(舊版)全球人壽樂活變額年金保險
這是主約保險
這張保險可以單獨購買，也可以搭配其他附約保險一起購買。
這是終身險
可以保障終身，你可以選擇要分幾期繳完，假設選擇30年期，代表保費要繳30年，每年保費都不會變，30年後就不用再繳保費，可以保障一輩子。
這張保險還沒做好 :(
保險商品真的太多了......再給我們一點時間。
如果急著想了解這張商品，問問網站其他會員，
可以得到即時的建議哦！
1 59
: (96) ( ) 102204
: 96 10 22
: (96) ( ) 110502
: 96 11 05
: (96) ( ) 123109
: 96 12 31
全球人壽
全球人壽全球人壽
全球人壽樂活變額年金保
樂活變額年金保樂活變額年金保
樂活變額年金保險
險險
險
:
契約條款
契約條款契約條款
契約條款
0800-000-662
10 15 20 3
(http://www.aegon.com.tw)
2 59
(http://www.aegon.com.tw)
(http://www.aegon.com.tw)
3 59
( )
( )
( )
(http://www.aegon.com.tw)
4 59
5 59
( )
6 59
1 1
7 59
8 59
9 59
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http://www.aegon.com.tw
:
11 59
12 59
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【
【【
【附件一
附件一附件一
附件一】
】】
】費用結構
費用結構費用結構
費用結構
全球人壽
全球人壽全球人壽
全球人壽樂活變額年金保險
樂活變額年金保險樂活變額年金保險
樂活變額年金保險保險公司收取之相關費用表
保險公司收取之相關費用表保險公司收取之相關費用表
保險公司收取之相關費用表
1 0.085
2
14 59
15 59
全球人壽
全球人壽全球人壽
全球人壽樂活
樂活樂活
樂活變額年金
變額年金變額年金
變額年金保險
保險保險
保險投資機構收取之相關費用表
投資機構收取之相關費用表投資機構收取之相關費用表
投資機構收取之相關費用表
( )
( )
6.25%
6.25%
6.25%
6.25%
6.25%
6.25%
2010
5.25%
2020
5.25%
5.25%
5.25%
1.5%
0.0%
0.0%
0.0%
5.75%
1.5%
1.5%
0.0%
0.0%
0.0%
6.0%
6.0%
B
6.0%
6.0%
5.0%
3.0%
3.0%
5.0%
2015
2.0%
2020
2.0%
2030
2.0%
5.0%
5.0%
5.0%
1.5%
1.5%
JF
2.0%
JF
1.5%
JF
2.0%
JF
2.0%
α
2.0%
35
2.0%
5.0%
( iShares S P 500 Index Fund )
1%
100
(PowerShares QQQ Nasdaq 100)
1%
100
1%
16 59
( iShares S&P Global 100 Index Fund )
50
1%
350 ( iShares
S&P
Europe 350 Index Fund )
1%
( )
( iShares MSCI Pacific ex-Japan
Index
Fund )
1%
MSCI ( iShares
MSCI
Japan Index Fund )
1%
1-3 ( iShares
Lehman 1-3 Year Treasury Bond Fund )
1%
7-10 ( iShares
Lehman 7-10 Year Treasury Bond Fund )
1%
(iShares
iBoxx $ Investment Grade
Corporate
Bond Fund)
1%
10%
Exchange Traded Funds, ETFs
1%
3%
17 59
【
【【
【附件二
附件二附件二
附件二】
】】
】投資標的說明
投資標的說明投資標的說明
投資標的說明
2030
2010
2020
JF
JF
JF
α
35
B
2015
2020
18 59
JF
( iShares S P 500
Index Fund )
Barclays Global Investors
100 (PowerShares
QQQ Nasdaq 100)
PowerShares Capital
Management
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)
( 2)
( 2)
( 2)
( 3)
19 59
1 Exchange Traded Funds, ETFs
2
0
365
3
1.
2.
(1)
(2)
( )
1.
3%
【 】
20 59
5%
【 】
2.
( )
投資標的分類
轉出/部分提領/解約計
價日
轉入計價日
T
( )
1.
2.
(1)
(2)
3.
21 59
【
【【
【附件三
附件三附件三
附件三】
】】
】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
22 59
3.
02-8722-6999
( ) Credit Suisse International
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
--
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. KOSPI200 93%
3. 1990 1 3 100
Nasdaq 100 Index 100
1. NASDAQ
2. 1985 1 125
Dow Jones Industrial Average
1. 30
2. NYSE 15~20%
Nasdaq Composite Index
1. 5,400 Nasdaq
2. 1971 2 5 100
Hang Seng Index
23 59
1.
2. 70%
3. 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. 16
2. 1993 12 1 ( 100)
NASDAQ Biotech Index ( )
1.
2. 1993 11 1 ( 200)
DJ Global Titan Index ( )
50 DJ Global Titan Index 2003 12 31 27%
Straits Times Index ( )
1.
2. (Singapore Press Holdings)
60%
S&P/ASX 200 Index ( ASX200 )
1. ASX200 200
2. 2002 6 30 ASX200 90%
Thailand Set 50 Index ( SET50 )
1. SET50 50
2. 1995 8 16 100
II
( )London Inter-Bank Offering Rate (Libor )
1. 11 00 Telerate Page 3750
2. (British
Bankers Association) 25% 25%
( )Hong Kong Interbank Offered Rate (Hibor )
1. “HIBOR” “Hong Kong Interbank Offer Rate”
24 59
2.
11:00 Telerate Page 9898
( ) Constant Maturity Swap (CMS )
1. 1 30
2. (USD swap rate or USE CMS) (Euro swap
rate or Euro CMS)
(1) (USD swap rate or USE 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(
)
1 3M CO 2 ABB Ltd 3 Abbott Laboratories
4 ABENGOA SA 5 ABERTIS INFRAESTRUCTURAS SA 6 ABN Amro Holding NV
7 Acciona SA 8 Adidas AG 9 ADV MICRO DEVICES INC
10 Advantest Corp 11
Aeon Co Ltd 12
Affymetrix Inc
13 Agilent Technologies Inc 14
AGNICO EAGLE MINES LTD 15
Agrium Inc
16 AGUAS DE BARCELONA 17
Ajinomoto Co Inc 18
Alcatel SA
19 ALCOA INC 20
Alinta Ltd 21
All Nippon Airways Co Ltd
22 ALLERGAN INC 23
Allianz AG Holding 24
Alps Electric Co Ltd
25 Altria Group Inc. 26
Amazon.Com Inc 27
AMERICA MOVIL-ADR SERIES L
28 AMERICAN ELECTRIC POWER 29
American Express Co. 30
American International Group
31 American Standard Cos Inc 32
Ameristar Casinos 33
AMGEN INC
34 ANGLO AMERICAN PLC 35
Anglo Platinum Ltd. 36
Anglogold Ashanti Ltd
37 ANHEUSER-BUSCH COS INC. 38
APACHE CORP 39
APARTMENT INVT & MGMT CO -A
40 Apple Inc 41
APPLIED MATERIALS INC 42
AQUA AMERICA INC
43 Arcelor 44
ARCELOR MITTAL 45
ARCHER-DANIELS-MIDLAND CO
46 ARCHSTONE-SMITH TRUST 47
Asahi Breweries Ltd 48
Asahi Glass Co Ltd
49 Asics Corp 50
ASML HOLDING NV 51
ASSICURAZIONI GENERALI
52 Astellas Pharma Inc 53
Astrazeneca PLC 54
AT&T Inc
55 Atlantia SpA 56
Atlas Copco AB 57
AUSTRALIA & NEW ZEALAND
BANKING GROUP LTD
58 AVENTIS SA 59
Aviva Plc 60
Avon Products Inc
61 AXA S.A. 62
BAE SYSTEMS PLC 63
BANCA CR FIRENZE
64 BANCA INTESA SPA 65
BANCO BILBAO VIZCAYA
ARGENTARIA 66
BANCO SANTANDER CENTRAL
HISP
67 Bancorp Inc 68
Bangkok Bank PCL 69
Bank of America Corp.
