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！
: (96) ( ) 110203
: 96 11 02
: (96) ( ) 123105
: 96 12 31
: (97) ( ) 042804
: 97 4 28
: 96.12.28 09602505761
: 97 5 31
全球人壽
全球人壽全球人壽
全球人壽元大新世紀
元大新世紀元大新世紀
元大新世紀變額萬能壽險
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
http : // www. aegon. com.tw
( )
( )
( )
http :
// www. aegon.com.tw
http : // www. aegon.com.tw
( )
( ) ( )
http : // www. aegon.com.tw
http : // www. aegon.com.tw
( )
( )
( )
( )
5%
( )
D
http://www.aegon.com.tw
http : // www.aegon.com.tw
:
( )
( )
( )
( )
( )
:
【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%
【附件二】費用結構
全球人壽元大新世紀變額萬能壽險保險公司收取之相關費用表
( )
1%
1.
2.
5%
0.1%
1.0%
3%
全球人壽元大新世紀變額萬能壽險投資機構收取之相關費用表
(AA)
C
C
C
A2
A2
A2
A2
A2
A2
A2
A2
A2
- ( )
─
─
─
A
(Ydis)
A
(acc)
A
(Mdis)
A
(Mdis)
A
( ) A
( )
A2
A2
A
A2
- A2 USD
A USD
- A1 -
- A1 -
- A1 -
( )
Exchange Traded Funds, ETFs
1%
3%
【附件二之一】臺灣壽險業第四回經驗生命表死亡率的百分之百
( )
0 57.3000 52.4000
56 99.3500 48.5800
1 9.6800 9.0400
57 108.3900 53.2700
2 7.5200 6.2400
58 118.4000 58.9500
3 5.8400 4.4000
59 129.4400 65.5400
4 4.7200 3.2800
60 141.5800 72.9300
5 3.9200 2.8000
61 154.8800 81.0100
6 3.5200 2.4800
62 169.4200 89.6600
7 3.2800 2.2400
63 185.2800 98.8200
8 3.2000 2.0800
64 202.6100 108.6700
9 3.1200 1.9200
65 221.5700 119.4200
10 2.9600 1.9200
66 242.3300 131.3000
11 2.8800 1.9200
67 265.0500 144.5300
12 3.0400 2.1600
68 289.9200 159.3400
13 3.7600 2.4800
69 317.1500 175.8800
14 5.2800 2.9600
70 346.9800 194.3100
15 7.5200 3.4400
71 379.6300 214.7800
16 10.1600 3.9200
72 415.3500 237.4500
17 12.6000 4.3300
73 454.3600 262.4800
18 12.8800 4.8100
74 497.0100 290.1600
19 13.0500 5.1300
75 543.6300 320.7900
20 13.1300 5.3000
76 594.5700 354.6600
21 13.1500 5.3600
77 650.1600 392.0800
22 13.1200 5.3300
78 710.7700 433.3700
23 13.0700 5.2500
79 776.8600 478.9600
24 13.0100 5.1500
80 848.8900 529.3200
25 12.9800 5.0700
81 927.3400 584.8900
26 12.9900 5.0400
82 1012.6800 646.1400
27 13.0700 5.1000
83 1105.4200 713.5600
28 13.2300 5.2700
84 1206.1100 787.7800
29 13.5100 5.5600
85 1315.3600 869.4600
30 13.9300 5.9300
86 1433.7500 959.2500
31 14.5200 6.3800
87 1561.8800 1057.8300
32 15.3000 6.8800
88 1700.3300 1165.8700
33 16.3000 7.4300
89 1849.7000 1284.1900
34 17.5000 8.0200
90 2010.5500 1413.6100
35 18.8600 8.6500
91 2183.4800 1554.9700
36 20.3700 9.3100
92 2369.0700 1709.0900
37 22.0100 10.0100
93 2567.8300 1876.8100
38 23.7400 10.7400
94 2780.0300 2058.8500
39 25.6000 11.5300
95 3005.8900 2255.9600
40 27.6100 12.4000
96 3245.5900 2468.8700
41 29.8000 13.3600
97 3499.3600 2698.3000
