8/11

6.78%

6.30%

0.48%

73

1997/11/11

6.41%

6.10%

0.31%

139

1998/2/11

6.03%

5.71%

0.32%

205

1998/5/14

6.20%

6.00%

0.20%

8

1997/8/12

6.83%

6.34%

0.49%

74

1997/11/12

6.36%

6.09%

0.27%

140

1998/2/12

6.01%

5.70%

0.31%

206

1998/5/15

6.21%

6.00%

0.21%

9

1997/8/13

6.77%

6.24%

0.53%

75

1997/11/13

6.36%

6.09%

0.27%

141

1998/2/13

5.99%

5.68%

0.31%

207

1998/5/18

6.18%

5.97%

0.21%

10

1997/8/14

6.69%

6.20%

0.49%

76

1997/11/14

6.37%

6.10%

0.27%

142

1998/2/16

5.99%

5.68%

0.31%

208

1998/5/19

6.18%

5.96%

0.22%

11

1997/8/15

6.67%

6.15%

0.52%

77

1997/11/17

6.32%

6.09%

0.23%

143

1998/2/17

5.95%

5.67%

0.28%

209

1998/5/20

6.13%

5.94%

0.19%

12

1997/8/18

6.66%

6.14%

0.52%

78

1997/11/18

6.34%

6.08%

0.26%

144

1998/2/18

5.98%

5.69%

0.29%

210

1998/5/21

6.17%

5.99%

0.18%

13

1997/8/19

6.65%

6.15%

0.50%

79

1997/11/19

6.30%

6.07%

0.23%

145

1998/2/19

6.00%

5.71%

0.29%

211

1998/5/22

6.17%

5.99%

0.18%

14

1997/8/20

6.68%

6.19%

0.49%

80

1997/11/20

6.33%

6.10%

0.23%

146

1998/2/20

6.03%

5.71%

0.32%

212

1998/5/25

6.17%

5.99%

0.18%

15

1997/8/21

6.76%

6.24%

0.52%

81

1997/11/21

6.29%

6.04%

0.25%

147

1998/2/23

6.06%

5.74%

0.32%

213

1998/5/26

6.10%

5.93%

0.17%

16

1997/8/22

6.79%

6.25%

0.54%

82

1997/11/24

6.32%

6.06%

0.26%

148

1998/2/24

6.13%

5.86%

0.27%

214

1998/5/27

6.12%

5.93%

0.19%

17

1997/8/25

6.82%

6.27%

0.55%

83

1997/11/25

6.30%

6.07%

0.23%

149

1998/2/25

6.09%

5.82%

0.27%

215

1998/5/28

6.11%

5.94%

0.17%

18

1997/8/26

6.77%

6.25%

0.52%

84

1997/11/26

6.31%

6.09%

0.22%

150

1998/2/26

6.13%

5.88%

0.25%

216

1998/5/29

6.09%

5.92%

0.17%

19

1997/8/27

6.79%

6.27%

0.52%

85

1997/11/27

6.31%

6.09%

0.22%

151

1998/2/27

6.11%

5.86%

0.25%

217

1998/6/1

6.07%

5.87%

0.20%

20

1997/8/28

6.73%

6.22%

0.51%

86

1997/11/28

6.33%

6.11%

0.22%

152

1998/3/2

6.18%

5.88%

0.30%

218

1998/6/2

6.08%

5.89%

0.19%

21

1997/8/29

6.77%

6.26%

0.51%

87

1997/12/1

6.31%

6.14%

0.17%

153

1998/3/3

6.26%

5.94%

0.32%

219

1998/6/3

6.08%

5.90%

0.18%

22

1997/9/1

6.77%

6.26%

0.51%

88

1997/12/2

6.31%

6.11%

0.20%

154

1998/3/4

6.21%

5.90%

0.31%

220

1998/6/4

6.13%

5.93%

0.20%

23

1997/9/2

6.71%

6.21%

0.50%

89

1997/12/3

6.28%

6.06%

0.22%

155

1998/3/5

6.26%

5.93%

0.33%

221

1998/6/5

6.11%

5.94%

0.17%

24

1997/9/3

6.75%

6.26%

0.49%

90

1997/12/4

6.29%

6.05%

0.24%

156

1998/3/6

6.19%

5.88%

0.31%

222

1998/6/8

6.10%

5.94%

0.16%

25

1997/9/4

6.76%

6.26%

0.50%

91

1997/12/5

6.36%

6.16%

0.20%

157

1998/3/9

6.14%

5.87%

0.27%

223

1998/6/9

6.12%

5.95%

0.17%

26

1997/9/5

6.77%

6.26%

0.51%

92

1997/12/8

6.41%

6.20%

0.21%

158

1998/3/10

6.14%

5.86%

0.28%

224

1998/6/10

6.05%

5.91%

0.14%

27

1997/9/8

6.74%

6.26%

0.48%

93

1997/12/9

6.38%

6.16%

0.22%

159

1998/3/11

6.13%

5.87%

0.26%

225

1998/6/11

5.99%

5.82%

0.17%

28

1997/9/9

6.75%

6.26%

0.49%

94

1997/12/10

6.34%

6.11%

0.23%

160

1998/3/12

6.07%

5.82%

0.25%

226

1998/6/12

5.98%

5.82%

0.16%

29

1997/9/10

6.78%

6.29%

0.49%

95

1997/12/11

6.27%

6.05%

0.22%

161

1998/3/13

6.09%

5.84%

0.25%

227

1998/6/15

5.93%

5.77%

0.16%

30

1997/9/11

6.81%

6.31%

0.50%

96

1997/12/12

6.20%

5.99%

0.21%

162

1998/3/16

6.05%

5.82%

0.23%

228

1998/6/16

6.00%

5.86%

0.14%

31

1997/9/12

6.70%

6.22%

0.48%

97

1997/12/15

6.26%

6.04%

0.22%

163

1998/3/17

6.08%

5.86%

0.22%

229

1998/6/17

6.08%

5.90%

0.18%

32

1997/9/15

6.71%

6.22%

0.49%

98

1997/12/16

6.24%

6.04%

0.20%

164

1998/3/18

6.07%

5.84%

0.23%

230

1998/6/18

6.06%

5.88%

0.18%

33

1997/9/16

6.52%

6.11%

0.41%

99

1997/12/17

6.27%

6.08%

0.19%

165

1998/3/19

6.08%

5.85%

0.23%

231

1998/6/19

6.02%

5.86%

0.16%

34

1997/9/17

6.53%

6.10%

0.43%

100

1997/12/18

6.21%

6.04%

0.17%

166

1998/3/20

6.06%

5.86%

0.20%

232

1998/6/22

6.02%

5.88%

0.14%

35

1997/9/18

6.56%

6.14%

0.42%

101

1997/12/19

6.20%

6.02%

0.18%

167

1998/3/23

6.07%

5.87%

0.20%

233

1998/6/23

6.01%

5.87%

0.14%

36

1997/9/19

6.53%

6.12%

0.41%

102

1997/12/22

6.19%

6.03%

0.16%

168

1998/3/24

6.08%

5.87%

0.21%

234

1998/6/24

6.02%

5.87%

0.15%

37

1997/9/22

6.50%

6.11%

0.39%

103

1997/12/23

6.19%

6.01%

0.18%

169

1998/3/25

6.15%

5.93%

0.22%

235

1998/6/25

6.02%

5.88%

0.14%

