(IRS)

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1 (IRS)

2 ... Swap Rate.... KTB.

3 . SWAP - Swap. (Currency Swap). (Interest Swap). * ( )..

4 . SWAP - IRS (Coupon Swap) A LIBOR B (Basis Swap) A PRIME RATE LIBOR B

5 . SWAP - (Swap Rate) AA ( U$ Libor) Telerate Bloomberg. / (Swap Pay), (Swap Receive). (Swap Spread) Swap Rate. AA (Swap ) AAA ( ) Credit Spread. (Credit Risk), Credit Spread. (Yield) + =

6 . SWAP -

7 . SWAP -

8 ~ ~ CD 2 ex) cf) Delayed Swap Advance Payment Area Payment cf) Modified Following Business Day Convention

9 ~10, 100 bid / offer spread 10bp ISDA(International Swap & Derivatives Association)

10 . - SWAP, 4 10 ( )-

11 1. - Swap Spread

12 1. - Swap Yield Curve

13 1. - 3Y Swap Spread

14 1. Swap rate (Effective fixed rate) Swap ( par bond )

15 1. Swap rate (Effective fixed rate) = Zero Coupon Rate & Par Rate Zero Coupon Rate Swap Yield Curve

16 1. Swap rate (Effective fixed rate) < 1 > LIBOR LIBOR 6M LIBOR 1Y /360. Par Rate 2 3 Par Rate Par Rate.( )

17 1. Swap rate (Effective fixed rate) < 2 > Par Rate Zero Coupon Rate 6M 1 Zeor Rate LIBOR Zeor Rate Par Rate. 1.5Y BOOTSRAPPING Zero Rate. EX)1.5Y Zero Coupon Rate , , / = 100 ( /2)² (1 + R1.5/2)³ R1.5 =

18 1. Swap rate (Effective fixed rate) < 3 > Zero Coupon Rate Discount Factor Zero Rate. EX1) /2 = EX2) = ( /2)³

19 1. Swap rate (Effective fixed rate) < 4 > Discount Factor Coupon Rate 1% /2 = 0.5

20 1. Swap rate (Effective fixed rate) < 1 > Zero Coupon Rate Implied Forward Rate Zero Rate. EX) ( /2 ) f = ( 1 + f/2 ) = ( /2)²

21 2. Swap rate (Effective fixed rate) < 2 >. 1/2, 6 LIBOR

22 2. Swap rate (Effective fixed rate) < > Rate... Coupon Rate 1% / = 4.67%

23 2. Swap rate (Effective fixed rate) Swap - par bond..

24 2. Swap rate (Effective fixed rate) Delayed Swap (1 2 )

25 2. Swap rate (Effective fixed rate) AMORTIZATION ( )

26 2.

27 2.

28 2.

29 % Zero Rate 1 0.5%, Zero Rate.

30 Call, CD, CP,, View ( 1, 2, 3 ) / 3 CD CD91

31 ( - CD ) %, CD 4.40% 5.50% % = 1.10%( ). 4.40%( ) 5.50%( ) % Unwinding Capital Gain = 2 new 5.20%(2 ) = %(3 ) 2 (5.50% -5.20% = 30bp)

32 3. - 2, Zero - Coupon, PAYER.

33 Steep yield curve ( Flat, Inverted Curve ) CMT(Constant Maturity Treasury ), 3 CD + spread %( 3 ) 4.88%(CD ) + 90bp 3 - CD < Spread.. ( Yield Curve Slope. )

34 Portfolio Duration / CD CD.

35 Portfolio Duration / CD CD.

36 /.

37 3. 1.

38 3. 2.

39 3. 2. Swap

40 3. 3. FRN Swap

41 4. 3. FRN Swap

42 4. 3. FRN Swap

43 4. 4. FRN Swap

44 4. 3. FRN Swap

45 4. 3. FRN Swap 5.60%

46 4. KTB / (IRS) - (Pay) - IRS = { 3 - ( + ) + CD + 20bp } + 3 (CD + 20bp) ( ) ( ( ))

47 4. KTB FRN - / (IRS) - (Receive) - IRS = { 3 + % - ( CD + 20bp + ) + } + FRN ( 3 + % ) (CD + 20bp) ( ) ( ( ))

48 4. KTB - 1 -, ( Spread Expanding ) - (Receive) / + - IRS ( ) XX % 5.75% % 5.41% bp 15bp % 6.10% % 6.09% bp 1bp - 5 tick, Swap Spread - 1bp ( Spread Extending )

49 4. KTB % ( ) 100 ( ) 3 CD % XX 45 Swap Spread 14bp 6.10% ( ) 100 ( ) ( tick*100 *10000) 45 ( tick*100 *10000) (14bp*100 *2.7tick) (14bp*100 *2.7tick) % 3 CD

50 4. KTB - 2 -, ( Spread Tightening ) - (Pay) / + - IRS ( ) % 6.47% % 6.81% bp 34bp % 5.95% % 6.11% bp 16bp (6/18) - 1 tick, Swap Spread 16bp ( Spread Tightening ).

51 5. KTB % ( ) 100 ( ) 6.81% 3 CD Swap Spread 18bp 5.95% ( ) 100 ( ) ( tick*100 *10000) 55 ( tick*100 *10000) (18bp*100 *2.7tick) (18bp*100 *2.7tick) CD 6.11%

52 5. Amortizing Swap. Accreting / Roller Coaster / Mortgage-inedxed / CMO Swap Callable Swap Payer early terminate. Puttable / Extendable Swap Seasonal Swap ( fixed-for-fixed with mismatched payment dates ) Step-up / Step-down Swap. Rate-capped Swap / Floor / Collar Zero Coupon Swap Index Swap / Equity Swap / Commodity Swap

53 5. - Swaption Receiver Swaption - Par( ) Ex) $1 coupon x 5 par Max 0, {x (d 1 +d 2 +d 3 +d 4 +d 5 ) + d 5 }- 1 Ex) 10% Callable Bond A receiver swaption First call date 6, Call price 100, call 10 - A 10 6 receiver swaption. callable bond A swaption 10 Libor. Payer Swaption - Par( ) Ex) $1 coupon x 5 par Max 0, 1 -{x (d 1 +d 2 +d 3 +d 4 +d 5 ) + d 5 } Put - Call parrity Forward Swap = Receiver Swaption - Payer Swaption

54 5. - Forward Start Swap 1 Forward Start Swap Swap Swap Deffered (start) Swap Ex) A three-month forward swap 3 swap K Libor $100M A 1 fixed Swap rate Swap 3 ( 5 fixed Swap rate 7.45%) A A Three-Month Forward Swap (7.623%)

55 5. - Forward Start Swap 2 A Swap Dealer B 5 3 swap 7.50% (A current fixed-rate rate for a 5-year swap 7.45%) Swap Dealer B A 3 7.5% Swap Dealer C 5.5% b.p. A Company Company L Swap Libor 7.5% 3 Swap Swap Swap Dealer Dealer B 5.5% Libor 5 3 Swap 7.5% 5 3 Swap (L) 3 Swap (5.5%) 3 Swap L 2.00 K Bbank Bbank Swap Swap Dealer Dealer C

56 5. - Forward Start Swap 3 Swap Dealer B A Forward Start Swap 2% swap rate 12.3b.p. swap rate x(1-(1/( %) i )/(1-1/( %)) = 200 (i 1-20) x = b.p. x x x Forward Start Swap 7.5% % = % A Company Company Libor 7.623% Swap Swap Dealer Dealer B

歯스왑노트1

歯스왑노트1 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