70 Bank of East Asia Ltd 71
BANK OF IRELAND 72
BANK ONE CORP
73 Barclays PLC 74
Barrick Gold Corp. 75
BASF AG
25 59
76 BAXTER INTERNATIONAL INC 77
BAYER AG 78
BAYERISCHE MOTOREN WERKE AG
79 BEAR STEARNS COMPANIES INC 80
BellSouth Corp. 81
BENETTON GROUP SPA
82 BERKSHIRE HATHAWAY INC-CL B 83
BHP Billiton Limited 84
BHP Billiton Plc
85 BIOGEN IDEC INC 86
BlueScope Steel Ltd 87
BNP PARIBAS
88 BOEING CO 89
BOLIDEN AB 90
BOSTON PROPERTIES
91 Bouygues 92
Boyd Gaming Corp. 93
BP PLC
94 Bridgestone Corp 95
Bristol Myers Squibb Co. 96
BRITISH AMERICAN TOBACCO INC
97 British American Tobacco Malaysia Bhd 98
BRITISH LAND CO PLC 99
BRITISH SKY BROADCASTING PLC
100
BT GROUP PLC 101
BULGARI SPA 102
Bunge Limited
103
BURBERRY GROUP PLC 104
BURLINGTON NORTHERN SANTA
FE
105
Cable & Wireless Plc
106
CADBURY SCHWEPPES PLC 107
Callaway Golf Company 108
Cannon Inc.
109
CAPITALAND LTD 110
CARDINAL HEALTH INC 111
Carlsberg A/S
112
Carnival Corp. 113
CARREFOUR SA 114
Casio Computer Co Ltd
115
CATERPILLAR INC 116
Cathay Pacific Airways Ltd 117
CELGENE CORP
118
CENTAMIN EGYPT LTD 119
CENTEX CORP 120
CENTRAIS ELETRICAS BRAS-PR B
121
CF Industries Holdings Inc 122
Cheung Kong Holdings Ltd 123
Chevron Corp.
124
Chiron Corp 125
CHRISTIAN DIOR 126
CHUBU ELECTRIC POWER CO INC
127
CHUGOKU ELECTRIC POWER CO 128
CIA SANEAMENTO BASICO DE-ADR
129
Cie de Saint-Gobain
130
Circuit City Stores Inc. 131
Cisco Systems Inc. 132
Citigroup Inc.
133
Citizen Watch Co Ltd 134
CITY DEVELOPMENTS LTD 135
Clipper Windpower Plc
136
CLP Holdings Ltd 137
Coach Inc. 138
Coca-Cola Co.
139
COLBUN SA 140
COLGATE-PALMOLIVE CO 141
COMCAST CORP-SPECIAL CL A
142
Compagnie Financiere Richemont AG 143
COMPASS GROUP PLC 144
CONERGY AG
145
CONOCOPHILLIPS 146
Continental AG 147
COSAN SA INDUSTRIA E COMERCIO
148
COSTCO WHOLESALE CORP 149
Covanta Holding Corporation 150
Credit Saison Co Ltd
151
Credit Suisse Group 152
CRH PLC 153
CSK Corp
154
CSX Corp 155
Daewoo Engineering & Construction Co
Ltd 156
Daewoo Shipbuilding & Marine
Engineering
157
Dai Nippon Printing Co Ltd 158
Daikin Industries Ltd 159
Daimlerchrysler AG-REG
160
Daiwa House Industry Co Ltd 161
Danaher Corporation 162
Dassault Aviation SA
163
DBS Group Holdings Ltd 164
DEERE & CO 165
DELL INC
166
Denso Corp 167
Deutsche Bank 168
DEUTSCHE TELEKOM AG-REG
169
DIAGEO PLC 170
DOMINION RESOURCES INC/VA 171
Dow Chemical Co.
172
DUKE ENERGY CORP 173
E. On AG 174
East Japan Railway Co
175
Eastman Kodak Co 176
EBAY INC 177
EDF Energies Nouvelles SA
178
Edison International 179
EI Du Pont de Nemours 180
Eisai Co Ltd
181
ELECTRICITE DE FRANCE 182
ELECTRONIC DATA SYSTEM CORP
183
ELI LILLY & CO
184
ELIZABETH ARDEN INC 185
EMC CORP/MASS 186
EMPRESA NACIONAL DE ELECTRIC
187
ENCANA CORP 188
ENDEMOL NV 189
ENDESA S.A.
190
Enel SPA 191
ENERGY CONVERSION DEVICES 192
ENERSIS SA
193
ENI SPA 194
ENTERGY CORP 195
EOG RESOURCES INC
196
EQUITY OFFICE PROPERTIES TR 197
EQUITY RESIDENTIAL 198
Ericsson Lm-B SHS
199
ESCO TECHNOLOGIES INC 200
Esprit Holdings Ltd 201
Estee Lauder Companies-CL A
202
EVERGREEN SOLAR INC 203
EXELON CORP 204
Expedia, Inc
205
Exxon Mobil Corp. 206
FACTSET RESEARCH SYSTEM 207
FALCONBRIDGE LTD
208
Fannie Mae 209
Fanuc Ltd 210
FEDEX CORP
211
First Solar Inc 212
FIRSTENERGY CORP 213
FleetBoston Financial Corp
26 59
214
Fluor Corp 215
Ford Motors Corp 216
Forest Laboratories
217
FORTIS 218
FORTUM OYJ 219
FPL GROUP INC
220
FRANCE TELECOM SA 221
Freddie Mac 222
Freeport-McMoRan Copper & Gold, Inc
223
Fuji Photo Film Co Ltd 224
FUJITSU LTD 225
GAMESA CORP TECHNOLOGICA SA
226
Gamesa Corporacion Tecnologica SA 227
GAP, Inc 228
Gaz de France SA
229
GAZPROMNEFT 230
GEBERIT AG-REG 231
GENENTECH INC
232
General Dynamics Corp. 233
General Electric Co. 234
General Motors Corporation
235
GENZYME CORP 236
GlaxoSmithKline PLC 237
Gold Fields Ltd
238
GOLDCORP INC 239
Goodman Fielder Ltd 240
GOOGLE INC-CL A
241
GROUPE DANONE 242
GRUPO FERROVIAL SA 243
GS Engineering & Construction Corp
244
Guess?, Inc 245
HAFSLUND ASA-A SHS 246
HALLIBURTON CO
247
Hanesbrands, Inc 248
Hang Lung Properties Ltd 249
Hang Seng Bank Ltd
250
Hankook Tire Co Ltd 251
HARDY-AMIES PLC 252
HARLEY-DAVIDSON INC
253
Harrah’s Entertainment Inc. 254
HBOS PLC 255
Heineken
256
HEINEKEN HOLDING NV 257
Henderson Investment Ltd 258
Henderson Land Development
259
HERMES INTERNATIONAL 260
Hess Corp 261
Hewlett-packard Co
262
Hitachi Ltd 263
HOKKAIDO ELECTRIC POWER CO 264
HOKURIKU ELECTRIC POWER CO
265
Holcim Ltd 266
HOME DEPOT INC 267
Honda Motor Co., Ltd.