38

1997/9/23

6.52%

6.14%

0.38%

104

1997/12/24

6.23%

6.05%

0.18%

170

1998/3/26

6.19%

5.98%

0.21%

236

1998/6/26

6.01%

5.87%

0.14%

39

1997/9/24

6.48%

6.10%

0.38%

105

1997/12/25

6.23%

6.04%

0.19%

171

1998/3/27

6.20%

6.00%

0.20%

237

1998/6/29

6.02%

5.88%

0.14%

40

1997/9/25

6.56%

6.18%

0.38%

106

1997/12/26

6.23%

6.04%

0.19%

172

1998/3/30

6.22%

5.99%

0.23%

238

1998/6/30

6.00%

5.84%

0.16%

41

1997/9/26

6.54%

6.15%

0.39%

107

1997/12/29

6.25%

6.05%

0.20%

173

1998/3/31

6.17%

5.95%

0.22%

239

1998/7/1

5.99%

5.85%

0.14%

42

1997/9/29

6.54%

6.15%

0.39%

108

1997/12/30

6.27%

6.04%

0.23%

174

1998/4/1

6.10%

5.94%

0.16%

240

1998/7/2

5.97%

5.82%

0.15%

43

1997/9/30

6.55%

6.15%

0.40%

109

1997/12/31

6.22%

6.01%

0.21%

175

1998/4/2

6.08%

5.90%

0.18%

241

1998/7/3

5.97%

5.82%

0.15%

44

1997/10/1

6.49%

6.12%

0.37%

110

1998/1/1

6.22%

6.00%

0.22%

176

1998/4/3

6.01%

5.82%

0.19%

242

1998/7/6

5.96%

5.81%

0.15%

45

1997/10/2

6.46%

6.09%

0.37%

111

1998/1/2

6.12%

5.93%

0.19%

177

1998/4/6

6.04%

5.83%

0.21%

243

1998/7/7

5.99%

5.82%

0.17%

46

1997/10/3

6.44%

6.04%

0.40%

112

1998/1/5

6.01%

5.92%

0.09%

178

1998/4/7

6.06%

5.84%

0.22%

244

1998/7/8

5.99%

5.83%

0.16%

47

1997/10/6

6.42%

6.01%

0.41%

113

1998/1/6

5.96%

5.75%

0.21%

179

1998/4/8

6.11%

5.86%

0.25%

245

1998/7/9

5.96%

5.80%

0.16%

48

1997/10/7

6.38%

5.98%

0.40%

114

1998/1/7

6.01%

5.79%

0.22%

180

1998/4/9

6.10%

5.87%

0.23%

246

1998/7/10

5.97%

5.79%

0.18%

49

1997/10/8

6.55%

6.10%

0.45%

115

1998/1/8

5.98%

5.68%

0.30%

181

1998/4/10

6.10%

5.87%

0.23%

247

1998/7/13

6.04%

5.84%

0.20%

50

1997/10/9

6.54%

6.10%

0.44%

116

1998/1/9

5.94%

5.57%

0.37%

182

1998/4/13

6.17%

5.94%

0.23%

248

1998/7/14

6.05%

5.84%

0.21%

51

1997/10/10

6.60%

6.18%

0.42%

117

1998/1/12

5.90%

5.56%

0.34%

183

1998/4/14

6.12%

5.93%

0.19%

249

1998/7/15

6.05%

5.83%

0.22%

52

1997/10/13

6.61%

6.18%

0.43%

118

1998/1/13

5.95%

5.65%

0.30%

184

1998/4/15

6.10%

5.92%

0.18%

250

1998/7/16

6.06%

5.84%

0.22%

53

1997/10/14

6.54%

6.14%

0.40%

119

1998/1/14

5.96%

5.65%

0.31%

185

1998/4/16

6.09%

5.89%

0.20%

251

1998/7/17

6.07%

5.84%

0.23%

54

1997/10/15

6.58%

6.16%

0.42%

120

1998/1/15

5.97%

5.63%

0.34%

186

1998/4/17

6.10%

5.90%

0.20%

252

1998/7/20

6.03%

5.84%

0.19%

55

1997/10/16

6.57%

6.18%

0.39%

121

1998/1/16

6.03%

5.72%

0.31%

187

1998/4/20

6.16%

5.95%

0.21%

253

1998/7/21

6.00%

5.83%

0.17%

56

1997/10/17

6.64%

6.26%

0.38%

122

1998/1/19

6.03%

5.71%

0.32%

188

1998/4/21

6.17%

5.97%

0.20%

254

1998/7/22

6.02%

5.84%

0.18%

57

1997/10/20

6.62%

6.24%

0.38%

123

1998/1/20

6.07%

5.73%

0.34%

189

1998/4/22

6.17%

5.97%

0.20%

255

1998/7/23

6.00%

5.84%

0.16%

58

1997/10/21

6.61%

6.24%

0.37%

124

1998/1/21

6.03%

5.69%

0.34%

190

1998/4/23

6.19%

5.99%

0.20%

256

1998/7/24

6.02%

5.86%

0.16%

59

1997/10/22

6.60%

6.25%

0.35%

125

1998/1/22

6.06%

5.68%

0.38%

191

1998/4/24

6.15%

5.98%

0.17%

257

1998/7/27

6.03%

5.85%

0.18%

60

1997/10/23

6.49%

6.15%

0.34%

126

1998/1/23

6.18%

5.75%

0.43%

192

1998/4/27

6.26%

6.06%

0.20%

61

1997/10/24

6.47%

6.10%

0.37%

127

1998/1/26

6.11%

5.72%

0.39%

193

1998/4/28

6.30%

6.09%

0.21%

62

1997/10/27

6.50%

6.16%

0.34%

128

1998/1/27

6.16%

5.79%

0.37%

194

1998/4/29

6.30%

6.10%

0.20%

63

1997/10/28

6.50%

6.10%

0.40%

129

1998/1/28

6.16%

5.79%

0.37%

195

1998/4/30

6.17%

5.97%

0.20%

102 116

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

64

1997/10/29

6.40%

6.00%

0.40%

130

1998/1/29

6.04%

5.70%

0.34%

196

1998/5/1

6.16%

5.97%

0.19%

65

1997/10/30

6.35%

6.00%

0.35%

131

1998/1/30

5.99%

5.66%

0.33%

197

1998/5/4

6.16%

5.97%

0.19%

66

1997/10/31

6.37%

6.02%

0.35%

132

1998/2/2

6.05%

5.71%

0.34%

198

1998/5/5

6.21%

6.01%

0.20%

G

1

= 1 =257( )

g

1

= 1

d

Spread

1

0%~0.5% ( )

=245( )

( )

























××+=

























××+= %10,%1,

257

245

%18.0%100%7,,

11

1

1111

MaxMinCapFloor

G

g

PortfolioPRAMaxMinR

(

)

[

]

%84.6%10,%1%,84.6

=

MaxMin

1 =10,000 6.84%=684



2 h =2

(

)

(

)

00.198.098.0

01

=<== BPMaxBPMax

R

2

= Min { Max[ (A

2

+ PR

2

Portfolio

2

)

2

G

g

, Floor

2

] , Cap

2

}

2 (1998/7/28~1999/7/26)

