Fixed Income Securities Derivatives Products KTBF / IRS / CRS / FX Swap Rate December 2005
Major Agenda I. I. Fixed Income Rate Trends II. Risk Exposure III. IRS / CRS / FX Swap IV. KTB Futures & Strategy Ⅴ. Arbitrage Transaction ⅤI. Bond Replication 2
I. Fixed Income Rate Trends 금통위 12 / 08 일 : 2005 년 10 월이후 2 번째금리인상 / 3.75%p 연준리 12 / 13 일 : 2004 년 6 월이후 13 번째금리인상 / 4.25%p 4.5 Call FFR 02.12.16 05.22 03.10.27 03.30 08.30 01.27 07.04 05.11 3
I. Fixed Income Rate Trends Short Term : CRS < US IRS Long Term : CRS > US IRS 6.00 5.75 KTB CRS IRS US IRS 5.50 5.25 0 4.75 4.50 4.25 0 1Y 2Y 3Y 5Y 10Y 4
I. Fixed Income Rate Trends KTB1Y > IRS1Y > CRS1Y CRS1Y < US IRS1Y 6.0 KTB1Y IRS1Y CRS1Y US IRS1Y 02.12.16 05.22 03.10.27 03.30 08.30 01.27 07.04 05.11 5
I. Fixed Income Rate Trends KTB3Y > IRS3Y > CRS3Y CRS3Y < US IRS3Y 6.0 KTB3Y IRS3Y CRS3Y US IRS3Y 02.12.16 05.22 03.10.27 03.30 08.30 01.27 07.04 05.11 6
I. Fixed Income Rate Trends Normal Yield Curve / Strong Premium 2005.12.12 일현재 KTB10Y-KTB3Y Spread +53bp 6.5 6.0 5.5 KTB10Y-KTB3Y[R] KTB3Y KTB10Y 4.5-02.12.16 05.22 03.10.27 03.30 08.30 01.27 07.04 05.11 7
I. Fixed Income Rate Trends Flattened Yield Curve / Weak Premium 2005.12.12 일현재 TN10Y-TN2Y Spread +11bp 6.0 5.5 TN10Y-TN2Y[R] TN2Y TN10Y 4.5 4.5 - - 02.12.16 05.22 03.10.27 03.30 08.30 01.27 07.04 05.11 8
Ⅱ. Risk Exposure 11
Ⅲ. IRS / CRS / FX Swap 2005.12.12 일현재 CRS1Y-US IRS1Y 스프레드 -40bp 2005.2.28 일 CRS1Y & US IRS1Y 역전 6.0 5.5 4.5 CRS1Y-US IRS1Y[R] CRS1Y US IRS1Y 4.5 - - - 02.12.16 05.22 03.10.27 03.30 08.30 01.27 07.04 05.11 12
Ⅲ. IRS / CRS / FX Swap NDF 1Y Forward Exchange Discount 2005.2.28 일 Swap Point1Y 마이너스반전 1,300 80 1,250 Sw ap Point1Y[R] USD/KRW NDF1Y 60 1,200 1,150 40 1,100 20 1,050 1,000 0 950-20 02.12.16 05.22 03.10.27 03.30 08.30 01.27 07.04 05.11 13
Ⅲ. IRS / CRS / FX Swap KRW IRS Long Position CRS Short Position USD IRS Long Position CRS Basis Swap CRS Receive Cross Currency Coupon Swap Market Neutral Cross Currency Coupon Swap CRS Basis Swap CRS Pay KRW IRS Short Position CRS Long Position USD IRS Short Position 14
Ⅲ. IRS / CRS / FX Swap 15
Ⅲ. IRS / CRS / FX Swap 16
Ⅳ. KTB Futures & Strategy 6.0 5.5 4.5 - - KTB1Y IRS1Y CRS1Y 1Y Basis Sw ap[r] - 1Y Sw ap Spread[R] - 02.12.16 05.22 03.10.27 03.30 08.30 01.27 07.04 05.11 20
Ⅳ. KTB Futures & Strategy 6.0 5.5 4.5 - - KTB3Y IRS3Y CRS3Y 3Y Basis Sw ap[r] - 3Y Sw ap Spread[R] - 02.12.16 05.22 03.10.27 03.30 08.30 01.27 07.04 05.11 21
V. Arbitrage Transaction CRS Pay + KTB Long Position [KTB Rate > CRS Rate] KTB-Linked Swap Position 의핵심은 CRS Rate 가 KTB Rate 보다낮은경우차익거래가가능 따라서차익거래포지션은 CRS Pay Position + KTB Long Position 대응으로양자간적정스프레드로축소 외국계은행은달러자금조달 + CRS Pay [ 원화고정지불 + 달러변동수취 ] + 원화채권매수포지션 달러자금조달로 +KTB Rate 수취 / -CRS Rate 지불로 KTB-CRS 가 Risk Free Arbitrage Transaction CRS Arbitrage Transaction USD 자금조달 -USD 변동금리 외국계은행카드사해외채권발행 CRS Pay + USD 변동금리 - KRW CRS 고정금리 생보사 CRS Receive + KRW KTB 고정금리 KRW 채권투자 22
V. Arbitrage Transaction Dollar Carry Trade P/L = CRS US IRS FX Swap Rate 2004 년 2 월 NDF 차액결제선물환규제로급락행진 [ 외국인의경우저금리달러조달로고금리통안채운용 ] 0.8 Sw ap Rate1Y[R] Dollar Carry Trade P/L 0.3-0.3 - -0.8 - - - 02.12.16 05.22 03.10.27 03.30 08.30 01.27 07.04 05.11 24
V. Arbitrage Transaction 6.0 5.5 CRS1Y-US IRS1Y[R] CRS1Y US IRS1Y Sw ap Rate1Y[R] 4.5 - - - - 02.12.16 05.22 03.10.27 03.30 08.30 01.27 07.04 05.11 25
V. Arbitrage Transaction 6.0 5.5 4.5 - - CRS3Y-US IRS3Y[R] US IRS3Y - CRS3Y Sw ap Rate3Y[R] - 02.12.16 05.22 03.10.27 03.30 08.30 01.27 07.04 05.11 26
VI. Bond Replication 27
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