42 32.2000 14.4500
98 3767.1700 2944.8000
43 34.8400 15.6700
99 4048.1500 3208.0900
44 37.7100 17.0700
100 4341.1900 3487.7100
45 40.8400 18.6700
101 4645.2000 3783.1900
46 44.2100 20.4900
102 4959.0800 4094.0600
47 47.8400 22.5700
103 5281.7500 4419.8700
48 51.7500 24.9100
104 5612.2500 4760.3000
49 55.9700 27.4700
105 5949.6700 5115.0100
50 60.5600 30.1700
106 6293.0700 5483.7100
51 65.5800 32.9400
107 6641.5200 5866.0700
52 71.0800 35.7200
108 6980.7800 6245.5800
53 77.1300 38.4800
109 7313.8400 6625.8800
54 83.8000 41.4000
110 10000.0000
10000.0000
55 91.1800 44.6900
-
【
【【
【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
(AA)
A2
A2
A2
A2
A2
A2
A2
A2
─
─
─
A (Ydis)
A (acc)
A
(
) A ( )
- A1
-
- A1
-
A
A USD
- ( )
A2
A2
A2
-
A2 USD
- A1
-
A (Mdis)
A (Mdis)
A2
( )
1 Exchange Traded Funds, ETFs
2
0
(1)
(2)
365
3
二、「投資標的帳戶價值」之計算：
1.
2.
(1)
(2)
( )
1.
3%
5%
2.
( )
/ /
T+1 T+1
T+1 T+1
T T+1
T+1
T T+1
T
( )
1.
2.
(1)
(2)
3.
【附件四】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
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
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”
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 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
AMGEN INC 35 ANGLO AMERICAN PLC 36
Anglo Platinum Ltd.
37
Anglogold Ashanti Ltd 38 ANHEUSER-BUSCH COS INC.
39
APACHE CORP
40
APARTMENT INVT & MGMT CO
-A
41 APPLE COMPUTER INC 42
APPLIED MATERIALS INC
43
AQUA AMERICA INC 44 Arcelor 45
ARCELOR MITTAL
46
ARCHER-DANIELS-MIDLAND
CO
47 ARCHSTONE-SMITH TRUST 48
Asahi Breweries Ltd
49
Asahi Glass Co Ltd 50 ASICS 51
ASML HOLDING NV
52
ASSICURAZIONI GENERALI 53 Astellas Pharma Inc 54
Astrazeneca PLC
55
AT&T Inc
56 Atlas Copco AB 57
AUSTRALIA & NEW ZEALAND
BANKING GROUP LTD
58
Autostrade SpA ATL IM 59 AVENTIS SA 60
Aviva Plc
61
Avon Products Inc 62 AXA S.A. 63
BAE SYSTEMS PLC
64
BANCA CR FIRENZE 65 BANCA INTESA SPA 66
BANCO BILBAO VIZCAYA
ARGENTARIA
67
BANCO SANTANDER CENTRAL
HISP
68 Bancorp Inc 69
Bangkok Bank PCL
70
Bank of America Corp. 71 Bank of East Asia Ltd 72
BANK OF IRELAND
73
BANK ONE CORP 74 Barclays PLC 75
Barrick Gold Corp.
76
BASF AG 77 BAXTER INTERNATIONAL INC
78
BAYER AG
79
BAYERISCHE MOTOREN
WERKE AG
80
BEAR STEARNS COMPANIES
INC
81
BellSouth Corp.
82
BENETTON GROUP SPA 83
BERKSHIRE HATHAWAY INC-
CL
B
84
BHP Billiton Limited
85
BHP Billiton Plc 86 BIOGEN IDEC INC 87
BlueScope Steel Ltd
88
BNP PARIBAS 89 BOEING CO 90
BOLIDEN AB
91
BOSTON PROPERTIES 92 Bouygues 93
Boyd Gaming Corp.
94
BP PLC 95 Bridgestone Corp 96
Bristol Myers Squibb Co.