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

d

CMS

2

]10[

d

CMS

2

]2[

d

Spread

2

1

1998/7/28

6.05%

5.85%

0.20%

67

1998/10/28

5.38%

4.60%

0.78%

133

1999/1/28

5.44%

5.11%

0.33%

199

1999/4/30

6.06%

5.51%

0.55%

2

1998/7/29

6.08%

5.90%

0.18%

68

1998/10/29

5.32%

4.59%

0.73%

134

1999/1/29

5.40%

5.13%

0.27%

200

1999/5/3

6.06%

5.52%

0.54%

3

1998/7/30

6.06%

5.89%

0.17%

69

1998/10/30

5.37%

4.70%

0.67%

135

1999/2/1

5.46%

5.15%

0.31%

201

1999/5/4

6.10%

5.54%

0.56%

4

1998/7/31

6.05%

5.88%

0.17%

70

1998/11/2

5.57%

4.84%

0.73%

136

1999/2/2

5.53%

5.21%

0.32%

202

1999/5/5

6.08%

5.54%

0.54%

5

1998/8/3

6.01%

5.85%

0.16%

71

1998/11/3

5.52%

4.80%

0.72%

137

1999/2/3

5.59%

5.22%

0.37%

203

1999/5/6

6.17%

5.60%

0.57%

6

1998/8/4

5.98%

5.80%

0.18%

72

1998/11/4

5.63%

4.96%

0.67%

138

1999/2/4

5.62%

5.26%

0.36%

204

1999/5/7

6.20%

5.59%

0.61%

7

1998/8/5

6.01%

5.83%

0.18%

73

1998/11/5

5.64%

5.03%

0.61%

139

1999/2/5

5.68%

5.31%

0.37%

205

1999/5/10

6.18%

5.55%

0.63%

8

1998/8/6

6.03%

5.82%

0.21%

74

1998/11/6

5.68%

5.12%

0.56%

140

1999/2/8

5.68%

5.30%

0.38%

206

1999/5/11

6.21%

5.58%

0.63%

9

1998/8/7

6.00%

5.78%

0.22%

75

1998/11/9

5.58%

5.09%

0.49%

141

1999/2/9

5.65%

5.26%

0.39%

207

1999/5/12

6.21%

5.57%

0.64%

10

1998/8/10

6.00%

5.78%

0.22%

76

1998/11/10

5.54%

5.03%

0.51%

142

1999/2/10

5.69%

5.25%

0.44%

208

1999/5/13

6.12%

5.51%

0.61%

11

1998/8/11

6.01%

5.76%

0.25%

77

1998/11/11

5.54%

5.03%

0.51%

143

1999/2/11

5.70%

5.32%

0.38%

209

1999/5/14

6.34%

5.68%

0.66%

12

1998/8/12

6.00%

5.75%

0.25%

78

1998/11/12

5.51%

5.02%

0.49%

144

1999/2/12

5.81%

5.34%

0.47%

210

1999/5/17

6.35%

5.69%

0.66%

13

1998/8/13

6.05%

5.80%

0.25%

79

1998/11/13

5.55%

5.05%

0.50%

145

1999/2/15

5.83%

5.39%

0.44%

211

1999/5/18

6.37%

5.75%

0.62%

14

1998/8/14

6.01%

5.74%

0.27%

80

1998/11/16

5.63%

5.10%

0.53%

146

1999/2/16

5.78%

5.37%

0.41%

212

1999/5/19

6.33%

5.76%

0.57%

15

1998/8/17

6.03%

5.75%

0.28%

81

1998/11/17

5.61%

5.07%

0.54%

147

1999/2/17

5.74%

5.36%

0.38%

213

1999/5/20

6.36%

5.76%

0.60%

16

1998/8/18

6.05%

5.76%

0.29%

82

1998/11/18

5.59%

5.04%

0.55%

148

1999/2/18

5.80%

5.37%

0.43%

214

1999/5/21

6.31%

5.72%

0.59%

17

1998/8/19

6.05%

5.77%

0.28%

83

1998/11/19

5.58%

5.11%

0.47%

149

1999/2/19

5.82%

5.41%

0.41%

215

1999/5/24

6.29%

5.73%

0.56%

18

1998/8/20

6.05%

5.76%

0.29%

84

1998/11/20

5.55%

5.12%

0.43%

150

1999/2/22

5.77%

5.42%

0.35%

216

1999/5/25

6.28%

5.72%

0.56%

19

1998/8/21

6.04%

5.68%

0.36%

85

1998/11/23

5.61%

5.19%

0.42%

151

1999/2/23

5.84%

5.47%

0.37%

217

1999/5/26

6.35%

5.80%

0.55%

20

1998/8/24

6.09%

5.69%

0.40%

86

1998/11/24

5.58%

5.20%

0.38%

152

1999/2/24

5.91%

5.55%

0.36%

218

1999/5/27

6.40%

5.86%

0.54%

21

1998/8/25

6.06%

5.66%

0.40%

87

1998/11/25

5.60%

5.21%

0.39%

153

1999/2/25

6.07%

5.66%

0.41%

219

1999/5/28

6.41%

5.86%

0.55%

22

1998/8/26

6.00%

5.62%

0.38%

88

1998/11/26

5.59%

5.20%

0.39%

154

1999/2/26

6.03%

5.64%

0.39%

220

1999/5/31

6.42%

5.86%

0.56%

23

1998/8/27

5.91%

5.52%

0.39%

89

1998/11/27

5.58%

5.17%

0.41%

155

1999/3/1

6.13%

5.68%

0.45%

221

1999/6/1

6.55%

5.99%

0.56%

24

1998/8/28

5.89%

5.48%

0.41%

90

1998/11/30

5.53%

5.07%

0.46%

156

1999/3/2

6.09%

5.68%

0.41%

222

1999/6/2

6.56%

5.99%

0.57%

25

1998/8/31

5.81%

5.36%

0.45%

91

1998/12/1

5.49%

5.05%

0.44%

157

1999/3/3

6.14%

5.66%

0.48%

223

1999/6/3

6.60%

5.99%

0.61%

26

1998/9/1

5.89%

5.46%

0.43%

92

1998/12/2

5.46%

5.00%

0.46%

158

1999/3/4

6.18%

5.69%

0.49%

224

1999/6/4

6.59%

6.00%

0.59%

27

1998/9/2

5.85%

5.47%

0.38%

93

1998/12/3

5.40%

4.91%

0.49%

159

1999/3/5

6.07%

5.59%

0.48%

225

1999/6/7

6.59%

6.01%

0.58%

28

1998/9/3

5.80%

5.45%

0.35%

94

1998/12/4

5.48%

5.04%

0.44%

160

1999/3/8

6.05%

5.60%

0.45%

226

1999/6/8

6.61%

6.01%

0.60%

29

1998/9/4

5.78%

5.43%

0.35%

95

1998/12/7

5.50%

5.10%

0.40%

161

1999/3/9

5.97%

5.49%

0.48%

227

1999/6/9

6.67%

6.06%

0.61%

30

1998/9/7

5.78%

5.43%

0.35%

96

1998/12/8

5.43%

5.03%

0.40%

162

1999/3/10

6.00%

5.54%

0.46%

228

1999/6/10

6.71%

6.09%

0.62%

31

1998/9/8

5.78%

5.41%

0.37%

97

1998/12/9

5.42%

5.02%

0.40%

163

1999/3/11

6.00%

5.53%

0.47%

229

1999/6/11

6.84%

6.15%

0.69%

32

1998/9/9

5.66%

5.26%

0.40%

98

1998/12/10

5.33%

4.97%

0.36%

164

1999/3/12

5.96%

5.49%

0.47%

230

1999/6/14

6.81%

6.11%

0.70%

33

1998/9/10

5.57%

5.15%

0.42%

99

1998/12/11

5.46%

5.03%

0.43%

165

1999/3/15

5.95%

5.47%

0.48%

231

1999/6/15

6.81%

6.12%

0.69%

34

1998/9/11

5.65%

5.19%

0.46%

100

1998/12/14

5.42%

4.98%

0.44%

166

1999/3/16

5.89%

5.44%

0.45%

232

1999/6/16

6.76%

6.04%

0.72%

35

1998/9/14

5.66%