268
HONEYWELL INTERNATIONAL INC 269
Hong Leong Bank BHD 270
HongKong Electric Holdings
271
HONGKONG LAND HOLDINGS LTD 272
HSBC Holdings PLC 273
HSBC Holdings PLC (UK Reg)
274
HUGO BOSS AG 275
Hutchison Whampoa Ltd 276
Hynix Semiconductor Inc
277
HYUNDAI ENGINEERING & CONSTR
278
Hyundai Heavy Industries 279
Hyundai Mipo Dockyard
280
Hyundai Mobis 281
Hyundai Motor Co 282
Hyundai Steel Co
283
Iberdrola SA 284
ImClone Systems 285
Imerys SA
286
Impala Platinum Holdings Ltd 287
INCO LTD 288
Industrial Bank Of Korea
289
INFINEON TECHNOLOGIES AG 290
ING Groep N.V. 291
Inmet Mining Corp
292
Intel Corp. 293
International Game Technology 294
INTERNATIONAL PAPER CO
295
Intl Business Machines Corp 296
Isetan Co Ltd 297
Isle Of Capri Casinos
298
Italcementi SpA 299
Ito-Yokado Co Ltd 300
J.P. Morgan Chase & Co.
301
James Hardie Industries NV 302
Japan Tobacco Inc 303
JFE Holdings Inc
304
JGC Corp 305
Johnson & Johnson 306
Johnson Electric Holdings Ltd
307
JTEKT Corp 308
Juniper Networks Inc 309
Kangwon Land Inc
310
Kansai Electric Power Co Inc/The 311
Kao Corp 312
Kazakhmys Plc
313
KDDI Corp 314
KELDA GROUP PLC 315
Kellwood Co
316
KEPPEL CORP LTD 317
Keppel Land Ltd 318
Kerzner International
319
Kia Motors Corp 320
Kikkoman Corp 321
Kimberly-Clark Corp.
322
KINDER MORGAN ENERGY PTNRS 323
Kirin Brewery Co Ltd 324
KLA Tencor
325
Kobe Steel 326
Konami Corp 327
Konica Minolta Holdings Inc
328
Kookmin Bank 329
Korea Electric Power Corp 330
Korea Exchange Bank
331
Korea Gas Corp 332
KOSE CORP 333
Kraft Foods Inc
334
KROGER CO/THE 335
KT Corp 336
KT Freetel Co Ltd
337
KT&G Corp 338
Kubota Corporation 339
KURITA WATER INDUSTRIES LTD
340
Kyocera Corp 341
KYUSHU ELECTRIC POWER CO INC
342
Lafarge SA
343
Lam Research 344
LAND SECURITIES GROUP PLC 345
Las Vegas Sands Corp
346
LEHMAN BROTHERS HOLDINGS INC
347
LEOPALACE21 CORP 348
LG Chem Ltd
349
LG Corp 350
LG Dacom Corp 351
LG Electronics Inc
352
LG Philip LCD Co Ltd.-ADR 353
LG.Philips LCD Co Ltd 354
Li & Fung Ltd
355
LIBERTY INTERNATIONAL PLC 356
Lloyds TSB Group PLC 357
LOCKHEED MARTIN CORP
27 59
358
L'OREAL 359
Lottomatica 360
Louis Vuitton Moet Hennessy
361
LOWE'S COS INC 362
LUCENT TECHNOLOGIES INC 363
LUKOIL
364
LUXOTTICA GROUP SPA 365
M&T Bank 366
MACK-CALI REALTY CORP
367
Macquarie Airports 368
MACQUARIE INFRASTRUCTURE
GRP
369
Magellan Midstream Holdings LP
370
Martin Marietta Materials Inc 371
Marui Co Ltd 372
Masco Corp
373
Matsushita Electric Industrial Co Ltd 374
Matsushita Electric Works Ltd 375
MCDONALD'S CORP
376
McGraw Hill Companies, Inc. 377
Medimmune Inc 378
MEDTRONIC INC
379
Merck & Co. Inc. 380
Meredith 381
MERRILL LYNCH & CO INC
382
Michelin 383
Microsoft Corp. 384
Millea Holdings Inc
385
MILLENNIUM PHARMACEUTICALS
386
Mitsubishi Corp 387
Mitsubishi Estate Co Ltd
388
Mitsubishi UFT Financial Group Inc 389
Mitsui Fudosan Co Ltd 390
Mitsui Sumitomo Insurance Co Ltd
391
Mizuho Financial Group 392
MMC NORILSK NICKEL 393
MOBIL OIL GHANA LTD
394
Monsanto Company 395
Moody Corp. 396
Motorola Inc
397
MTR Corp 398
MUENCHENER RUECKVER AG-REG
399
Murphy Oil Corp
400
Nalco Holding Co 401
NATIONAL GRID PLC 402
NATIONAL OILWELL VARCO INC
403
NCSoft Corp 404
NEC 405
Nestle S.A.
406
Newmont Mining Corp. 407
News Corp. 408
NEXEN INC
409
NEYVELI LIGNITE CORPORATION 410
NGK Insulators Ltd 411
NIKE, Inc
412
Nikon Corp 413
Nintendo Co Ltd 414
Nippon Oil Corp
415
Nippon Steel Corp. 416
Nippon Telegraph & Telephone 417
Nippon Yusen KK
418
Nissan Motor Co Ltd 419
Nisshin Seifun Group Inc 420
Noble Group Ltd
421
NOKIA CORP-SPON ADR 422
Nokia OYJ 423
Nomura Holdings Inc
424
Nordex AG 425
Norfolk Southern Corp 426
NORTEL NETWORKS CORP
427
Northrop Grumman 428
NORTHUMBRIAN WATER GROUP
PLC 429
Novartis AG
430
NTT Data Corp 431
NTT DOCOMO INC 432
NTT URBAN DEVELOPMENT CORP
433
Nucor Corp. 434
OAO GAZPROM 435
OCCIDENTAL PETROLEUM CORP
436
Olympus Corp 437
OPAP 438
ORACLE CORP
439
PACIFIC ETHANOL INC 440
Paddy Power 441
PCCW Ltd
442
PEABODY ENERGY CORP 443
Penn National Gaming 444
PENNON GROUP PLC
445
PENTAIR INC 446
PepsiCo Inc. 447
Pfizer Inc.