97
BRITISH AMERICAN TOBACCO
INC
98
British American Tobacco
Malaysia Bhd
99
BRITISH LAND CO PLC
100
BRITISH SKY BROADCASTING
PLC
101
BT GROUP PLC 102
BULGARI SPA
103
Bunge Limited 104
BURBERRY GROUP PLC 105
BURLINGTON NORTHERN
SANTA FE
106
Cable & Wireless Plc 107
CADBURY SCHWEPPES PLC 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
Cheung Kong Holdings Ltd 122
Chevron Corp. 123
Chiron Corp
124
CHRISTIAN DIOR 125
CHUBU ELECTRIC POWER CO
INC
126
CHUGOKU ELECTRIC POWER
CO
127
CIA SANEAMENTO BASICO
DE-ADR
128
Cie de Saint-Gobain 129
Circuit City Stores Inc.
130
Cisco Systems Inc. 131
Citigroup Inc. 132
Citizen Watch Co Ltd
133
CITY DEVELOPMENTS LTD 134
Clipper Windpower Plc 135
CLP Holdings Ltd
136
Coach Inc. 137
Coca-Cola Co. 138
COLBUN SA
139
COLGATE-PALMOLIVE CO 140
COMCAST CORP-
SPECIAL CL A
141
Compagnie Financiere
Richemont AG
142
COMPASS GROUP PLC 143
CONERGY AG 144
CONOCOPHILLIPS
145
Continental AG 146
COSAN SA INDUSTRIA E
COMERCIO
147
COSTCO WHOLESALE CORP
148
Covanta Holding Corporation 149
Credit Saison Co Ltd 150
Credit Suisse Group
151
CRH PLC 152
CSK Corp 153
CSX Corp
154
Daewoo Engineering &
Construction Co Ltd
155
Daewoo Shipbuilding & Marine
Engineering
156
Dai Nippon Printing Co Ltd
157
Daikin Industries Ltd 158
Daimlerchrysler AG-REG 159
Daiwa House Industry Co Ltd
160
Danaher Corporation 161
Dassault Aviation SA 162
DBS Group Holdings Ltd
163
DEERE & CO 164
DELL INC 165
Denso Corp
166
Deutsche Bank 167
DEUTSCHE TELEKOM AG-REG
168
DIAGEO PLC
169
DOMINION RESOURCES
INC/VA
170
Dow Chemical Co. 171
DUKE ENERGY CORP
172
E. On AG 173
East Japan Railway Co 174
Eastman Kodak Co
175
EBAY INC 176
EDF Energies Nouvelles SA 177
Edison International
178
EI Du Pont de Nemours 179
Eisai Co Ltd 180
ELECTRICITE DE FRANCE
181
ELECTRONIC DATA SYSTEM
CORP
182
ELI LILLY & CO 183
ELIZABETH ARDEN INC
184
EMC CORP/MASS 185
EMPRESA NACIONAL DE
ELECTRIC
186
ENCANA CORP
187
ENDEMOL NV 188
ENDESA S.A. 189
Enel SPA
190
ENERGY CONVERSION
DEVICES
DEVICES DEVICES DEVICES
191
ENERSIS SA 192
ENI SPA
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
Exxon Mobil Corp.
205
FACTSET RESEARCH SYSTEM
206
FALCONBRIDGE LTD 207
Fannie Mae
208
Fanuc Ltd 209
FEDEX CORP 210
Feeport-McMoRanCopper &
Gold Inc
211
First Solar Inc 212
FIRSTENERGY CORP 213
FleetBoston Financial Corp
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
Fuji Photo Film Co Ltd
223
FUJITSU LTD 224
GAMESA CORP
TECHNOLOGICA SA
225
Gamesa Corporacion
Tecnologica SA
226
GAP INC/THE 227
Gaz de France SA 228
GAZPROMNEFT
229
GEBERIT AG-REG 230
GENENTECH INC 231
GENENTECH INC
232
General Dynamics Corp. 233
General Electric Co. 234
General Motors Corporation
235
GENZYME CORP 236
GENZYME CORP 237
GlaxoSmithKline PLC
238
Gold Fields Ltd 239
GOLDCORP INC 240
GOOGLE INC-CL A
241
GROUPE DANONE 242
GRUPO FERROVIAL SA 243
HAFSLUND ASA-A SHS
244
HALLIBURTON CO 245
Hang Lung Properties Ltd 246
Hang Seng Bank Ltd
247
HARDY-AMIES PLC 248
HARLEY-DAVIDSON INC 249
Harrah’s Entertainment Inc.