5.22%

0.44%

101

1998/12/15

5.46%

5.02%

0.44%

167

1999/3/17

5.91%

5.45%

0.46%

233

1999/6/17

6.61%

5.93%

0.68%

36

1998/9/15

5.68%

5.24%

0.44%

102

1998/12/16

5.40%

4.92%

0.48%

168

1999/3/18

5.90%

5.44%

0.46%

234

1999/6/18

6.63%

5.98%

0.65%

37

1998/9/16

5.66%

5.24%

0.42%

103

1998/12/17

5.43%

5.01%

0.42%

169

1999/3/19

5.96%

5.49%

0.47%

235

1999/6/21

6.68%

6.02%

0.66%

38

1998/9/17

5.61%

5.18%

0.43%

104

1998/12/18

5.42%

5.01%

0.41%

170

1999/3/22

5.98%

5.51%

0.47%

236

1999/6/22

6.73%

6.05%

0.68%

39

1998/9/18

5.54%

5.17%

0.37%

105

1998/12/21

5.49%

5.08%

0.41%

171

1999/3/23

5.94%

5.45%

0.49%

237

1999/6/23

6.85%

6.14%

0.71%

40

1998/9/21

5.54%

5.16%

0.38%

106

1998/12/22

5.54%

5.11%

0.43%

172

1999/3/24

5.96%

5.46%

0.50%

238

1999/6/24

6.87%

6.14%

0.73%

41

1998/9/22

5.56%

5.16%

0.40%

107

1998/12/23

5.62%

5.24%

0.38%

173

1999/3/25

6.00%

5.49%

0.51%

239

1999/6/25

6.86%

6.16%

0.70%

42

1998/9/23

5.51%

5.05%

0.46%

108

1998/12/24

5.63%

5.26%

0.37%

174

1999/3/26

6.00%

5.47%

0.53%

240

1999/6/28

6.79%

6.10%

0.69%

103 116

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

43

1998/9/24

5.43%

4.95%

0.48%

109

1998/12/25

5.64%

5.27%

0.37%

175

1999/3/29

6.05%

5.47%

0.58%

241

1999/6/29

6.78%

6.14%

0.64%

44

1998/9/25

5.39%

4.93%

0.46%

110

1998/12/28

5.56%

5.21%

0.35%

176

1999/3/30

5.98%

5.42%

0.56%

242

1999/6/30

6.62%

5.99%

0.63%

45

1998/9/28

5.40%

4.95%

0.45%

111

1998/12/29

5.50%

5.16%

0.34%

177

1999/3/31

6.01%

5.43%

0.58%

243

1999/7/1

6.69%

6.04%

0.65%

46

1998/9/29

5.37%

4.95%

0.42%

112

1998/12/30

5.46%

5.12%

0.34%

178

1999/4/1

6.04%

5.46%

0.58%

244

1999/7/2

6.67%

6.05%

0.62%

47

1998/9/30

5.22%

4.79%

0.43%

113

1998/12/31

5.45%

5.11%

0.34%

179

1999/4/2

5.99%

5.43%

0.56%

245

1999/7/5

6.66%

6.04%

0.62%

48

1998/10/1

5.17%

4.73%

0.44%

114

1999/1/1

5.45%

5.13%

0.32%

180

1999/4/5

5.98%

5.42%

0.56%

246

1999/7/6

6.70%

6.07%

0.63%

49

1998/10/2

5.17%

4.75%

0.42%

115

1999/1/4

5.43%

5.10%

0.33%

181

1999/4/6

5.90%

5.37%

0.53%

247

1999/7/7

6.74%

6.08%

0.66%

50

1998/10/5

5.10%

4.64%

0.46%

116

1999/1/5

5.45%

5.16%

0.29%

182

1999/4/7

5.89%

5.38%

0.51%

248

1999/7/8

6.67%

6.04%

0.63%

51

1998/10/6

5.13%

4.68%

0.45%

117

1999/1/6

5.47%

5.10%

0.37%

183

1999/4/8

5.82%

5.35%

0.47%

249

1999/7/9

6.67%

6.07%

0.60%

52

1998/10/7

5.29%

4.77%

0.52%

118

1999/1/7

5.53%

5.16%

0.37%

184

1999/4/9

5.83%

5.35%

0.48%

250

1999/7/12

6.60%

6.01%

0.59%

53

1998/10/8

5.48%

4.82%

0.66%

119

1999/1/8

5.64%

5.25%

0.39%

185

1999/4/12

5.82%

5.37%

0.45%

251

1999/7/13

6.59%

6.01%

0.58%

54

1998/10/9

5.70%

4.92%

0.78%

120

1999/1/11

5.70%

5.31%

0.39%

186

1999/4/13

5.87%

5.38%

0.49%

252

1999/7/14

6.62%

6.05%

0.57%

55

1998/10/12

5.70%

4.91%

0.79%

121

1999/1/12

5.62%

5.21%

0.41%

187

1999/4/14

5.89%

5.40%

0.49%

253

1999/7/15

6.63%

6.07%

0.56%

56

1998/10/13

5.66%

4.82%

0.84%

122

1999/1/13

5.54%

5.13%

0.41%

188

1999/4/15

5.93%

5.42%

0.51%

254

1999/7/16

6.56%

6.00%

0.56%

57

1998/10/14

5.55%

4.82%

0.73%

123

1999/1/14

5.45%

5.05%

0.40%

189

1999/4/16

5.97%

5.47%

0.50%

255

1999/7/19

6.56%

5.99%

0.57%

58

1998/10/15

5.43%

4.71%

0.72%

124

1999/1/15

5.52%

5.10%

0.42%

190

1999/4/19

5.90%

5.41%

0.49%

256

1999/7/20

6.53%

5.94%

0.59%

59

1998/10/16

5.34%

4.56%

0.78%

125

1999/1/18

5.50%

5.10%

0.40%

191

1999/4/20

5.90%

5.42%

0.48%

257

1999/7/21

6.55%

5.93%

0.62%

60

1998/10/19

5.33%

4.55%

0.78%

126

1999/1/19

5.50%

5.05%

0.45%

192

1999/4/21

5.93%

5.44%

0.49%

258

1999/7/22

6.67%

6.04%

0.63%

61

1998/10/20

5.41%

4.61%

0.80%

127

1999/1/20

5.52%

5.16%

0.36%

193

1999/4/22

5.99%

5.49%

0.50%

259

1999/7/23

6.73%

6.12%

0.61%

62

1998/10/21

5.41%

4.65%

0.76%

128

1999/1/21

5.46%

5.10%

0.36%

194

1999/4/23

5.99%

5.48%

0.51%

260

1999/7/26

6.84%

6.16%

0.68%

63

1998/10/22

5.45%

4.67%

0.78%

129

1999/1/22

5.42%

5.06%

0.36%

195

1999/4/26

5.94%

5.46%

0.48%

64

1998/10/23

5.55%

4.70%

0.85%

130

1999/1/25

5.42%

5.09%

0.33%

196

1999/4/27

5.95%

5.44%

0.51%

65

1998/10/26

5.49%

4.67%

0.82%

131

1999/1/26

5.48%

5.11%

0.37%

197

1999/4/28

5.98%

5.47%

0.51%

66

1998/10/27

5.42%

4.62%

0.80%

132

1999/1/27

5.48%

5.09%

0.39%

198

1999/4/29

5.93%

5.41%

0.52%

G

2

= 2 =260( )

g

2

= 2

d

Spread

2

0%~0.75% ( )

=248( )

( )

























××+=

























××+= %10,%1,

260

248

%68.0%100%7,,

22

2

2222

MaxMinCapFloor

G

g

PortfolioPRAMaxMinR

(

)

[

]

%33.7%10,%1%,33.7

=

MaxMin

2 =10,000 7.33%=733



3 h =3

(

)

(

)

00.199.099.0,98.0,

021

=<== BPMaxBPBPMax

R

3

= Min { Max[ (A

3

+ PR

3

Portfolio

3

)

3

G

g

, Floor

3

] , Cap

3

}

3 (1999/7/27~2000/7/25)