448
PHILIPS ELECTRONICS NV 449
Pinnacle Entertainment 450
Pioneer Corp
451
Pitney Bowes Inc. 452
POLO RALPH LAUREN CORP 453
Porsche AG
454
POSCO 455
Potash Corporation of Saskatchewan 456
PPR
457
Premier Foods PLC 458
Procter & Gamble Co. 459
PROLOGIS
460
Prudential PLC 461
PTT PCL 462
Publishing & Broadcasting
463
PUMA 464
Q-Cells AG 465
Qualcomm Inc
466
Quiksilver, Inc 467
Raytheon Co. 468
REED ELSEVIER PLC
469
Renewable Energy Corp AS 470
REPSOL YPF SA 471
Reuters Group Plc
472
Ricoh Co Ltd 473
Rio Tinto 474
RIO TINTO PLC
475
Roche Holding AG 476
Rockwell Collins 477
ROGERS COMMUNICATIONS - CL B
478
ROHM CO., LTD 479
Rolls-Royce Group Plc. 480
Roper Industries Inc
481
ROYAL BANK OF SCOTLAND GROUP
482
ROYAL DUTCH SHELL PLC-A SHS 483
RWE AG
484
SABMILLER PLC 485
Safeway Plc 486
Samsung Corp
487
Samsung Electro-Mechanics Co Ltd 488
SAMSUNG ELECTRONICS CO LTD
489
Samsung Engineering Co Ltd
490
Samsung Fire & Marine Insurance Co Ltd
491
Samsung SDI Ltd 492
SANOFI-AVENTIS SA
493
SANPAOLO IMI SPA 494
SAP AG 495
Sapporo Ltd
28 59
496
Saputo Inc 497
SAUDI ELECTRICITY CO 498
SCHERING-PLOUGH CORP
499
Schlumberger Ltd 500
SCOR 501
Secom Co Ltd
502
Sekisui House Ltd 503
SembCorp Industries Ltd 504
Seven & I Holdings Co. Ltd
505
SEVERN TRENT PLC 506
Sharp Corp 507
SHIKOKU ELECTRIC POWER CO
508
Shin-Etsu Chemical Co Ltd 509
Shinhan Financial Group Co Ltd 510
Shinsegae Co Ltd
511
Shionogi & Co Ltd 512
Shiseido Co Ltd 513
Shizuoka Bank Ltd/The
514
Showa Shell Sekiyu KK 515
Siemens AG 516
SIMON PROPERTY GROUP INC
517
Singapore Airlines Ltd 518
Singapore Telecommunications Ltd 519
Sino Land Co
520
SK Corp 521
SK Holdings Co Ltd 522
SK Telecom Co Ltd
523
Skanska AB 524
Smith International, Inc 525
SOCIETE GENERALE
526
S-Oil Corp 527
SOLARWORLD AG 528
Sompo Japan Insurance Inc
529
Sony Corp. 530
SOUTHERN CO 531
Sprint Nextel
532
STANDARD CHARTERED PLC 533
STARBUCKS CORP 534
STATE STREET CORP
535
Station Casinos Inc. 536
STATOIL ASA 537
STERLING BAN CORP/NY
538
STMICROELECTRONICS NV 539
STOCKLAND 540
SUEZ SA
541
Sumitomo Electric Industries Ltd 542
Sumitomo Metal Industries Ltd 543
Sumitomo Metal Mining Co., Ltd
544
Sumitomo Mitsui Financial Group Inc 545
Sumitomo Realty & Development Co Ltd
546
Sun Hung Kai Properties Ltd
547
SUN MICROSYSTEMS INC 548
SUNCOR ENERGY INC 549
Sunpower Corp
550
SUPERVALU INC 551
Suzuki Motor Corp 552
Swire Pacific Ltd
553
Syngenta AG 554
SYSCO Corp 555
Taiheiyo Cement Corp
556
Takashimaya Co Ltd 557
Takeda Pharmaceutical Co Ltd 558
TATA POWER COMPANY LIMITED
559
TDK Corp 560
TECK COMINCO LTD 561
Tecnicas Reunidas SA
562
TELECOM ITALIA SPA 563
TELEFONICA S.A. 564
Telekom Malaysia Bhd
565
TENAGA NASIONAL BHD 566
Terra Industries Inc 567
Terumo Corp
568
TESCO PLC 569
Texas Industries Inc 570
Texas Instruments Inc
571
Thai Airways International Pcl 572
Thales SA 573
The Mosaic Company
574
The Swatch Group AG-BR 575
THOMSON CORP 576
Tiffany & Co.
577
TIM SPA 578
TIMBERLAND CO 579
TIME WARNER INC
580
TNT NV 581
TOHOKU ELECTRIC POWER CO INC
582
TOKYO ELECTRIC POWER CO INC
583
Tokyo Electric Power Co Inc/The 584
Tokyo Electron Ltd 585
TOKYU LAND CORP
586
Toppan Printing Co Ltd 587
Toshiba Corp 588
Total S.A.
589
Toto Ltd 590
Toyo Seikan Kaisha Ltd 591
Toyota Motor Corp.
592
TRANSOCEAN INC 593
Trend Micro Inc 594
TRIZEC PROPERTIES INC
595
Trump Entertainment Resort 596
TXU CORP 597
Tyco International Ltd.
598
Tyson Foods Inc 599
UBS AG 600
Under Armour, Inc
601
UNICREDITO ITALIANO SPA 602
UNIFIED ENERGY SYSTEM-CLS 603
Unilever NV
604
UNILEVER PLC 605
United Overseas Bank Ltd 606
UNITED PARCEL SERVICE-CL B
607
United States Steel Corp 608
UNITED TECHNOLOGIES CORP 609
UNITED UTILITIES PLC
610
US Bancorp 611
VALERO ENERGY CORP 612
VALLOUREC
613
VEDANTA RESOURCES PLC 614
Veolia Environnement 615
VeraSun Energy Corp
616
Verizon Communications Inc. 617
Vestas Wind Systems A/S 618
VIACOM INC-CL B
619
VINCI SA 620
VIRGIN MEDIA INC 621
VIVENDI
622
Vodafone Group PLC 623
Volkswagen AG 624
WACHOVIA CORP
625
Walgreen Co. 626
Wal-Mart Stores Inc. 627
Walt Disney Co.
628
Warnaco Group, Inc 629
Waste Management ,Inc. 630
Weatherford International Ltd.