250
HBOS PLC 251
Heineken 252
HEINEKEN HOLDING NV
253
Henderson Investment Ltd 254
Henderson Land Development
255
HERMES INTERNATIONAL
256
Hess Corp 257
Hewlett-packard Co 258
Hitachi Ltd
259
HOKKAIDO ELECTRIC POWER
CO
260
HOKURIKU ELECTRIC POWER
CO
261
Holcim Ltd
262
HOME DEPOT INC 263
Honda Motor Co., Ltd. 264
HONEYWELL INTERNATIONAL
INC
265
Hong Leong Bank BHD 266
HongKong Electric Holdings 267
HONGKONG LAND HOLDINGS
LTD
268
HSBC Holdings PLC 269
HSBC Holdings PLC (UK Reg)
270
HUGO BOSS AG
271
Hutchison Whampoa Ltd 272
Hynix Semiconductor Inc 273
HYUNDAI ENGINEERING &
CONSTR
274
Hyundai Heavy Industries 275
Hyundai Mobis 276
Hyundai Motor Co
277
Iberdrola SA 278
ImClone Systems 279
Imerys SA
280
Impala Platinum Holdings Ltd
281
INCO LTD 282
Industrial Bank Of Korea
283
INFINEON TECHNOLOGIES AG
284
ING Groep N.V. 285
Intel Corp.
286
International Game Technology
287
INTERNATIONAL PAPER CO 288
Intl Business Machines Corp
289
Isetan Co Ltd 290
Isle Of Capri Casinos 291
Italcementi SpA
292
Ito-Yokado Co Ltd 293
J.P. Morgan Chase & Co. 294
James Hardie Industries NV
295
Japan Tobacco Inc 296
JFE Holdings Inc 297
JGC Corp
298
Johnson & Johnson 299
Johnson Electric Holdings Ltd
300
JTEKT Corp
301
Kangwon Land Inc 302
Kansai Electric Power Co
Inc/The
303
Kao Corp
304
Kazakhmys Plc 305
KDDI Corp 306
KELDA GROUP PLC
307
KEPPEL CORP LTD 308
Keppel Land Ltd 309
Kerzner International
310
Kia Motors Corp 311
Kikkoman Corp 312
Kimberly-Clark Corp.
313
KINDER MORGAN ENERGY
PTNRS
314
Kirin Brewery Co Ltd 315
KLA Tencor
316
Kobe Steel 317
Konami Corp 318
Konica Minolta Holdings Inc
319
Kookmin Bank 320
Korea Electric Power Corp 321
Korea Exchange Bank
322
Korea Gas Corp 323
KOSE CORP 324
KROGER CO/THE
325
KT Corp 326
KT Freetel Co Ltd 327
KT&G Corp
328
Kubota Corporation 329
KURITA WATER INDUSTRIES
LTD
330
Kyocera Corp
331
KYUSHU ELECTRIC POWER CO
INC
332
Lafarge SA 333
Lam Research
334
LAND SECURITIES GROUP PLC
335
Las Vegas Sands Corp 336
LEHMAN BROTHERS
HOLDINGS INC
337
LEOPALACE21 CORP 338
LG Chem Ltd 339
LG Corp
340
LG Electronics Inc 341
LG Philip LCD Co Ltd.-ADR 342
Li & Fung Ltd
343
LIBERTY INTERNATIONAL PLC
344
Lloyds TSB Group PLC 345
LOCKHEED MARTIN CORP
346
L'OREAL 347
Lottomatica 348
Louis Vuitton Moet Hennessy
349
LOWE'S COS INC 350
LUCENT TECHNOLOGIES INC
351
LUKOIL
352
LUXOTTICA GROUP SPA 353
M&T Bank 354
MACK-CALI REALTY CORP
355
Macquarie Airports 356
MACQUARIE
INFRASTRUCTURE GRP
357
Magellan Midstream Holdings
LP
358
Martin Marietta Materials Inc 359
Marui Co Ltd 360
Masco Corp
361
Matsushita Electric Industrial
Co Ltd
362
Matsushita Electric Works Ltd
363
MCDONALD'S CORP
364
McGraw Hill Companies, Inc.