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

d

CMS

3

]10[

d

CMS

3

]2[

d

Spread

3

1

1999/7/27

6.80%

6.13%

0.67%

67

1999/10/27

7.08%

6.55%

0.53%

133

2000/1/27

7.42%

7.01%

0.41%

199

2000/4/28

7.40%

7.32%

0.08%

2

1999/7/28

6.77%

6.12%

0.65%

68

1999/10/28

6.99%

6.48%

0.51%

134

2000/1/28

7.45%

7.09%

0.36%

200

2000/5/1

7.46%

7.36%

0.10%

3

1999/7/29

6.86%

6.22%

0.64%

69

1999/10/29

6.86%

6.36%

0.50%

135

2000/1/31

7.51%

7.15%

0.36%

201

2000/5/2

7.50%

7.34%

0.16%

4

1999/7/30

6.90%

6.27%

0.63%

70

1999/11/1

6.92%

6.38%

0.54%

136

2000/2/1

7.44%

7.13%

0.31%

202

2000/5/3

7.65%

7.43%

0.22%

5

1999/8/2

6.94%

6.33%

0.61%

71

1999/11/2

6.89%

6.37%

0.52%

137

2000/2/2

7.46%

7.16%

0.30%

203

2000/5/4

7.71%

7.48%

0.23%

6

1999/8/3

6.99%

6.34%

0.65%

72

1999/11/3

6.86%

6.34%

0.52%

138

2000/2/3

7.38%

7.16%

0.22%

204

2000/5/5

7.81%

7.58%

0.23%

7

1999/8/4

6.98%

6.27%

0.71%

73

1999/11/4

6.81%

6.29%

0.52%

139

2000/2/4

7.46%

7.22%

0.24%

205

2000/5/8

7.85%

7.61%

0.24%

8

1999/8/5

6.89%

6.23%

0.66%

74

1999/11/5

6.75%

6.24%

0.51%

140

2000/2/7

7.51%

7.23%

0.28%

206

2000/5/9

7.81%

7.58%

0.23%

9

1999/8/6

7.09%

6.41%

0.68%

75

1999/11/8

6.76%

6.23%

0.53%

141

2000/2/8

7.45%

7.21%

0.24%

207

2000/5/10

7.76%

7.52%

0.24%

10

1999/8/9

7.20%

6.49%

0.71%

76

1999/11/9

6.78%

6.25%

0.53%

142

2000/2/9

7.51%

7.19%

0.32%

208

2000/5/11

7.72%

7.52%

0.20%

11

1999/8/10

7.22%

6.52%

0.70%

77

1999/11/10

6.82%

6.33%

0.49%

143

2000/2/10

7.61%

7.19%

0.42%

209

2000/5/12

7.85%

7.64%

0.21%

12

1999/8/11

7.16%

6.47%

0.69%

78

1999/11/11

6.72%

6.32%

0.40%

144

2000/2/11

7.53%

7.14%

0.39%

210

2000/5/15

7.82%

7.61%

0.21%

13

1999/8/12

7.15%

6.43%

0.72%

79

1999/11/12

6.71%

6.28%

0.43%

145

2000/2/14

7.51%

7.15%

0.36%

211

2000/5/16

7.74%

7.62%

0.12%

14

1999/8/13

7.03%

6.37%

0.66%

80

1999/11/15

6.73%

6.28%

0.45%

146

2000/2/15

7.53%

7.16%

0.37%

212

2000/5/17

7.82%

7.67%

0.15%

15

1999/8/16

6.96%

6.34%

0.62%

81

1999/11/16

6.74%

6.34%

0.40%

147

2000/2/16

7.55%

7.17%

0.38%

213

2000/5/18

7.87%

7.66%

0.21%

16

1999/8/17

6.85%

6.27%

0.58%

82

1999/11/17

6.81%

6.38%

0.43%

148

2000/2/17

7.56%

7.23%

0.33%

214

2000/5/19

7.82%

7.61%

0.21%

17

1999/8/18

6.85%

6.22%

0.63%

83

1999/11/18

6.83%

6.40%

0.43%

149

2000/2/18

7.51%

7.22%

0.29%

215

2000/5/22

7.77%

7.58%

0.19%

18

1999/8/19

6.85%

6.24%

0.61%

84

1999/11/19

6.86%

6.39%

0.47%

150

2000/2/21

7.51%

7.22%

0.29%

216

2000/5/23

7.77%

7.60%

0.17%

19

1999/8/20

6.92%

6.23%

0.69%

85

1999/11/22

6.81%

6.37%

0.44%

151

2000/2/22

7.40%

7.13%

0.27%

217

2000/5/24

7.76%

7.60%

0.16%

20

1999/8/23

6.94%

6.24%

0.70%

86

1999/11/23

6.80%

6.35%

0.45%

152

2000/2/23

7.45%

7.16%

0.29%

218

2000/5/25

7.70%

7.56%

0.14%

104 116

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

21

1999/8/24

6.84%

6.20%

0.64%

87

1999/11/24

6.89%

6.48%

0.41%

153

2000/2/24

7.40%

7.10%

0.30%

219

2000/5/26

7.64%

7.52%

0.12%

22

1999/8/25

6.74%

6.13%

0.61%

88

1999/11/25

6.89%

6.48%

0.41%

154

2000/2/25

7.38%

6.97%

0.41%

220

2000/5/29

7.64%

7.53%

0.11%

23

1999/8/26

6.76%

6.18%

0.58%

89

1999/11/26

6.93%

6.51%

0.42%

155

2000/2/28

7.45%

7.07%

0.38%

221

2000/5/30

7.71%

7.61%

0.10%

24

1999/8/27

6.88%

6.26%

0.62%

90

1999/11/29

7.02%

6.50%

0.52%

156

2000/2/29

7.42%

7.07%

0.35%

222

2000/5/31

7.63%

7.54%

0.09%

25

1999/8/30

6.97%

6.33%

0.64%

91

1999/11/30

6.99%

6.47%

0.52%

157

2000/3/1

7.40%

7.06%

0.34%

223

2000/6/1

7.49%

7.46%

0.03%

26

1999/8/31

6.99%

6.37%

0.62%

92

1999/12/1

6.90%

6.55%

0.35%

158

2000/3/2

7.39%

7.05%

0.34%

224

2000/6/2

7.41%

7.35%

0.06%

27

1999/9/1

7.02%

6.36%

0.66%

93

1999/12/2

7.04%

6.60%

0.44%

159

2000/3/3

7.37%

7.04%

0.33%

225

2000/6/5

7.31%

7.28%

0.03%

28

1999/9/2

7.09%

6.38%

0.71%

94

1999/12/3

6.87%

6.54%

0.33%

160

2000/3/6

7.37%

7.06%

0.31%

226

2000/6/6

7.33%

7.28%

0.05%

29

1999/9/3

6.96%

6.27%

0.69%

95

1999/12/6

6.93%

6.44%

0.49%

161

2000/3/7

7.39%

7.05%

0.34%

227

2000/6/7

7.40%

7.35%

0.05%

30

1999/9/6

6.97%

6.28%

0.69%

96

1999/12/7

6.90%

6.51%

0.39%

162

2000/3/8

7.40%

7.06%

0.34%

228

2000/6/8

7.41%

7.37%

0.04%

31

1999/9/7

7.03%

6.34%

0.69%

97

1999/12/8

6.94%

6.53%

0.41%

163

2000/3/9

7.38%

7.06%

0.32%

229

2000/6/9

7.40%

7.36%

0.04%

32

1999/9/8

6.97%

6.30%

0.67%

98

1999/12/9

6.93%

6.51%

0.42%

164

2000/3/10

7.43%

7.11%

0.32%

230

2000/6/12

7.33%

7.30%

0.03%

33

1999/9/9

6.99%

6.32%

0.67%

99

1999/12/10

6.88%

6.48%

0.40%

165

2000/3/13

7.44%

7.10%

0.34%

231

2000/6/13

7.34%

7.27%

0.07%

34

1999/9/10

6.89%

6.26%

0.63%

100

1999/12/13

6.93%

6.52%

0.41%

166

2000/3/14

7.40%

7.08%

0.32%

232

2000/6/14

7.28%

7.18%

0.10%

35

1999/9/13

6.90%

6.22%

0.68%

101

1999/12/14

7.04%

6.62%

0.42%

167

2000/3/15

7.41%

7.10%

0.31%

233

2000/6/15

7.25%

7.24%

0.01%

36

1999/9/14

6.92%

6.28%

0.64%

102

1999/12/15

7.07%

6.64%

0.43%

168

2000/3/16

7.35%

7.10%

0.25%

234

2000/6/16

7.17%

7.14%

0.03%

37

1999/9/15

6.81%

6.13%

0.68%

103

1999/12/16

7.14%

6.72%

0.42%

169

2000/3/17

7.28%

7.08%

0.20%