631
Wells Fargo & Co. 632
WESTFIELD GROUP 633
Wharf Holdings Ltd
634
Wheelock & Co Ltd 635
White mountain Ins. 636
Wilmar International Ltd
637
WM Wrigley Jr Co 638
WMS Industries 639
WOLTERS KLUWER NV
29 59
640
Woongjin Coway Co., Ltd. 641
Woori Finance Holdings Co Ltd 642
Woori Investment & Securities Co Ltd
643
WYETH 644
Wynn Resorts Ltd. 645
Xilinx Inc
646
XSTRATA PLC 647
YAHOO! INC 648
Yamaha Corp
649
Yamana Gold Inc 650
Yamato Holdings Co Ltd 651
Yokogawa Electric Corp
652
Yue Yuen Industrial Holdings 653
YUM! BRANDS INC 654
ZURICH FINANCIAL SERVICES
1.
(1)
a.
b.
c.
(2)
a. Affected Share
Affected Share
+
b.
Affected Share
2.
(1)
a.
b. Special Bonus
(2)
1 +
30 59
—
= [ 1 + ]
h x h
h R
h
h = 1,2,…,T
R
h
= Min { A
h
%, B
h
% Max [ C
h
%, Rportfolio
h
] }
Rportfolio
h
=
∑
=
−
×
N
n
n
n
dh,h
n
h
n
Underlying
UnderlyingUnderlying
W
1
0
0
T T =
∑
=
H
i
i
M
1
H
M
i
i M
i
= 12 / t
mi
t
mi
i 1 2 3
6 12
h t
mi
12
t
mi
= 12 M
i
= 1 2004/12/11 1
2004/12/11 2005/12/11 2 2005/12/11 2006/12/11 3
2006/12/11 2007/12/11
A
h
%, B
h
%, C
h
%
Rportfolio
h
h
N
h
n
W
n h
∑
=
N
n
h
n
W
1
= 1
0
n
Underlying
n
dh,h
n
Underlying
n h dh
dh
31 59
1.1997 12 30 6 H = 6 10,000
2. S&P500 N = 1 d1 = = d6 = 5
3. 1 t
mi
= 12 M
i
= 12 / t
mi
= 12 / 12 = 1 T =
∑
=
H
i
i
M
1
=
∑
=
6
1
1
i
= 6
4.A
h
% = 5% B
h
% = 80% C
h
% = 0% h = 1,2,…,6
5. 10%
6.
h 5 S&P500
Rportfolio
h
R
h
0 1997/12/30
970.84
1 5
1 1998/12/30 1998/12/22 1203.57 23.97% 5.00%
2 1999/12/30 1999/12/22 1436.13 47.93% 5.00%
3 2001/01/02 2000/12/22 1305.95 34.52% 5.00%
4 2001/12/31 2001/12/21 1144.89 17.93% 5.00%
5 2002/12/30 2002/12/20 895.76 -7.73% 0.00%
6 2003/12/30 2003/12/22 1092.94 12.58% 5.00%
1 h = 1
Rportfolio
1
= 1 ( 1203.57 - 970.84 ) / 970.84 = 23.97%
R
1
= Min { 5%, 80% Max [ 0%, 23.97% ] }= Min { 5%, 19.18% }= 5.00%
1 = 10,000 5.00% = 500
2 h = 2
Rportfolio
2
= 1 ( 1436.13 - 970.84 ) / 970.84 = 47.93%
R
2
= Min { 5%, 80% Max [ 0%, 47.93% ] }= Min { 5%,38.34% }= 5.00%
2 = 10,000 5.00% = 500
6 h = 6
Rportfolio
6
= 1 ( 1092.94 - 970.84 ) / 970.84 = 12.58%
R
6
= Min { 5%, 80% Max [ 0%, 12.58% ] } = Min { 5%,10.06% }= 5.00%
6 = 10,000 5.00% = 500
= [1 + ] = 10,000 [ 1 + 10% ]
= 11,000
32 59
=
h x h
h R
h
1.h = 1 1 R
1
= A%
2.h = 2,3,…,T 2
(1) Portfolio
h
< R
Target
(a) Portfolio
h
D
h
% R
h
= B
h
%
(b) Portfolio
h
< D
h
% R
h
= C
h
%
(2) Portfolio
h
R
Target
R
h
= E
h
% R
h+i
= F i=1,2,3,…,T-h (
)
Portfolio
h
=
∑
=
×
N
1n
0
n
dh,h
n
h
n
Underlying
Underlying
W
T T =
∑
=
H
i
i
M
1
H
M
i
i M
i
= 12 / t
mi
t
mi
i 1 2 3
6 12
h t
mi
12
t
mi
= 12 M
i
= 1 2004/12/11 1
2004/12/11 2005/12/11 2 2005/12/11 2006/12/11 3
2006/12/11 2007/12/11
R
Target
A%, B
h
%, C
h
%, D
h
%, E
h
%, R
Target
F
Portfolio
h
h
N
h
n
W
n h
∑
=
N
n
h
n
W
1
= 1
0
n
Underlying
n
dh,h
n
Underlying
n h dh
dh
33 59
1.1997 12 30 6 H = 6 10,000
2. S&P500 N = 1 d1 = = d6 = 5
3. 1 t
mi
= 12 M
i
= 12 / t
mi
= 12 / 12 = 1 T =
∑
=
H
i
i
M
1
=
∑
=
6
1
1
i
= 6
4.A% = 6% h 2 B
h
% = 4.35% C
h
% = 0.1% D
h
% =100% E
h
% =4.35% h = 2,3,…,6 R
Target
= 120%
5.F 12 Libor
6.