365
Medimmune Inc 366
MEDTRONIC INC
367
Merck & Co. Inc. 368
Meredith 369
MERRILL LYNCH & CO INC
370
Michelin 371
Microsoft Corp. 372
Millea Holdings Inc
373
MILLENNIUM
PHARMACEUTICALS
374
Mitsubishi Corp 375
Mitsubishi Estate Co Ltd
376
Mitsubishi UFT Financial Group
Inc
377
Mitsui Fudosan Co Ltd 378
Mitsui Sumitomo Insura
nce Co
Ltd
379
Mizuho Financial Group 380
MMC NORILSK NICKEL 381
MOBIL OIL GHANA LTD
382
Monsanto Company 383
Moody Corp. 384
Motorola Inc
385
MTR Corp 386
MUENCHENER RUECKVER
AG-REG
387
Nalco Holding Co
388
NATIONAL GRID PLC 389
NATIONAL OILWELL VARCO
INC
390
NEC
391
Nestle S.A. 392
Newmont Mining Corp. 393
News Corp.
394
NEXEN INC 395
NEYVELI LIGNITE
CORPORATION
396
NGK Insulators Ltd
397
Nike Inc - CL B 398
Nikon Corp 399
Nintendo Co Ltd
400
Nippon Oil Corp 401
Nippon Steel Corp. 402
Nippon Telegraph & Telephone
403
Nippon Yusen KK 404
Nissan Motor Co Ltd 405
Nisshin Seifun Group Inc
406
Nokia Corp. 407
NOKIA CORP-SPON ADR 408
Nomura Holdings Inc
409
Nordex AG 410
Norfolk Southern Corp 411
NORTEL NETWORKS CORP
412
Northrop Grumman 413
NORTHUMBRIAN WATER
GROUP PLC
414
Novartis AG
415
NTT Data Corp 416
NTT DOCOMO INC 417
NTT URBAN DEVELOPMENT
CORP
418
Nucor Corp. 419
OAO GAZPROM 420
OCCIDENTAL PETROLEUM
CORP
421
Olympus Corp 422
OPAP 423
ORACLE CORP
424
PACIFIC ETHANOL INC 425
Paddy Power 426
PCCW Ltd
427
PEABODY ENERGY CORP 428
Penn National Gaming 429
PENNON GROUP PLC
430
PENTAIR INC 431
PepsiCo Inc. 432
Pfizer Inc.
433
PHILIPS ELECTRONICS NV 434
Pinnacle Entertainment 435
Pioneer Corp
436
Pitney Bowes Inc. 437
POLO RALPH LAUREN CORP 438
Porsche AG
439
POSCO 440
Potash Corporation of
Saskatchewan
441
PPR
442
Procter & Gamble Co. 443
PROLOGIS 444
Prudential PLC
445
PTT PCL 446
Publishing & Broadcasting 447
PUMA
448
Q-Cells AG 449
Qualcomm Inc 450
Raytheon Co.
451
REED ELSEVIER PLC 452
Renewable Energy Corp AS 453
REPSOL YPF SA
454
Reuters Group Plc 455
Ricoh Co Ltd 456
Rio Tinto
457
RIO TINTO PLC 458
Roche Holding AG 459
Rockwell Collins
460
ROGERS COMMUNICATIONS -
CL B
461
ROHM CO., LTD 462
Rolls-Royce Group Plc.