235

2000/6/19

7.19%

7.18%

0.01%

38

1999/9/16

6.81%

6.19%

0.62%

104

1999/12/17

7.14%

6.73%

0.41%

170

2000/3/20

7.30%

7.09%

0.21%

236

2000/6/20

7.26%

7.25%

0.01%

39

1999/9/17

6.80%

6.17%

0.63%

105

1999/12/20

7.19%

6.78%

0.41%

171

2000/3/21

7.27%

7.08%

0.19%

237

2000/6/21

7.35%

7.29%

0.06%

40

1999/9/20

6.85%

6.23%

0.62%

106

1999/12/21

7.21%

6.80%

0.41%

172

2000/3/22

7.31%

7.08%

0.23%

238

2000/6/22

7.36%

7.27%

0.09%

41

1999/9/21

6.87%

6.22%

0.65%

107

1999/12/22

7.19%

6.78%

0.41%

173

2000/3/23

7.25%

7.10%

0.15%

239

2000/6/23

7.40%

7.30%

0.10%

42

1999/9/22

6.85%

6.20%

0.65%

108

1999/12/23

7.22%

6.80%

0.42%

174

2000/3/24

7.35%

7.23%

0.12%

240

2000/6/26

7.33%

7.27%

0.06%

43

1999/9/23

6.73%

6.13%

0.60%

109

1999/12/24

7.22%

6.80%

0.42%

175

2000/3/27

7.36%

7.25%

0.11%

241

2000/6/27

7.31%

7.25%

0.06%

44

1999/9/24

6.72%

6.11%

0.61%

110

1999/12/27

7.20%

6.77%

0.43%

176

2000/3/28

7.38%

7.23%

0.15%

242

2000/6/28

7.33%

7.23%

0.10%

45

1999/9/27

6.75%

6.14%

0.61%

111

1999/12/28

7.21%

6.79%

0.42%

177

2000/3/29

7.41%

7.23%

0.18%

243

2000/6/29

7.27%

7.19%

0.08%

46

1999/9/28

6.84%

6.19%

0.65%

112

1999/12/29

7.18%

6.76%

0.42%

178

2000/3/30

7.36%

7.16%

0.20%

244

2000/6/30

7.26%

7.21%

0.05%

47

1999/9/29

6.93%

6.22%

0.71%

113

1999/12/30

7.17%

6.75%

0.42%

179

2000/3/31

7.27%

7.16%

0.11%

245

2000/7/3

7.21%

7.15%

0.06%

48

1999/9/30

6.85%

6.20%

0.65%

114

1999/12/31

7.17%

6.77%

0.40%

180

2000/4/3

7.23%

7.11%

0.12%

246

2000/7/4

7.21%

7.11%

0.10%

49

1999/10/1

6.92%

6.31%

0.61%

115

2000/1/3

7.36%

6.92%

0.44%

181

2000/4/4

7.17%

6.99%

0.18%

247

2000/7/5

7.15%

7.09%

0.06%

50

1999/10/4

6.87%

6.29%

0.58%

116

2000/1/4

7.29%

6.86%

0.43%

182

2000/4/5

7.17%

7.00%

0.17%

248

2000/7/6

7.22%

7.15%

0.07%

51

1999/10/5

6.97%

6.36%

0.61%

117

2000/1/5

7.37%

6.91%

0.46%

183

2000/4/6

7.20%

7.06%

0.14%

249

2000/7/7

7.17%

7.05%

0.12%

52

1999/10/6

6.95%

6.43%

0.52%

118

2000/1/6

7.32%

6.86%

0.46%

184

2000/4/7

7.14%

7.03%

0.11%

250

2000/7/10

7.20%

7.10%

0.10%

53

1999/10/7

6.95%

6.43%

0.52%

119

2000/1/7

7.27%

6.85%

0.42%

185

2000/4/10

7.15%

6.98%

0.17%

251

2000/7/11

7.23%

7.09%

0.14%

54

1999/10/8

6.94%

6.41%

0.53%

120

2000/1/10

7.31%

6.89%

0.42%

186

2000/4/11

7.21%

7.02%

0.19%

252

2000/7/12

7.25%

7.13%

0.12%

55

1999/10/11

6.94%

6.41%

0.53%

121

2000/1/11

7.43%

6.96%

0.47%

187

2000/4/12

7.24%

7.04%

0.20%

253

2000/7/13

7.17%

7.07%

0.10%

56

1999/10/12

6.83%

6.39%

0.44%

122

2000/1/12

7.46%

6.99%

0.47%

188

2000/4/13

7.20%

7.02%

0.18%

254

2000/7/14

7.28%

7.19%

0.09%

57

1999/10/13

6.98%

6.44%

0.54%

123

2000/1/13

7.40%

6.93%

0.47%

189

2000/4/14

7.19%

7.04%

0.15%

255

2000/7/17

7.35%

7.22%

0.13%

58

1999/10/14

7.04%

6.54%

0.50%

124

2000/1/14

7.43%

6.95%

0.48%

190

2000/4/17

7.25%

7.03%

0.22%

256

2000/7/18

7.35%

7.20%

0.15%

59

1999/10/15

6.98%

6.39%

0.59%

125

2000/1/17

7.43%

6.95%

0.48%

191

2000/4/18

7.23%

6.99%

0.24%

257

2000/7/19

7.39%

7.25%

0.14%

60

1999/10/18

7.06%

6.53%

0.53%

126

2000/1/18

7.50%

6.99%

0.51%

192

2000/4/19

7.19%

7.03%

0.16%

258

2000/7/20

7.20%

7.09%

0.11%

61

1999/10/19

7.07%

6.47%

0.60%

127

2000/1/19

7.49%

6.98%

0.51%

193

2000/4/20

7.20%

7.02%

0.18%

259

2000/7/21

7.20%

7.07%

0.13%

62

1999/10/20

7.06%

6.46%

0.60%

128

2000/1/20

7.52%

7.00%

0.52%

194

2000/4/21

7.21%

7.03%

0.18%

260

2000/7/24

7.24%

7.10%

0.14%

63

1999/10/21

7.00%

6.54%

0.46%

129

2000/1/21

7.48%

6.95%

0.53%

195

2000/4/24

7.24%

7.06%

0.18%

261

2000/7/25

7.23%

7.07%

0.16%

64

1999/10/22

7.07%

6.51%

0.56%

130

2000/1/24

7.40%

6.91%

0.49%

196

2000/4/25

7.32%

7.14%

0.18%

65

1999/10/25

7.10%

6.54%

0.56%

131

2000/1/25

7.39%

6.93%

0.46%

197

2000/4/26

7.33%

7.14%

0.19%

66

1999/10/26

7.10%

6.49%

0.61%

132

2000/1/26

7.37%

6.94%

0.43%

198

2000/4/27

7.42%

7.26%

0.16%

G

3

= 3 =261( )

g

3

= 3

d

Spread

3

0%~1.00% ( )

= 261( )

( )

























××+=

























××+= %10,%1,

261

%16.0%100%7,,

33

3

3333

MaxMinCapFloor

G

g

PortfolioPRAMaxMinR

(

)

[

]

%16.7%10,%1%,16.7 == MaxMin

3 =10,000 7.16%=716



4 h=4,5,6

(

)

(

)

00.101.101.1,99.0,98.0,,

0321

=

≥

=

BPMaxBPBPBPMax

R

4+i

= F = 2 12 LIBOR i = 0,1,2

R

4

= 4 2 12 LIBOR = 7.04% 4 = 10,000 7.04%

105 116

= 704

R

5

= 5 2 12 LIBOR = 3.84% 5 = 10,000 3.84%

= 384

R

6

= 6 2 12 LIBOR = 2.07% 6 = 10,000 2.07%

= 207

= = 10,000

106 116

= ×[1 + Max ( ×

)]

∑

=

×=

T

h

hh

Returnw

1

Return

h

d

Basket

(

)

1..,,.........,,

321

−=

h

G

hhh

h

BasketBasketBasketBasketMax

0

,

1

n

dh

n

N

n

h

n

h

d

Underlying

WBasket ×=

∑

=

T

T =

∑

=

H

i

M

1

H

M

i

i M

i

= 12 / t

mi

t

mi

i 1

2 3 6 12

h

t

mi

3

t

mi

=3,M

i

=4 2002/1/15

2002/1/15 2002/4/15 2002/4/15 2002/7/15

w

h

n

W

n h

1

=

∑

=

N

n

h

n

W

Return

h

G

h

N

0

n

Underlying

n

dh

n

Underlying

,

n h d

1. 1998 6 30 6 H = 6 10,000

2. 3 t

mi

= 3 M

i

= 12 / t

mi

= 12 / 3 = 4 T =

∑

=

H

i

M

1

=

∑

=

6

1

4

i

= 24

3.

3 N =3 3

3/1

321

===

hhh

WWW

4. w

1

= w

2

= … w

24

=1/24

107 116

5.

65% 6 23%

6.