h
5
S&P500 12 Libor
0 1997/12/30
970.84
1 5
1 1998/12/30
2 1999/12/30 1999/12/22 1436.13
3 2001/01/02 2000/12/22 1305.95 1999/12/30 6.50%
4 2001/12/31 2001/12/21 1144.89 2001/01/02 5.94%
5 2002/12/30 2002/12/20 895.76 2001/12/31 2.44%
6 2003/12/30 2003/12/22 1092.94 2002/12/30 1.44%
h
Portfolio
h
R
Target
Portfolio
h
R
Target
12 Libor
R
h
1
6.00%
2 147.93% 120% Y
4.35%
3 134.52% 120%
6.50% 6.50%
4 117.93% 120%
5.94% 5.94%
5 92.27% 120%
2.44% 2.44%
6 112.58% 120%
1.44% 1.44%
1 h = 1
R
1
= A% = 6.00%
1 = 10,000 6.00% = 600
2 h = 2
Portfolio
2
= 1 ( 1436.13 / 970.84 ) = 147.93%
Portfolio
2
= 147.93% R
Target
= 120% R
2
= B
2
% = 4.35%
2 = 10,000 4.35% = 435
Portfolio
2
= 147.93% R
Target
= 120% R
2+i
= 12 Libor i=1,2,3,4
34 59
R
3
= 3 12 Libor = 6.50% 3 = 10,000 6.50% = 650
R
4
= 4 12 Libor = 5.94% 4 = 10,000 5.94% = 594
R
5
= 5 12 Libor = 2.44% 5 = 10,000 2.44% = 244
R
6
= 6 12 Libor = 1.44% 6 = 10,000 1.44% = 144
= = 10,000
35 59
= [ 1 + Max (
) ]
=
∑
=
T
h
h
R
1
h x h
h R
h
1.h = 1 1 R
1
= Min { A + Max [ B
1
, C
1
+ D
1
Model
1
] , E }
2.h = 2 2 R
2
= Min { Max [ B
2
, C
2
+ D
2
Model
2
] , E – R
1
}
3.h = 3,4,…,T 3
R
h
= Min { Max [ B
h
, C
h
+ D
h
Model
h
] , E
–
∑
−
=
1h
1t
t
R
}
∑
=
h
t
t
R
1
= E R
h+i
= F i=1,2,3,…,T-h ( )
4. h
∑
=
=
h
t
t
ER
1
R
h
ER
h
T T =
∑
=
H
i
i
M
1
H
M
i
i M
i
= 12 / t
mi
t
mi
i 1 2 3
6 12
h t
mi
12
t
mi
= 12 M
i
= 1 2004/12/11 1
2004/12/11 2005/12/11 2 2005/12/11 2006/12/11 3
2006/12/11 2007/12/11
E
A, B
h
, C
h
, D
h
, E, ER
h
F
Model
h
=
∑
=
m
i
h
i
W
1
× Method(S
i
)
36 59
N
m N
h
i
W
i h
∑
=
m
i
h
i
W
1
= 1
Method(S
i
) i
1. m
dh
2. m
dh dh
dh
dh
1.1996 12 2 6 H = 6 10,000
2. Motorola Cisco Bristol 3 N = 3 m = 1 Model
h
3. 1 t
mi
= 12 M
i
= 12 / t
mi
= 12 / 12 = 1 T =
∑
=
H
i
i
M
1
=
∑
=
6
1
1
i
= 6
4.A = 12% B
1
= B
2
= 0% B
h
= R
h-1
h = 3,4,…,6 C
1
= 0% D
1
= 0% C
h
= 13% h = 2,3,…,6 D
h
=30% h = 2,3,…,6
E =30% dh=0
5.F 12 Libor
6. ER
h
1 2 3 4 5 6
ER
h
0% 0% 0% 0% 5% 7%
7. 0% 0%
8.
h
Motorola Cisco Bristol
Model
h
R
h
12
Libor
0 1996/12/02
56.25 68.62 109.61
1 1997/12/01
12.00%
2 1998/12/01
63.06 79.75 122.81
12.11% 16.22% 12.04% 12.04% 16.61%
3 1999/12/01
116.94 91.44 71.83
107.89% 33.26% -34.47% -34.47% 1.39%
4 2000/12/01
18.56 48.5 67.75
-67.00% -29.32% -38.19% -67.00%
1999/12/01
6.29%
5 2001/12/03
16.9 19.86 53.97
-69.96% -71.06% -50.76% -71.06%
2000/12/01
6.52%
6 2002/12/02
11.7 15.06 26.43
-79.20% -78.05% -75.89% -79.20%
2001/12/03
2.34%
37 59
1 h = 1
R
1
= Min { 12% + Max [ 0%, 0% +0% Model
1
] , 30% }
= 12.00%
1 = 10,000 12.00% = 1,200
R
1
= 12.00% < 30% = E =
2 h = 2
Motorola = ( 63.06 – 56.25 ) / 56.25 = 12.11%
Cisco = ( 79.75 – 68.62 ) / 68.62 = 16.22%
Bristol
R
2
= Min { Max [ 0%, 13% + 30% Model
2
] , 30% – R
1
}
= Min { Max [ 0%, 13% + 30% 12.04% ] , 30% – 12% }
= 16.61%
2 = 10,000 16.61% = 1,661
R
1
+ R
2
= 12.00% + 16.61% = 28.61% < 30% = E =
3 h = 3
Motorola = ( 116.94 – 56.25 ) / 56.25 = 107.89%
Cisco = ( 91.44 – 68.62 ) / 68.62 = 33.26%
Bristol
R
3
= Min { Max [ R
2
,13% + 30% Model
3
] ,30%
–
∑
=
2
1
t
t
R
}
= Min { Max [ 16.61%, 13% + 30% (-34.47%) ] , 30% – 28.61% }
= 1.39%
R
1
+ R
2
+ R
3
= 12.00% + 16.61% + 1.39% = 30% = 30% = E =
∑
=
3
1
t
t
R
= E = 30% R
3+i
= 12 Libor i=1,2,3
R
4
= 4 12 Libor = 6.29% 4 = 10,000 6.29% = 629
R
5
= 5 12 Libor = 6.52% 5 = 10,000 6.52% = 652
R
6
= 6 12 Libor = 2.34% 6 = 10,000 2.34% = 234
ER
3
= 0% 0 %
38 59
=
∑
=
T
h
h
R
1
= 12.00% + 16.61% + 1.39% + 6.29% + 6.52% + 2.34% = 45.15%
= [ 1 + Max (
) ]
= 10,000 [ 1 + Max ( 45.15% 0% 0% ) ]
= 10,000
39 59
= [ 1 + Max (
) ]
=
∑
=
T
h
h
W
1
× Portfolio
h
h Portfolio
h
1.h = 1 1 N 1 1
2.h = 2,3,…,T 2 N h -1 N –h+1
h h
n =
−
0
0
n
n
h
n
Underlying
UnderlyingUnderlying
T T =
∑
=
H
i
i
M
1
H
M
i
i M
i
= 12 / t
mi
t
mi
i 1 2 3
6 12
h t
mi
12
t
mi
= 12 M
i
= 1 2004/12/11 1
2004/12/11 2005/12/11 2 2005/12/11 2006/12/11 3
2006/12/11 2007/12/11
Portfolio
h
h
N
W
h
h
∑
=
T
1h
h
W
= 1
0
n
Underlying
n
h
n
Underlying
n h dh
1.1997 3 31 6 H = 6 10,000
40 59
2.
