歯스왑노트1

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Interest Interest [IRS] [IRS] Long Long / / Short Short Position Position Interest Interest Sensitivity Sensitivity Par Par / / Zero Zero / / IF IF Interest Interest BPV

1 Interest Interest [IRS] [IRS] Long Long / / Short Short Position Position Interest Interest Sensitivity Sensitivity Par Par / / Zero Zero / / IF IF Interest Interest BPV BPV / / Duration Duration KTB KTB Futures Futures & IRS IRS Strategy Strategy IRS IRS Duration Duration Management Management Interest Interest Risk Risk Management Management

5 4.50% 100 Position Payoff CD 4.00% Interest Payoff 4.25% % % % % % % % % Long [Fixed Pay / Float Receive] Short [Fixed Receive / Float Pay] Y Long Profit Y Short Profit % 0.40% 0.20% 0.00% -0.20% -0.40% -0.60% IRS Payoff [Long / Short ] Long Short Net Payoff 4.00% 4.25% 4.50% 4.75% 5.00% IRS Payoff [Long / Short ] Long Short Net Payoff 4.00% 4.25% 4.50% 4.75% 5.00% Bootstrapping Method [Zero-Coupon s : Payment of the Term Structure] Term Price Cash-Flow & Present Value % % % % % % % %

6 3mCD 4.00% 100 6mCD 4.20% 4 1Y 4.40% Interpolation Exponential Est 2Y 4.80% Coupon 5.00% 3Y 5.00% PV Cash-Flow Term Par Zero Discount / Fac IFR C/F C/F PV C/F C/F PV 3M % % % M % % % M % % % M % % % M % % % M % % % M % % % M % % % M % % % M % % % M % % % M % % % /coupon[1] /coupon[2] /coupon[3] % Par / Zero / IF 6.00% 5.50% 5.00% 4.50% 4.00% 3.50% 4.00% 4.00% 4.00% Par Zero IFR 4.27% 4.14% 4.14% 4.53% 4.27% 4.27% 4.81% 4.40% 4.40% 4.90% 4.50% 4.50% 5.11% 4.60% 4.60% 5.33% 4.71% 4.70% 5.56% 5.38% 5.27% 4.81% 4.86% 4.92% 4.80% 4.85% 4.90% 5.60% 5.49% 4.97% 5.02% 4.95% 5.00% 3.00% 2.50% 3M 6M 9M 12M 15M 18M 21M 24M 27M 30M 33M 36M

7 [+1bp] 3Y 5.01% Date Par Zero Discount / Fac IFR C/F C/F PV C/F C/F PV 3M % % % M % % % M % % % M % % % M % % % M % % % M % % % M % % % M % % % M % % % M % % % M % % % /coupon[1] /coupon[2] [-1bp] 3Y 4.99% Date Par Zero Discount / Fac IFR C/F C/F PV C/F C/F PV 3M % % % M % % % M % % % M % % % M % % % M % % % M % % % M % % % M % % % M % % % M % % % M % % % /coupon[1] /coupon[2] BPV[ 1bp] BPV Par Zero Discount / Fac IFR C/F C/F PV C/F C/F PV +0.01% % % % % % % % % % % % Interest BPV Term ZCR Discount / Fac Est ZCR ZCR Duration D/F*Duration % % % % % % Y % [ = Par ] Long Fixed Duration Du Float Duration Short Du Term ZCR Discount / Fac Est ZCR ZCR Duration D/F*Duration % % % % % % % % % % % % Y % [ = Par ] Long Fixed Duration Du Float Duration Short Du

10 Floating Sensitivity [Duration / Convexity] Floating 5.00% Floating 5.00% Price Price Duration Duration Dollar/Duration Dollar/Duration Convexity Convexity Dollar/Convexity Dollar/Convexity Engineering [Duration Reduce ; Using the Long Position ; ] Spot Portfolio Y Strategy Long Spot Duration Fixed Duration Target Duration Floating Duration IRS Position Long Target Duration Amount Floating Receive Fixed Pay Engineering [Duration Increase ; Using the Short Position ; ] Spot Portfolio Y Strategy Short Spot Duration Fixed Duration Target Duration Floating Duration IRS Position Short Target Duration Amount Floating Pay Fixed Receive 28.10

11 Interest - Cash Flow & Valuation Notional Amount 250 M Fixed [ ] % Floating 4.5 %[t0 ] Cash Flow Payment t Fixed Side Payment Floating Side Payment Zero Coupon 4.50% 5.00% 5.50% Discount Factor Implied Forward 4.50% 5.50% 6.51% Interest Decomposition Value of Floating Note Value of Fixed Note

12 Fixed Side t Cash Flows Discount Factor Present Value Floating Side t Cash Flows Discount Factor Present Value Fixed + Floating t Cash Flow Discount Factor Present Value Long Value [Fixed Pay/Floating Receive] Short Value[Fixed Receive/Floating Pay] [Floating PV - Fixed PV] [Fixed PV - Floating PV] Long Index % Short Index % Long Price Short Price Weighted Average Price Long Value Short Value Interest - Cash Flow & Valuation Notional Amount 100 M Fixed [ ] 5 % Floating 6 %[t0 ] Cash Flow Payment t Fixed Side Payment Floating Side Payment Zero Coupon 4.50% 5.00% 5.50% Discount Factor Implied Forward 4.50% 5.50% 6.51% Interest Decomposition Value of Floating Note Value of Fixed Note

13 Fixed Side t Cash Flows Discount Factor Present Value Floating Side t Cash Flows Discount Factor Present Value Fixed + Floating t Cash Flow Discount Factor Present Value Long Value [Fixed Pay/Floating Receive] Short Value[Fixed Receive/Floating Pay] [Floating PV - Fixed PV] [Fixed PV - Floating PV] Long Index % Short Index % Long Price Short Price Weighted Average Price Long Value Short Value

(IRS)

(IRS) (IRS) ... Swap Rate.... KTB. . SWAP - Swap. (Currency Swap). (Interest Swap). * ( ).. . SWAP - IRS (Coupon Swap) A LIBOR B (Basis Swap) A PRIME RATE LIBOR B . SWAP - (Swap Rate) AA ( U$ Libor) Telerate

歯스왑노트1

歯스왑노트1