463
Roper Industries Inc 464
ROYAL BANK OF SCOTLAND
GROUP
465
ROYAL DUTCH SHELL PLC-A
SHS
466
RWE AG 467
SABMILLER PLC 468
Safeway Plc
469
Samsung Corp 470
Samsung Electro-
Mechanics Co
Ltd
471
SAMSUNG ELECTRONICS CO
LTD
472
Samsung Fire & Marine
Insurance Co Ltd
473
Samsung SDI Ltd 474
SANOFI-AVENTIS SA
475
SANPAOLO IMI SPA 476
SAP AG 477
Sapporo Ltd
478
SAUDI ELECTRICITY CO 479
SCHERING-PLOUGH CORP 480
Schlumberger Ltd
481
SCOR 482
Secom Co Ltd 483
Sekisui House Ltd
484
SembCorp Industries Ltd 485
Seven & I Holdings Co. Ltd 486
SEVERN TRENT PLC
487
Sharp Corp 488
SHIKOKU ELECTRIC POWER CO
489
Shin-Etsu Chemical Co Ltd
490
Shinhan Financial Group Co Ltd
491
Shinsegae Co Ltd 492
Shionogi & Co Ltd
493
Shiseido Co Ltd 494
Shizuoka Bank Ltd/The 495
Showa Shell Sekiyu KK
496
Siemens AG 497
SIMON PROPERTY GROUP INC
498
Singapore Airlines Ltd
499
Singapore Telecommunications
Ltd
500
Sino Land Co 501
SK Corp
502
SK Telecom Co Ltd 503
Skanska AB 504
SOCIETE GENERALE
505
S-Oil Corp 506
SOLARWORLD AG 507
Sompo Japan Insurance Inc
508
Sony Corp. 509
SOUTHERN CO 510
Sprint Nextel
511
STANDARD CHARTERED PLC
512
STARBUCKS CORP 513
STATE STREET CORP
514
Station Casinos Inc. 515
STATOIL ASA 516
STERLING BAN CORP/NY
517
STMICROELECTRONICS NV 518
STOCKLAND 519
SUEZ SA
520
Sumitomo Electric Industries
Ltd
521
Sumitomo Metal Industries Ltd
522
Sumitomo Metal Mining Co.,
Ltd
523
Sumitomo Mitsui Financial
Group Inc
524
Sumitomo Realty &
Development Co Ltd
525
Sun Hung Kai Properties Ltd
526
SUN MICROSYSTEMS INC 527
SUNCOR ENERGY INC 528
Sunpower Corp
529
SUPERVALU INC 530
Suzuki Motor Corp 531
Swire Pacific Ltd
532
Syngenta AG 533
Taiheiyo Cement Corp 534
Takashimaya Co Ltd
535
Takeda Pharmaceutical Co Ltd
536
TATA POWER COMPANY
LIMITED
537
TDK Corp
538
TECK COMINCO LTD 539
Tecnicas Reunidas SA 540
TELECOM ITALIA SPA
541
TELEFONICA S.A. 542
Telekom Malaysia Bhd 543
TENAGA NASIONAL BHD
544
Terumo Corp 545
TESCO PLC 546
Texas Industries Inc
547
Texas Instruments Inc 548
Thai Airways International Pcl
549
Thales SA
550
The Mosaic Company 551
The Swatch Group AG-BR 552
THOMSON CORP
553
Tiffany & Co. 554
TIM SPA 555
TIMBERLAND CO
556
TIME WARNER INC 557
TNT NV 558
TOHOKU
ELECTRIC POWER CO
INC
559
TOKYO ELECTRIC POWER CO
INC
560
Tokyo Electric Power Co
Inc/The
561
Tokyo Electron Ltd
562
TOKYU LAND CORP 563
Toppan Printing Co Ltd 564
Toshiba Corp
565
Total S.A. 566
Toto Ltd 567
Toyo Seikan Kaisha Ltd
568
Toyota Motor Corp. 569
TRANSOCEAN INC 570
Trend Micro Inc
571
TRIZEC PROPERTIES INC 572
Trump Entertainment Resort 573
TXU CORP
574
Tyco International Ltd. 575
UBS AG 576
UNICREDITO ITALIANO SPA
577
UNIFIED ENERGY SYSTEM-CLS
578
Unilever NV 579
UNILEVER PLC
580
United Overseas Bank Ltd 581
UNITED PARCEL SERVICE-
CL B
582
United States Steel Corp
583
UNITED TECHNOLOGIES CORP
584
UNITED UTILITIES PLC 585
VALERO ENERGY CORP
586
VALLOUREC 587
VEDANTA RESOURCES PLC 588
Veolia Environnement
589
VeraSun Energy Corp 590
Verizon Communications Inc.