S&P500

DJ EUROSTOXX50

TOPIX

Basket

1998/6/30

1133.84 3406.82 1230.38

1998/7/1 1148.56 3464.96 1270.75 102.10%

1998/7/2 1146.42 3471.65 1270.46 102.09%

1998/7/6 1157.31 3518.79 1258.45 102.55%

1998/7/7 1154.66 3530.93 1264.81 102.76%

1998/7/8 1166.37 3553.07 1268.4 103.42%

1998/7/9 1158.56 3542.2 1262.28 102.92%

1998/7/10

1164.33 3532.65 1241.5 102.43%

1998/7/13

1165.19 3551.74 1256.44 103.05%

1998/7/14

1177.58 3576.68 1266.65 103.93%

1998/7/15

1174.81 3602.83 1275.31 104.34%

1998/7/16

1183.99 3613.4 1280.73 104.86%

1998/7/17

1186.75 3658.48 1277.95 105.31%

1998/7/21

1165.07 3649.96 1277.17 104.56%

1998/7/22

1164.08 3582.12 1257.85 103.35%

1998/7/23

1139.75 3582.16 1249.87 102.42%

1998/7/24

1140.8 3570.67 1258.01 102.56%

1998/7/27

1147.27 3512.62 1233.98 101.53%

1998/7/28

1130.24 3499.87 1242.22 101.13%

1998/7/29

1125.21 3494.53 1240.7 100.88%

1998/7/30

1142.95 3529.5 1248.19 101.95%

1998/7/31

1120.67 3480.63 1262.04 101.19%

1998/8/3 1112.44 3422.75 1245.24 99.93%

1998/8/4 1072.12 3412.66 1234.61 98.36%

1998/8/5 1081.43 3344.15 1235.78 97.99%

1998/8/6 1089.63 3290.5 1227.09 97.47%

1998/8/7 1089.45 3348.61 1225.3 97.99%

1998/8/10

1083.14 3282.7 1207.09 96.66%

1998/8/11

1068.98 3187.44 1186.88 94.77%

1998/8/12

1084.22 3248.14 1180 95.62%

1998/8/13

1074.91 3240.83 1181.71 95.32%

1998/8/14

1062.75 3284.47 1168.8 95.04%

1998/8/17

1083.67 3277.21 1152.03 95.13%

1998/8/18

1101.2 3389.88 1166.72 97.15%

1998/8/19

1098.06 3400.07 1183.71 97.62%

1998/8/20

1091.6 3349.23 1181.67 96.88%

1998/8/21

1081.18 3209.05 1176.51 95.06%

1998/8/24

1088.14 3202.96 1158.3 94.71%

1998/8/25

1092.86 3282.91 1162.58 95.75%

1998/8/26

1084.19 3186.77 1147.21 94.13%

1998/8/27

1042.59 3063.83 1116.97 90.89%

1998/8/28

1027.14 3009.74 1086.99 89.09%

1998/8/31

957.28 2978.12 1106.49 87.26%

1998/9/1 994.24 2950.01 1110.15 88.17%

1998/9/2 990.47 3035.73 1118.76 89.13%

1998/9/3 982.26 2971.38 1113.77 88.12%

1998/9/4 973.89 3003.66 1094.47 87.67%

1998/9/8 1023.46 3105.31 1131.01 91.11%

1998/9/9 1006.2 3051.49 1116.01 89.67%

1998/9/10

980.19 2903.71 1109.91 87.30%

1998/9/11

1009.06 2890.98 1071.48 86.98%

1998/9/14

1029.72 2968.55 1084.16 88.69%

1998/9/16

1045.48 2971.83 1087.5 89.28%

1998/9/17

1018.87 2826.22 1069.06 86.57%

1998/9/18

1020.09 2781.69 1073.22 86.28%

1998/9/21

1023.89 2658.27 1047.79 84.50%

1998/9/22

1029.63 2726.32 1050.17 85.40%

1998/9/24

1042.72 2789.07 1078.01 87.15%

1998/9/25

1044.75 2743.04 1049.93 86.00%

1998/9/28

1048.69 2785.63 1063.52 86.90%

1998/9/29

1049.02 2760.26 1062.9 86.64%

1998/9/30

1017.01 2670.97 1043.57 84.30%

Basket 105.31%

Basket

1998/7/1

1

Basket

102.10%

1230.38

1270.75

3406.82

3464.96

1133.84

1148.56

3

1

=

++×













1998/7/2

1

2

Basket

102.09%

1230.38

1270.46

3406.82

3471.65

1133.84

1146.42

3

1

=

++×













…

1998/9/30

1

G1

Basket

84.30%

1230.38

1043.57

3406.82

2670.97

1133.84

1017.01

3

1

=

++×













Return

1

=Max (102.10%,102.09%,…,84.30%)-1

=105.31%-1

=5.31%

108 116

S&P500

DJ EUROSTOXX50

TOPIX

Basket

1998/6/30

1133.84 3406.82 1230.38

1998/10/1

986.39 2533.07 1015.72 81.30%

1998/10/2

1002.6 2488.59 1014.02 81.30%

1998/10/5

988.56 2445.89 996.69 80.00%

1998/10/6

984.59 2586.69 996.95 81.26%

1998/10/7

970.68 2541.08 1046.98 81.76%

1998/10/8

959.44 2419.23 1001.5 79.01%

1998/10/9

984.39 2469.87 982.5 79.72%

1998/10/12

997.71 2628.44 1023.34 82.77%

1998/10/13

994.8 2674.13 998.98 82.47%

1998/10/14

1005.53 2742.95 984.18 83.06%

1998/10/15

1047.49 2741.34 980.11 84.17%

1998/10/16

1056.42 2780.89 1006.68 85.54%

1998/10/19

1062.39 2779.79 1022.92 86.14%

1998/10/20

1063.93 2863.89 1043.02 87.56%

1998/10/21

1069.92 2818.18 1071.83 88.07%

1998/10/22

1078.48 2797.33 1074.29 88.18%

1998/10/23

1070.67 2806.22 1068.15 87.87%

1998/10/26

1072.32 2829.55 1048.74 87.62%

1998/10/27

1065.34 2910.1 1042.98 88.05%

1998/10/28

1068.09 2845.3 1028.61 87.11%

1998/10/29

1085.93 2832.82 1037.1 87.74%

1998/10/30

1098.67 2887.11 1035.6 88.60%

1998/11/2

1111.6 2952.04 1065.84 90.44%

1998/11/4

1118.67 3030.34 1107.36 92.54%

1998/11/5

1133.85 2975.7 1104.57 92.37%

1998/11/6

1141.01 2972.25 1089.47 92.14%

1998/11/9

1130.2 2957.79 1084.16 91.54%

1998/11/10

1128.26 2918.94 1078.32 90.94%

1998/11/11

1120.97 2935.14 1098.12 91.42%

1998/11/12

1117.69 2929.19 1082.93 90.86%

1998/11/13

1125.72 2924.97 1093.52 91.34%

1998/11/16

1135.86 3000.97 1105.5 92.71%

1998/11/17

1139.32 2982.07 1107.65 92.68%

1998/11/18

1144.48 2974.98 1113.42 92.92%

1998/11/19

1152.61 3049.68 1104 93.63%

1998/11/20

1163.55 3133.49 1130.74 95.50%

1998/11/24

1182.99 3163.88 1155.61 97.04%

1998/11/25

1186.87 3167.24 1153.68 97.14%

1998/11/27

1192.29 3261.19 1158.35 98.34%

1998/11/30

1163.63 3179.09 1143.5 96.29%

1998/12/1

1175.28 3056.11 1142.26 95.40%

1998/12/2

1171.25 3017.89 1147.15 95.04%

1998/12/3

1150.14 3064.55 1128.89 94.38%

1998/12/4

1176.74 3079.64 1120.72 95.09%

1998/12/7

1187.7 3095.55 1125 95.68%

1998/12/8

1181.38 3102.99 1131.99 95.76%

1998/12/9

1183.49 3111.96 1140.74 96.15%

1998/12/10

1165.02 3106.59 1139.78 95.52%

1998/12/11

1166.46 3048.92 1118.16 94.42%

1998/12/14

1141.2 3045.14 1100.31 93.15%

1998/12/15

1162.83 3069.72 1089.27 93.73%

1998/12/16

1161.94 3114.53 1093.39 94.25%

1998/12/17

1179.98 3148.97 1092.26 95.09%

1998/12/18

1188.03 3123.38 1101.7 95.33%

1998/12/21

1202.84 3225.6 1099.12 96.70%

1998/12/22

1203.57 3248.07 1082.46 96.49%

1998/12/28

1225.49 3331.51 1079.89 97.88%

1998/12/29

1241.81 3354.71 1088.83 98.83%

1998/12/30

1231.93 3342.32 1086.99 98.37%

Basket 98.83%

Basket

1998/10/1

2

1

Basket

81.30%

1230.38

1015.72

3406.82

2533.07

1133.84

986.39

3

1

=

++×













1998/10/2

2

Basket

81.30%

1230.38

1014.02

3406.82

2488.59

1133.84

1002.6

3

1

=

++×













…

1998/12/30

2

G2

Basket

%37.89

1230.38

1086.99

3406.82

3342.32

1133.84

1231.93

3

1

=

++×













Return

2

=Max (81.30%,81.30%,…,98.37%)-1

=98.83%-1

=-1.17%

109 116

S&P500 DJ EUROSTOXX50

TOPIX

Basket

1998/6/30 1133.84 3406.82 1230.38

2004/3/31 1126.21 2787.49 1179.23 92.33%

2004/4/1 1132.17 2819.7 1175.01 92.71%

2004/4/2 1141.81 2885.08 1184.2 93.88%

2004/4/5 1150.57 2905.88 1199.24 94.75%

2004/4/6 1148.16 2865.03 1209.44 94.55%

2004/4/7 1140.53 2851.83 1204.81 94.07%

2004/4/8 1139.32 2858.92 1209.89 94.25%

2004/4/13 1129.44 2889.91 1216.6 94.44%

2004/4/14 1128.17 2856.61 1217.87 94.11%

2004/4/15 1128.84 2854.53 1194.67 93.48%

2004/4/16 1134.61 2866.95 1196.18 93.81%

2004/4/19 1135.82 2859.24 1182.97 93.42%

2004/4/20 1118.15 2878.8 1204.37 93.67%

2004/4/21 1124.09 2855.46 1203.59 93.59%

2004/4/22 1139.93 2877.65 1205.8 94.34%

2004/4/23 1140.6 2894.18 1209.62 94.62%