6 t
mi
= 6 M
i
= 12 / t
mi
= 12 / 6 = 2 T =
∑
=
H
i
i
M
1
=
∑
=
6
1
2
i
= 12
3. 15 N = 15 W
1
= W
2
= =W
12
= 1 / 12
4. 65% 23% dh=0
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%
-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%
41 59
SBC US
= 44.38 / 26.25 –1 = 69.07% 7203 JP = 3050 / 3130 –1 = - 2.56%
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
1
h
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
42 59
= ( 1 +
∑
=
H
j
j
CP
1
)
CP
j
= Max ( EC
j
, X
j
)
=
=
=
−
T~j,CP
j,%A
X
j
j
2
1
1
EC
j
= ( ) j = 1~T
= Min [ Return( Index
1,j
) , Return( Index
2,j
) ,…, Return( Index
N,j
) ]
Min [ Return( Index
1,1
) , Return( Index
2,1
) ,…, Return( Index
N,1
) ] j=1 1
Min [ Return( Index
1,2
) , Return( Index
2,2
) ,…, Return( Index
N,2
) ] j=2 2
Min [ Return( Index
1,T
) , Return( Index
2,T
) ,…, Return( Index
N,T
) ] j=T T
Return( Index
i,j
) i j
Return( Index
i,j
) =
1−j,i
j,i
Index
Index
-1 i =1,2,…,N j = 1,2,…,T
T T =
∑
=
H
i
i
M
1
H
M
i
i M
i
= 12 / t
mi
t
mi
i 1 2 3 6
12
j t
mi
12
t
mi
= 12 M
i
= 1 2004/12/11 1 2004/12/11
2005/12/11 2 2005/12/11 2006/12/11 3 2006/12/11
2007/12/11
A%
N
1.1997 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
i
M
1
=
∑
=
6
1
1
i
= 6
4.A% = 3% = 20%
43 59
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
j
Return( Index
1,j
)
Return( Index
2,j
)
EC
j
X
j
CP
j
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 j = 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 j = 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 j = 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%
44 59
= ( 1 +
∑
=
H
j
j
CP
1
)
= 10,000 [ 1 + 3.00% + 3.14% + 3.14% + 3.14% + 3.14% + 3.14% ]
= 11,870
45 59
=
h x h
h R
h
1.h = 1 1 R
1
= A%
2.h = 2,3,…,T 2
(1) h = 2,3,…,T-1 2 T-1
∑
−
=
1
1
h
t
t
R
< R
min
R
h
= Max [B
h
, C ] C = D % E F
h = T T
∑
−
=
1
1
T
t
t
R
< R
min
R
T
= R
min
∑
−
=
1
1
T
t
t
R
(2)
∑
−
=
1
1
h
t
t
R
R
min
R
h
= G
T T =
∑
=
H
i
i
M
1
H
M
i
i M
i
= 12 / t
mi
t
mi
i 1 2 3
6 12
h t
mi
12
t
mi
= 12 M
i
= 1 2004/12/11 1
2004/12/11 2005/12/11 2 2005/12/11 2006/12/11 3
2006/12/11 2007/12/11
R
min
B
h
A%, D%, E, R
min
F, G
1.1997
12 30 6 H = 6 10,000
46 59
2.
1 t
mi
= 12 M
i
= 12 / t
mi
= 12 / 12 = 1 T =
∑
=
H
i
i
M
1
=
∑
=
6
1
1
i
= 6
3.A% = 6% B
h
= 0% D% = 7% E =2
4. R
min
=18%
5.F 5 12 Libor G 12 Libor
6.
h
5
5
12 Libor
12
Libor
R
h
∑
=
h
t
t
R
1
1 1998/12/30
6.00%
6.00%
2 1999/12/30
1999/12/22
6.47% 1998/12/30
5.12% 0.00%
6.00%
3 2000/01/02
2000/12/22
6.00%
1999/12/30
6.50% 0.00%
6.00%
4 2001/12/31
2001/12/21
2.40%
2000/01/02
5.94% 2.20%
8.20%
5 2002/12/30
2002/12/20
1.51%
2001/12/31
2.44% 3.98%
12.18%
6 2003/12/30
2002/12/30
1.44% 5.82%
18.00%
1 h = 1
R
1
=A% = 6.00%
1 = 10,000 6.00% = 600
2 h = 2
∑
−
=
12
1t
t
R
= R
1
= 6.00% < 18.00%
R
2
= Max [ 0%, 7% 2 5 12 Libor , 0% ]
= Max [ 0%, 7% 2 6.47%, 0% ] =0.00%
2 = 10,000 0.00% = 0
5 h = 5
∑
−
=
15
1t
t
R
= R
1
+ R
2
+ R
3
+ R
4
= 6.00% + 0.00% + 0.00% + 2.20% = 8.20% < 18.00%
R
2
= Max [ 0%, 7% 2 5 12 Libor , 0% ]
= Max [ 0%, 7% 2 1.51%, 0% ] =3.98%
5 = 10,000 3.98% = 398
6 h = 6
h = 6 = T
∑
−
=
16
1t
t
R
= R
1
+ R
2
+ R
3
+ R
4
+ R
5
= 6.00% + 0.00% + 0.00% + 2.20% + 3.98% = 12.18% < 18.00%
47 59
R
6
= R
min
∑
−
=
16
1t
t
R
= 18.00% 12.18% = 5.82%
= = 10,000
48 59
= [ 1 + ]
h x h
h R
h
1.h = 1 1 R
1
= A%
2.h = 2,…,T 2 R
h
= Max [B
h
% C
h
% + PR
h
% Portfolio
h
]
Portfolio
h
h Portfolio
h
= h t
nh
t
nh
t
mi
Portfolio
h
= Min [
h
(t) t = 1,2,…, t
mi
/ t
nh
]
h
(t) = Abs [( h t dh / h
t-1 dh ) 1] h 0 dh
h-1 t
mi
/ t
nh
dh
Abs
T T =
∑
=
H
i
i
M
1
H
M
i
i M
i
= 12 / t
mi
t
mi
i 1 2 3
6 12
t
nh
h 1
2 3 6 12
h t
mi
12
t
mi
= 12 M
i
= 1 2004/12/11 1
2004/12/11 2005/12/11 2 2005/12/11 2006/12/11 3
2006/12/11 2007/12/11
A%, B
h
%, C
h
%, PR
h
%, dh
1.1994 12 20 6 H = 6 10,000
2. 1 t
mi
= 12 M
i
= 12 / t
mi
= 12 / 12 = 1 T =
∑
=
H
i
i
M
1
=
∑
=
6
1
1
i
= 6
49 59
3.A% = 8%
B
h
% = 3% C
h
% = 0% PR
h
% = 50% h = 2,3,…,6 dh=5 0%
4. t
nh
= 3 h=1,…,6 5
h
1 5
2 5
3 5
4 5
1
1995/12/13
2 1996/03/13 1996/06/13 1996/09/13 1996/12/13
3 1997/03/13 1997/06/13 1997/09/15 1997/12/15
4 1998/03/13 1998/06/15 1998/09/14 1998/12/14
5 1999/03/15 1999/06/14 1999/09/13 1999/12/13
6 2000/03/13 2000/06/13 2000/09/13 2000/12/13
5. 5
h
1 5
2 5
3 5
4 5
1
13722.70
2 17019.76 14566.22 14787.87 13739.07
3 11300.53 11066.19 10482.55 11581.58
4 10130.25 10147.84 9122.66 9510.62
5 10760.12 12317.47 13907.03 12116.87
6 12818.42 13895.03 14195.35 13714.78
h
h
(1)
h
(2)
h
(3)
h
(4)
Portfolio
h
R
h
1
8.00%
2 24.03% 14.42% 1.52% 7.09% 1.52% 1.52% 3.00%