591
Vestas Wind Systems A/S
592
VIACOM INC-CL B 593
VINCI SA 594
VIRGIN MEDIA INC
595
VIVENDI 596
Vodafone Group PLC 597
Volkswagen AG
598
WACHOVIA CORP 599
Walgreen Co. 600
Wal-Mart Stores Inc.
601
Walt Disney Co. 602
Waste Management ,Inc. 603
Weatherford International Ltd.
604
Wells Fargo & Co. 605
WESTFIELD GROUP 606
Wharf Holdings Ltd
607
Wheelock & Co Ltd 608
White mountain Ins. 609
WMS Industries
610
WOLTERS KLUWER NV 611
Woongjin Coway Co., Ltd. 612
Woori Finance Holdings Co Ltd
613
WYETH 614
Wynn Resorts Ltd. 615
Xilinx Inc
616
XSTRATA PLC 617
YAHOO! INC 618
Yamaha Corp
619
Yamana Gold Inc 620
Yamato Holdings Co Ltd 621
Yokogawa Electric Corp
622
Yue Yuen Industrial Holdings
623
YUM! BRANDS INC 624
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 +
—
= [ 1 + ]
∑
=
−
×
N
n
n
n
dh,h
n
h
n
Underlying
UnderlyingUnderlying
W
1
0
0
∑
=
H
i
i
M
1
h
n
W
∑
=
N
n
h
n
W
1
0
n
Underlying
dh,h
n
Underlying
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
=
∑
=
×
N
1n
0
n
dh,h
n
h
n
Underlying
Underlying
W
∑
=
H
i
i
M
1
h
n
W
∑
=
N
n
h
n
W
1
0
n
Underlying
dh,h
n
Underlying
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
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
= [ 1 + Max (
) ]
∑
=
T
h
h
R
1
∑
−
=
1h
1t
t
R
∑
=
h
t
t
R
1
∑
=
=
h
t
t
ER
1
∑
=
H
i
i
M
1
∑
=
m
i
h
i
W
1
h
i
W
∑
=
m
i
h
i
W
1
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%
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 %
=
∑
=
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
= [ 1 + Max (
) ]
∑
=
T
h
h
W
1
−
0
0
n
n
h
n
Underlying
UnderlyingUnderlying
∑
=
H
i
i
M
1
∑
=
T
1h
h
W
0
n
Underlying
h
n
Underlying
1.1997 3 31 6 H = 6 10,000
2.
6 t
mi
= 6 M
i
= 12 / t
mi
= 12 / 6 = 2 T =
∑
=
H
i
i
M
1
=
∑
=
6
1
2
i
= 12
3. 15 N = 15 W
1
= W
2
= =W
12
= 1 / 12
4. 65% 23% dh=0
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%
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
= ( 1 +
∑
=
H
j
j
CP
1
)
=
=
=
−
T~j,CP
j,%A
X
j
j
2
1
1
1−j,i
j,i
Index
Index
∑
=
H
i
i
M
1
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%
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%
= ( 1 +
∑
=
H
j
j
CP
1
)
= 10,000 [ 1 + 3.00% + 3.14% + 3.14% + 3.14% + 3.14% + 3.14% ]
= 11,870
=
∑
−
=
1
1
h
t
t
R
∑
−
=
1
1
T
t
t
R
∑
−
=
1
1
T
t
t
R
∑
−
=
1
1
h
t
t
R
∑
=
H
i
i
M
1
1.1997
12 30 6 H = 6 10,000
2. 1 t
mi
= 12 M
i
= 12 / t
mi
= 12 / 12 = 1 T =
∑
=
H
i
i
M
1
=
∑
=
6
1
1
i
= 6
3.A% = 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%
R
6
= R
min
∑
−
=
16
1t
t
R
= 18.00% 12.18% = 5.82%
= = 10,000
= [ 1 + ]
∑
=
H
i
i
M
1
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
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]
= 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