2004/4/26 1135.53 2886.05 1210.96 94.43%

2004/4/27 1138.11 2884.82 1204.94 94.33%

2004/4/28 1122.41 2836.67 1206.92 93.45%

2004/4/30 1107.3 2787.48 1186.31 91.97%

2004/5/6 1113.99 2765.74 1165.24 91.38%

2004/5/7 1098.7 2756.85 1150.89 90.45%

2004/5/10 1087.12 2684.96 1085.54 87.64%

2004/5/11 1095.45 2721.08 1088.89 88.33%

2004/5/12 1097.28 2680.1 1122.31 88.89%

2004/5/13 1096.44 2712.5 1095.93 88.46%

2004/5/14 1095.7 2694.92 1091.51 88.15%

2004/5/17 1084.1 2659.85 1053.77 86.44%

2004/5/18 1091.49 2675.75 1076.21 87.43%

2004/5/19 1088.68 2729.52 1106.16 88.68%

2004/5/20 1089.19 2708.55 1104.89 88.46%

2004/5/21 1093.56 2697.46 1125.21 89.03%

2004/5/24 1095.41 2716.07 1130.89 89.42%

2004/5/25 1113.05 2699.36 1115.66 89.36%

2004/5/26 1114.94 2729.62 1127.24 90.02%

2004/5/27 1121.28 2752.02 1126.64 90.41%

2004/5/28 1120.68 2736.83 1142.38 90.67%

2004/6/1 1121.2 2713.29 1144.27 90.51%

2004/6/2 1124.99 2730.15 1136.87 90.59%

2004/6/3 1116.64 2736.72 1119.56 89.94%

2004/6/4 1122.5 2767.87 1124.97 90.56%

2004/6/7 1140.42 2799.81 1151.67 92.12%

2004/6/8 1142.18 2800.36 1157.92 92.35%

2004/6/9 1131.33 2787.39 1152.77 91.76%

2004/6/10 1136.47 2800.18 1162.06 92.29%

2004/6/14 1125.29 2759.27 1158.54 91.47%

2004/6/15 1132.01 2785.68 1151.3 91.73%

2004/6/16 1133.56 2807.15 1167.09 92.41%

2004/6/17 1132.05 2807.16 1166.78 92.36%

2004/6/18 1135.02 2822.06 1149.88 92.13%

2004/6/21 1130.3 2816.56 1165.25 92.36%

2004/6/22 1134.41 2782.43 1162.31 92.06%

2004/6/23 1144.06 2793.63 1156.16 92.29%

2004/6/24 1140.65 2822.35 1168.96 92.82%

2004/6/25 1134.43 2818.86 1172.44 92.69%

2004/6/28 1133.35 2840.04 1186.6 93.25%

2004/6/29 1136.2 2828.59 1187.01 93.24%

2004/6/30 1140.84 2811.08 1189.6 93.27%

Basket 94.75%

Basket

2004/3/31

24

1

Basket

92.33%

1230.38

1179.23

3406.82

2787.49

1133.84

1126.21

3

1

=

++×













2004/4/1

24

2

Basket

92.71%

1230.38

1175.01

3406.82

2819.7

1133.84

1132.17

3

1

=

++×













…

2004/6/30

24

G

24

Basket

93.27%

1230.38

1189.6

3406.82

2811.08

1133.84

1140.84

3

1

=

++×













Return

24

= Max(92.33%,92.71%,…, 93.27%)-1

= 94.75%-1

= -5.25%

110 116

Return

i

Return

i

1 5.31%

2 -1.17%

3 8.14%

4 15.95%

5 21.21%

6 37.70%

7 44.29%

8 42.42%

9 39.52%

10 31.96%

11 22.15%

12 20.71%

13 12.85%

14 0.44%

15 1.70%

16 -0.72%

17 -11.70%

18 -22.29%

19 -24.63%

20 -21.37%

21 -14.77%

22 -12.19%

23 -6.53%

24 -5.25%

=

( ) ( ) ( )

[ ]

5.25%6.53%.8.14%.....1.17%5.31%

24

1

−+−++−+×

=7.66%

= 10,000 [1+Max (7.66% 65% ,23%)]

=12,300

111 116

= × MAX[1 BP

end

BP

sup

× PR

sup

]

h x h

h R

h

R

h

= Min { Max[ (PR

h

× BP

h

A

h

) , Floor

h

] , Cap

h

}

CPPI Constant Proportion Portfolio Insurance

CPPI

K

0

K

max

100%

K

h

1

÷ BP

h

×

T

T =

∑

=

H

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

BP

h

h dh

BP

0

BP

end

dh

BP

sup

dh

A

h

PR

h

Floor

h

Cap

h

PR

sup

112 116

K

max

K

0

K

h

K

h

1 ÷ BP

h

× K

h

K

max

K

max

K

max

K

0

1.1998 6 30 6 H = 6 10,000

2. S&P 500 Index

3. 12 t

mi

= 12 M

i

= 12 / t

mi

= 12 / 12 = 1 T =

∑

=

H

i

M

1

=

6

4.A

h

= 110% PR

h

=100% BP

0

= 1 Floor

h

= 0% Cap

h

= 100% dh = 0 = 10% PR

sup

=

80%

5. BP

h

6

BP

sup

2001/09/25 1.4020

h h BP

h

0 1998/06/30 1.0000

1 1999/06/30 1.0930

2 2000/06/30 1.2652

3 2001/06/29 1.3115

4 2002/06/29 1.3030

5 2003/06/30 1.3280

6 2004/06/29 1.3500



1 h = 1

R

1

= Min { Max[ (100% × 1.0930-110%

) , 0%] , 100% }= 0%

1 = 10,000 × 0% = 0



2 h = 2

R2 = Min { Max[ ( 100% × 1.2652-110%) , 0%] , 100% }= 16.52%

2 = 10,000 × 16.52% = 1,652



3 h = 3

R

3

= Min { Max[ (100% × 1.3115-110%

) , 0%] , 100% }= 21.15%

3 = 10,000 × 21.15% = 2,115



4 h = 4

113 116

R

4

= Min { Max[ (100% × 1.3030-110%

) , 0%] , 100% }= 20.30%

4 = 10,000 × 20.30% = 2,030



5 h = 5

R

5

= Min { Max[ (100% × 1.3280-110%

) , 0%] , 100% }= 22.80%

5 = 10,000 × 22.80% = 2,280



6 h = 6

R

6

= Min { Max[ (100% × 1.3500-110%

) , 0%] , 100% }= 25.00%

6 = 10,000 × 25.00% = 2,500

= × MAX[1 BP

end

BP

sup

× PR

sup

]

= 10,000 × MAX[1 BP

6

BP

sup

× PR

sup

]

= 10,000 × MAX[1 10% 1.35 1.4020 × 80%]

= 10,000 × 135%

= 13,500

114 116

×[1 + Max ( × )]

=

∑

=

T

h

Portfolio

1

























×=

−

=

∑

1

,

h

n

h

n

h

n

N

n

h

nh

Underlying

UnderlyingUnderlying

WCMinPortfolio

T

T =

∑

=

H

i

M

1

H

M

i

i M

i

= 12 / t

mi

t

mi

i

1 2 3 6 12

h

t

mi

3 t

mi

= 3 M

i

= 4 2002/1/15

2002/1/15 2002/4/15

2002/4/15 2002/7/15

Portfolio

h

C

N

h

n

W

n h

1

=

∑

=

N

n

h

n

W

0

n

Underlying

n

h

n

Underlying

n h dh

dh

1.1998 6 30 6 H = 6 10,000

2. 3 t

mi

= 3 M

i

= 12 / t

mi

= 12 / 3 = 4 T =

∑

=

H

i

M

1

=

∑

=

6

1

4

i

= 24

3.

3 N = 3 3

3/1

321

===

hhh

WWW

4.C=8.5% 100% 6 23% dh=0

115 116

h

S&P500

DJ EUROSTOXX50

TOPIX

Portfolio

h

1998/6/30 1133.84 3406.82 1230.38

1

1998/9/30 1017.01 2670.97 1043.57 -15.70%

2

1998/12/30 1231.93 3342.32 1086.99 8.50%

3

1999/3/30 1300.75 3523.24 1269.24 8.50%

4

1999/6/30 1372.71 3788.66 1416.2 8.21%

5

1999/9/30 1282.71 3669.71 1506.83 -1.10%

6

1999/12/30 1464.47 4904.46 1722.2 8.50%

7

2000/3/30 1487.92 5251.97 1712.45 2.71%

8

2000/6/30 1454.6 5145.35 1591.6 -3.78%

9

2000/10/2 1436.23 4961.88 1491.68 -3.70%

10

2001/1/4 1333.34 4752.71 1280.94 -8.50%

11

2001/3/30 1160.33 4185 1277.27 -8.40%

12

2001/7/2 1236.72 4304.44 1286.92 3.40%

13

2001/10/1 1038.55 3208.31 1047.03 -20.04%

14

2002/1/4 1172.51 3820.42 1053.96 8.50%

15

2002/4/2 1136.76 3743.96 1068.69 -1.22%

16

2002/7/1 968.65 3131.39 1028.63 -11.63%

17

2002/9/30 815.28 2204.39 921.05 -18.63%

18

2002/12/30 879.39 2386.41 843.29 2.56%

19

2003/3/31 848.18 2036.86 788 -8.25%

20

2003/6/30 974.5 2419.51 903.44 8.50%

21

2003/9/30 995.97 2395.87 1018.8 4.67%

22

2003/12/30 1109.64 2750.09 1043.69 8.50%

23

2004/3/30 1127 2791.58 1175.51 5.23%

24

2004/6/30 1140.84 2811.08 1189.6 1.04%

( )

15.70%

% 15.70%,8.5,8.5%

1230.38

1230.381043.57

3406.82

3406.822670.97

1133.84

1133.841017.01

3

1

−=−=

−

+

−

+

−

×=

























MinMinPortfolio

( )

8.5%% 16.81%,8.5,8.5%

1043.57

1043.571086.99

2670.97

2670.973342.32

1017.01

1017.011231.93

3

1

2

==

−

+

−

+

−

×=

























MinMinPortfolio

……

( )

1.04%1.04%,8.5%,8.5%

1175.51

1175.511189.6

2791.58

2791.582811.08

1127

1127-1140.84

3

1

==

−

+

−

+×=

























MinMinPortfolio

24

-15.70% +8.5%+……+5.23%+1.04% -0.92%

×[1 + Max ( × )]

10,000 × 1 Max (-0.92%) × 100% 23%

10,000 × 1+23% 12,300

116 116

【

【【

【附件五

附件五附件五

附件五】

】】

】完

完完

完全

全全

全殘

殘殘

殘廢

廢廢

廢程

程程

程度

度度

度表

表表

表

(舊版)全球人壽全球精選變額萬能壽險

網站提醒

商品所屬公司

其他投資型保險

免費註冊，享受完整功能

(舊版)全球人壽全球精選變額萬能壽險

網站提醒

商品所屬公司

其他投資型保險