朝陽科技大學財務金融系

: 99.4.29

Fixed income Markets_

http://phs.nsc.com.tw/m/mh/mhja/mhja.htm

DIY %79 80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98

: ( ) p21

-- 200110 P

:P1 1994 MBSCDO

() p275 20019

() () ()() () ()

~ ~ http://www.tcbank.com.tw/

2-30//5-7/2-3/3-10///

:() p37 19965

1/2 224

2/2 72190http://www.topbond.com.tw/tbftp/college/supra.pdf

(). => =>

:() p277~278 20019

():() p278 20019

A9810398398/03/05 108/03/05A9810298298/02/16118/02/16A98101R98198/01/21103/01/21A9810198198/01/21103/01/21A97106R97697/09/24107/09/24A9710697697/09/24107/09/24D9710297297/09/23102/09/23A9710597597/08/14117/08/14A97105R97597/08/14117/08/14A97104R97497/07/20102/07/20A9710497497/07/20102/07/20D9710197197/04/18102/04/18A9710397397/03/14107/03/14A97103R97397/03/14107/03/14A97102R97297/02/14117/02/14A9710297297/02/14117/02/14A9710197197/01/16102/01/16A97101R97197/01/16102/01/16D9610196197/01/07100/01/07A9610796796/11/16116/11/16A9620196196/10/19101/10/19A9610696696/09/21106/09/21A96106R96696/09/21106/09/21A9610596596/07/20101/07/20A96105R96596/07/20101/07/20A9610496496/05/1898/05/18C961019696/05/07106/05/07A96103R96396/03/16106/03/16A9610396396/03/16106/03/16A9610296296/02/14116/02/14A96102R96296/02/14116/02/14A96101R96196/01/26101/01/26A9610196196/01/26101/01/26D9510195195/12/2198/12/21A9510795795/11/10115/11/10A95106R95695/09/08105/09/08A9510695695/09/08105/09/08A95105R95595/07/20100/07/20A9510595595/07/20100/07/20C9510295295/06/29105/06/29A9510395395/03/31105/03/31A95103R95395/03/31105/03/31C951019595/03/08105/03/08A951029595/02/24115/02/24A95102R95295/02/24115/02/24A951019595/01/06100/01/06A95101R95195/01/06100/01/06D941029494/12/1499/12/14A9410894894/11/16109/11/16A94107R9494/09/12104/09/12A941079494/09/12104/09/12A94106R9494/07/2099/07/20A941069494/07/2099/07/20A941059494/05/13109/05/13A94104R9494/03/16104/03/16A941049494/03/16104/03/16A941039494/02/25114/02/25A94103R9494/02/25114/02/25A94102R9494/01/2499/01/24A941029494/01/2499/01/24D931039394/01/0599/01/05A931099393/11/18113/11/18A931089393/09/15103/09/15A93108R9393/09/15103/09/15A93107R9393/07/2298/07/22A931079393/07/2298/07/22C931029393/07/15103/07/15A931069393/05/27123/05/27C931019393/03/16103/03/16A93104R9393/03/04103/03/04A931049393/03/04103/03/04A93103R9393/02/10113/02/10A931039393/02/10113/02/10A921109292/12/05102/12/05A921079292/09/19102/09/19A921049292/03/07102/03/07A92104R9292/03/07102/03/07A92103R9292/02/18112/02/18A921039292/02/18112/02/18A911119191/12/17101/12/17A9110891/09/10101/09/10A911079191/08/16111/08/16A911049191/03/08101/03/08A911039191/02/05111/02/05A9010890/11/13110/11/13A9010790/10/19105/10/19A902019090/09/11110/09/11A901069090/08/07105/08/07C901029090/07/18100/07/18A901059090/07/17120/07/17C901019090/05/30100/05/30A901049090/05/08110/05/08A901039090/03/06105/03/06A901029090/02/13110/02/13A901019090/01/09100/01/09A891148989/12/1599/12/15A891138989/11/14109/11/14A891118989/08/11104/08/11A891108989/06/1699/06/16A892018989/04/21109/04/21A891098989/03/14104/03/14A891078989/01/18109/01/18A891068988/12/1798/12/17A891058988/11/2398/11/23A891048988/10/15103/10/15A891038988/09/28103/09/28A891028988/08/2098/08/20A882018888/04/23108/04/23A881038888/01/22108/01/22A881028887/11/24107/11/24A872018787/02/20102/02/20A871038786/12/19101/12/19A864038686/03/11101/03/11A863108686/01/21101/01/21A863098685/08/23100/08/23009558585/03/22100/03/22A854028585/03/22100/03/22A853068584/09/2299/09/22007538584/09/2299/09/22006528584/08/2599/08/25A853058584/08/2599/08/25A854018584/07/2199/07/21005518584/07/2199/07/21004428484/06/1699/06/16A843048484/06/1699/06/16

1. a. b. c. d. e.