= [ 1 + Max (
) ]
∑
=
×
T
h
hh
Portfoliow
1
−
×=
∑
=
N
n
n
n
dhh
n
h
nh
Underlying
UnderlyingUnderlying
WFMaxPortfolio
1
0
0,
%,
∑
=
=
H
i
i
MT
1
h
w
∑
=
T
n
n
w
1
h
n
W
∑
=
N
n
h
n
W
1
0
n
Underlying
dh,h
n
Underlying
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
=
1
1
G
g
h
h
G
g
≥
∑
=
H
i
i
M
1
d
h
Spread
d
h
Spread
d
h
d
h
CMSYCMSX ][][ −
d
h
CMSX ][
d
h
CMSY ][
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%
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%
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
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%~0.5% ( )
=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%
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%
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
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
【附件五】完 全 殘 廢 程 度 表
完全殘廢指下列七項殘廢程度之一：
１‧雙目均失明者。
２‧兩上肢關節缺失者或兩下肢足踝關節缺失者。
３‧一上肢關節缺失及一下肢足踝關節缺失者。
４‧一目失明及一上肢關節缺失者或一目失明及一下肢足踝關節缺失者。
５‧永久喪失咀嚼或言語之機能者。
６‧四肢機能永久完全喪失者。
７‧中樞神經系統機能遺存極度障害或胸、腹部臟器機能遺存極度障害，終身不能從事任何工作，
經常需醫療護理或專人周密照護者。
註：
１．失明的認定：
◎視力的測定，依據萬國式視力表，兩眼個別依矯正視力測定之。
◎失明係指視力永久在萬國式視力表零點零二以下而言。
◎以自傷害之日起經過六個月的治療為判定原則，但眼球摘出等明顯無法復原之情況，不在
此限。
２．喪失咀嚼之機能係指因器質障害或機能障害，以致不能作咀嚼運動，除流質食物外，不能攝
取者。
３．喪失言語之機能係指後列構成語言之口唇音、齒舌音、口蓋音、喉頭音等之四種語音機能中，
有三種以上不能構音者。
４．所謂機能永久完全喪失係指經六個月以後其機能仍完全喪失者。
５．因重度神經障害，為維持生命必要之日常生活活動，全須他人扶助者。
全球人壽元大新世紀變額萬能壽險－參考保險費
單 位：元 / 每萬基本保額
男性 女性
投保年齡
最高
參考保險費
投保年齡
最高
參考保險費
0 204 0 176
1 203 1 176
2 207 2 179
3 211 3 181
4 215 4 185
5 219 5 189
6 223 6 192
7 227 7 196
8 231 8 200
9 236 9 204
10 240 10 208
11 245 11 212
12 251 12 216
13 255 13 220
14 260 14 225
15 265 15 229
16 271 16 233
17 275 17 237
18 280 18 243
19 285 19 247
20 291 20 252
21 296 21 256
22 301 22 261
23 307 23 267
24 312 24 272
25 317 25 277
26 324 26 283
27 329 27 288
28 336 28 293
29 343 29 299
30 349 30 305
31 356 31 311
32 363 32 317
33 369 33 324
34 377 34 329
35 385 35 336
36 392 36 343
37 400 37 349
38 409 38 357
39 417 39 364
40 425 40 372
41 435 41 379
42 444 42 387
43 453 43 395
44 463 44 403
45 473 45 411
46 483 46 420
47 495 47 429
48 505 48 439
49 517 49 448
50 529 50 457
51 543 51 468
52 556 52 477
53 569 53 489
54 584 54 500
55 600 55 512
56 617 56 525
57 635 57 539
58 653 58 552
59 673 59 567
60 695 60 583
男性 女性
投保年齡
最高
參考保險費
投保年齡
最高
參考保險費
61 719 61 599
62 743 62 617
63 769 63 635
64 797 64 655
65 828 65 676
66 861 66 700
67 897 67 724
68 935 68 752
69 977 69 780
70 1,023 70 812
71 1,072 71 847
72 1,125 72 884
73 1,183 73 925
74 1,245 74 969
75 1,313 75 1,019
76 1,387 76 1,072
77 1,467 77 1,129
78 1,552 78 1,193
79 1,645 79 1,263
80 1,745 80 1,337
81 1,853 81 1,420
82 1,969 82 1,509
83 2,095 83 1,607
84 2,229 84 1,712
85 2,373 85 1,827
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