3 17.75% 2.07% 5.27% 10.48% 2.07% 2.07% 3.00%
4 12.53% 0.17% 10.10% 4.25% 0.17% 0.17% 3.00%
5 13.14% 14.47% 12.90% 12.87% 12.87% 12.87% 6.44%
6 5.79% 8.40% 2.16% 3.39% 2.16% 2.16% 3.00%
1 h = 1
R
1
= A% = 8.00%
1 = 10,000 8.00% = 800
2 h = 2
2
(1)
= Abs [( 2 1 5 / 2 0 5
) 1]
= Abs [( 2 1 5 / 1 4 5
) 1]
= Abs [( 17019.76 / 13722.70 ) 1] =24.03%
2
(2)
= Abs [( 2 2 5 / 2 1 5
) 1]
50 59
= Abs [( 14566.22 / 17019.76 )
1] =14.42%
2
(4)
= Abs [( 2 4 5 / 2 3 5
) 1]
= Abs [( 13739.07 / 14787.87 ) 1] =7.09%
Portfolio
2
= Min [
2
(t) t = 1,2,…,4 ] = Min [24.03% 14.42% 1.52% 7.09% ] =1.52%
R
2
= Max [B
2
% C
2
% + PR
2
% Portfolio
2
] = Max [3% 0% + 50% 1.52% ] = 3.00%
2 = 10,000 3.00% = 300
6 h = 6
6
(1)
= Abs [( 6 1 5 / 6 0 5
) 1]
= Abs [( 6 1 5 / 5 4 5
) 1]
= Abs [( 12818.42 / 12116.87 ) 1] =5.79%
6
(2)
= Abs [( 6 2 5 / 6 1 5
) 1]
= Abs [( 13895.03 / 12818.42 ) 1] =8.40%
6
(4)
= Abs [( 6 4 5 / 6 3 5
) 1]
= Abs [( 13714.78 / 14195.35 ) 1] =3.39%
Portfolio
6
= Min [
6
(t) t = 1,2,…,4 ] = Min [5.79% 8.40% 2.16% 3.39% ] =2.16%
R
6
= Max [B
6
% C
6
% + PR
6
% Portfolio
6
] = Max [3% 0% + 50% 2.16% ] = 3.00%
6 = 10,000 3.00% = 300
= [ 1 + ]
= 10,000 [ 1 + 0% ] = 10,000
51 59
= [ 1 + Max (
) ]
=
∑
=
×
T
h
hh
Portfoliow
1
h Portfolio
h
−
×=
∑
=
N
n
n
n
dhh
n
h
nh
Underlying
UnderlyingUnderlying
WFMaxPortfolio
1
0
0,
%,
T
∑
=
=
H
i
i
MT
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
F
Portfolio
h
h
N
h
w
h
∑
=
T
n
n
w
1
=1
h
n
W
n h
∑
=
N
n
h
n
W
1
= 1
0
n
Underlying
n
dh,h
n
Underlying
n h dh
dh
52 59
1.1998
6 30 6 H = 6 10,000
2. 12 t
mi
= 12 M
i
= 12 / t
mi
= 12 / 12 = 1 T =
∑
=
H
i
i
M
1
=
∑
=
6
1
1
i
= 6
3. S&P500 DJ Eurostoxx 50 N = 2
2
1
21
==
hh
WW
dh=0 h=1,2,…,6
4.
6
1
...
621
==== www
5. 65% 23% 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
53 59
=
h x h
h R
h
1.h = 1 1 R
1
= Min { Max[ (A
1
+ PR
1
Portfolio
1
)
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
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
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
T T =
∑
=
H
i
i
M
1
H
M
i
i M
i
= 12 / t
mi
t
mi
i 1 2 3
6 12
G
h
h
g
h
h
d
h
Spread
Barrier
h
d
h
Spread
=
d
h
d
h
CMSYCMSX ][][ −
54 59
d
h
CMSX ][
h d X
d
h
CMSY ][
h d Y
Y<X X Y
Barrier
h
h
h 1 (h=1) 1 dh ( )
2 (h=2) 1 dh ( 1
) 2 dh ( ) 3 (h=3) 2
dh ( 2 ) 3 dh ( )
BP
h
h dh BP
0
F
1.1997 8 1 6 H = 6 10,000
2. (Constant Maturity Swap, CMS)
3. 1 t
mi
= 12 M
i
= 12 / t
mi
= 12 / 12 = 1 T =
∑
=
H
i
i
M
1
=
∑
=
6
1
1
i
= 6
4.
A
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
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%
55 59
1 (h=1)
1 (1997/8/1-1998/7/27)
d
CMS
1
]10[
d
CMS
1
]2[
d
Spread
1
d
d
CMS
1
]10[
d
CMS
1
]2[
d
Spread
1
d
d
CMS
1
]10[
d
CMS
1
]2[
d
Spread
1
d
d
CMS
1
]10[
d
CMS
1
]2[
d
Spread
1
d
d
CMS
1
]10[
d
CMS
1
]2[
d
Spread
1
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%
56 59
d
d
CMS
1
]10[
d
CMS
1
]2[
d
Spread
1
d
d
CMS
1
]10[
d
CMS
1
]2[
d
Spread
1
d
d
CMS
1
]10[
d
CMS
1
]2[
d
Spread
1
d
d
CMS
1
]10[
d
CMS
1
]2[
d
Spread
1
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%~0.5% ( )
=245( )
( )
××+=
××+= %10,%1,
257
245
%18.0%100%7,,
11
1
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
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
d
CMS
2
]10[
d
CMS
2
]2[
d
Spread
2
d
d
CMS
2
]10[
d
CMS
2
]2[
d
Spread
2
d
d
CMS
2
]10[
d
CMS
2
]2[
d
Spread
2
d
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%
57 59
d
d
CMS
2
]10[
d
CMS
2
]2[
d
Spread
2
d
d
CMS
2
]10[
d
CMS
2
]2[
d
Spread
2
d
d
CMS
2
]10[
d
CMS
2
]2[
d
Spread
2
d
d
CMS
2
]10[
d
CMS
2
]2[
d
Spread
2
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%
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
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
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
d
CMS
3
]10[
d
CMS
3
]2[
d
Spread
3
d
d
CMS
3
]10[
d
CMS
3
]2[
d
Spread
3
d
d
CMS
3
]10[
d
CMS
3
]2[
d
Spread
3
d
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%
58 59
d
d
CMS
3
]10[
d
CMS
3
]2[
d
Spread
3
d
d
CMS
3
]10[
d
CMS
3
]2[
d
Spread
3
d
d
CMS
3
]10[
d
CMS
3
]2[
d
Spread
3
d
d
CMS
3
]10[
d
CMS
3
]2[
d
Spread
3
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%
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
261
%16.0%100%7,,
33
3
3
3333
MaxMinCapFloor
G
g
PortfolioPRAMaxMinR
(
)
[
]
%16.7%10,%1%,16.7 == MaxMin
3 =10,000 7.16%=716
59 59
4 (h=4)
(
)
(
)
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%
= 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
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