12 1 8 6 4 2-2 -4-6 ( ) RP 6/1 6/8 7/3 7/1 8/5 1

9

11

1 94 Majo() OITP() 88 82 76 7 24-2-29 25-7-3 26-11-5 28-3-9 15 144 138 132 126 12

WTI() aud/jpy() 2 24-1-4 25-12-4 27-11-4 16 132 14 76 48 ($/ ) (yen) 11 98 86 74 62 5 13

11

15

17

1 1.62 ( ) ( ) 15 125 118 111 14 97 () NET USD/JPY 1 ( ) 9 27-9-25 28-3-18 28-9-9 4-2 -8-14 -2 1.54 1.46 1.38 1.3 NET EUR/USD 1.22-1 27-9-25 28-3-18 28-9-9 1 5-5 19

28. 1. 22 Negative Cay 2)786-491 seunghoon74.lee@samsung.com 28. 2. (Flightto-quality). CD CD91 22 6.1%. 5.% CD (1999 9 ) -11bp. CD. ( ). 2

(+/-) (+). (Negative Cay). Negative Cay. Positive Cay ( ) (Theta). ( ) (Positive Cay). ( ). Negative Cay Negative Cay Positive Cay. Negative Cay CD91. CD 1 Negative Cay. (Cost Of Cay Model) [1]. Negative Cay. (KRX) 1 CD91 Call 2 1

2 2 -. CD Call. Call CD Call. [ 2]... (i). (ii). ) 365 * ]*(1 / 365) *( 1 [ 1 1 2 2 d I S F d + + = 2 2 1 1 d d S I ) 365 * ]*(1 / 365) *( 1 [ 1 1 2 2 d I S F d + + = 2 2 1 1 d d S I ) ( t Function s f i Diection Opposite ) ( ) ( ) ( ) ( fixed. is when t (i) < = = = f i s i f f f f i i t t t Diection Opposite Diection Same fo fixed. is given vaies. t is if (ii) < > = k k k t t s f i t s f i T s t T f t i ) (1 ) * (1 ) 1 ( + = + + ) ( t Function s f i Diection Opposite ) ( ) ( ) ( ) ( fixed. is when t (i) < = = = f i s i f f f f i i t t t Diection Opposite Diection Same fo fixed. is given vaies. t is if (ii) < > = k k k t t s f i t s f i T s t T f t i ) (1 ) * (1 ) 1 ( + = + +

[ 2-1] (Nomal) Positive Cay. Cal l ( ). [2-2] ( ). Positive Cay. (Invet) Negative Cay [2-1] ( ). Negative Cay.. (Twist) N.Cay-P.Cay Call CD ( )[3-1]. ( ). [3-2] Negative Cay Positive Cay 2. 2 3

. 35%. 3 (2 )25 35%. 11~1 5 3 [11 ~1 ] [4/4 ~1/4 ] 4/4~1/4... Negative Cay. 2 4

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28 1 16 [8-2 2 8-5 1 8-4 5 8-3 3 ] (KTB812). +1bp +5bp bp -5bp - 1bp ROI( ). 1.. 2.. 1 3. Negative Cay (+).[ Total Cay = KTB(+)Cay - KTBF(-)Cay] 2 Negative Cay Positive Cay 1. ( = ). [.]... Intenet. 2 6

28.1.28 2)786-528 sj128.jeon@samsung.com 2 7

9 72 54 36 18 5 35 15 4 MSCI () 28 MSCI () 12 3 21 9 2 1 14 7 6 3 1996-1-5 1999-11-5 23-9-5 27-7-6 vix() Ted spead( %p) 199-1-5 1994-1-21 1999-8-6 24-5-21 2 8

28 (yen) (yen) 15 8 (%) (%) 7 248 9 6 6 216 75 4 5 184 6 2 GBP/JPY() 4 152 NZD/JPY() 45 GDP (yoy) 12 3-2 GDP (yoy) 3 24-1-4 25-5-8 26-9-1 28-1-2 1997-3-31 21-6-3 25-9-3 2 9

3 1 2 3 4 5 2-1-2 22-4-2124-8-8 26-11-26 32 64 96 128 ($/ 16 ) CRB() WTI() 7 92 114 136 158 18 1998-1-4 21-6-17 24-11-28 28-5-11 (yen) 5 64 78 92 16 12 (yen) EUR/JPY AUD/JPY

3 1 7 82 94 16 118 13 22-1-6 24-4-25 26-8-13 5 64 78 92 16 12 (yen) usd() aud/jpy()

3 2... Intenet.

2 1-1 -2 (%) 8 () 2 2Q 3 4Q 5 2Q 6 4Q 8 2Q 12 1 () 6 4 35 3 25 2 15 1 5-5 -1 (%) 7.1 7.6 7.11 8.4 8 6 4 2 (%) () (%) GDP ( ) 2 1Q 3 1Q 4 1Q 5 1Q 6 1Q 7 1Q 8 1Q 4 3 2 1-1 118 116 114 112 11 18 16 14 12 1 98 () (%) () 23/1 24/4 25/7 26/1 28/1 1 8 6 4 2-2

9 3 () () 7 2 5 3 1 1-1 231 241 251 261 271 281 5.4.8 SPREAD 3YR 5YR 6.5 4.6 5.2 35.4 5 6. 3.2 25 4.8. 5.5 2.2 15 4.6.4 5. 1 4.4.6 5 4.5-5 4. -1 ( ) 38629 38992 39365 28/1/14 85 () 25 KOSPI() /() () KOSDAQ() 15 /() 164 185 75 154 14 144 165 65 13 134 145 55 124 12 114 125 45 11 14 94 15 35 1 84 9 74 85 25 27/3/7 27/1/16 28/5/27 7-3 11-14 3-28 8-8

5 1 4/6/11 6/5/12 8/4/11 (FFR%) 2 6 1 14 18 ( $) FFR

1 14 18 22 2/11 5/5 7/11 ( ) -2-1 1 2 ( %) S&P Cashe-Shille S&P Cashe-Shille -12-7 -2 3 8 13 5/4 6/7 7/1 (%) -2-1 1 2 6/3 7/1 7/11 ( %) -3-1 1 3 ( %)

Commodity Maket Oveview 5 45 4 35 3 25 28 7 1 28 8 1 28 9 1 28 1 1 $ 17 1 $ / / B 15 95 O a u 13 9 n 11 85 c e e l 9 8 7 75 5 7 7 1 7 22 8 12 9 2 9 23 1 14 1 28 9 5 28 5 23 28 2 8 8 6 4 2 2 4 6 8 27 1 26 1 B a e l Thousand Baels 3 25 2 15 1 5 5 7 11 7 12 8 1 Net Long Shot 8 2 8 3 8 4 8 5 8 6 8 7 8 8 8 9 8 1