1. 2. 3.

1. Callable bond

2.

1. : a. b.

2.

1.: 2.: 3.Zero coupon bond - ,

1.2.3. 4.5.

()

P 72

:

( ):P.74

; p.259

http://www.boma.gov.tw/modules/law/

ADB)(EBRD)(IADB)(EIB)(NIB)(CEDB)(CABEI) ADB

:http://www.topbond.com.tw/topbond/asp/

Standard&poorsMoodysAAAAaaAAAAaaAAAAaaAAAAaaAAAAaaAAAAaa

1966594316

http://www.topbond.com.tw

()(ADB)()(EBRD)()(IADB)()(EIB)()(NIB)()(CEDB)()(CABEI) http://www.topbond.com.tw


Standard and PoorsModdys AAAAaaAAAAaaAAAAaaAAAAaaAAAAaaAAAAaaN/AN/A

()()()() ()()()()



(%)(%)017/26/952.676.28--0212/19/967.076.00--033/8/992.035.2--033/8/996.055.35--033/8/992.075.4--

(IRS) 20-30 IRSIRS

( )CB()( Downside ProtectionCB ) ()

( )

920901

Email address

(Burton G. Malkiel)

Mortgage Backed Securities(MBS)

(orphan equity)

Put-Call Parity

20095$19,000,00031.6667%1.75000.5542

12048$5,760,0009.6000%1.48000.1421

36019$6,840,00011.4000%-0.7500-0.0855

25035$8,750,00014.5833%2.49900.3644

40510$4,050,0006.7500%-0.5400-0.0365

30052$15,600,00026.0000%1.19700.3112

$60,000,0001.2500

p1.5389.3156869551=12*N

(1)N=32.4429739129

(2) 5400 N=0

(20=326

Y927159261.45%91-2A

4.0%Y9291

9261.55%91-2A4.725%

(1)92715Y

(2)9291

( )

( 20

)

92715

9291

(

20

)

&R&","&"Courier,"

&C&","&"Courier,"&P&","&"Courier," / &","&"Courier,"&N&","&R

$32,286,497 / $106,274,213

=

1

4.0000%

50,000,000

3

2002/09/02

912A

1

1.5000 %

50,000,000

5

2003/07/15

926

-rt

920901

Email address

GNMA

5.(orphan equity)

Put-Call Parity

Ps>kPs

,,,

A.1112

031,749,00070.69%1-, 2-, 3-(), 4-,5-

1(92)9,200,00020.48%1-(), 2-(), 3-, 4-, 6-, -

21,640,0003.65%

32,325,0005.18%

44,914,000

() 01230~55~1010~1515~2020~500~2525~5050~7575~100100~125125~150

10* ()700,0007000000000000000000000

10* ()200,000200,000000

10* ()322,0000000

10* ()600,000600000000

10* ()800,000800,000000

10* ()300,0000000

10* ()500,000500000000

10 ()400,0000000

10* ()400,000400000000

10* ()200,000200000000

10* ()800,0000000

10* ()750,0000000

10* ()300,0000000

10* ()500,0000000

10* ()1,200,0000000

10* ()500,000500000000

10* ()200,000200000000

10* ()400,0000000

10*()400,0000000

10* ()360,0000000

10* ()700,0000000

10* ()600,0000000

42* ()300,0000000

10* ()300,000300,000000

10* ()300,0000000

62* ()4,500,0000000

10* ()1,200,0001200000000

10* ())320,000320000000

10* ()420,000420000000

10* ()600,000600000000

10* ()600,0000000

10* ()850,0000000

10* ()200,000200000000

10* ()500,000500000000

10* ()1,200,0001200000000

10* ()200,000200000000

10* ()320,000320000000

10* ()550,0000000

10* ()1,910,0001910000000

10* ()700,000700000000

10* ()900,000900000000

10* ()240,000240000000

10* ()100,000100000000

10* ()200,000200000000

10* ()400,000400000000

0* ()350,000350000000

10* ()250,000250000000

10* ()1,000,0001000000000

10* ()400,000400000000

10* ()6,000,0006000000000

42* ()500,000005000000

10* ()300,000300000000

10* ()850,000850000000

10* ()1,300,0001300000000

10* ()350,000350000000

42* ()330,000003300000

11* ()380,000038000000

10* ()3,000,0003000000000

42* ()510,000005100000

10* ()750,000750000000

10* ()380,000380000000

10* ()1,500,0001500000000

10* ()400,000400000000

10* ()250,000250000000

10* ()200,000200000000

10* ()1,000,0001000000000

10* ()600,000600000000

10* ()359,000359000000

42* ()300,000003000000

11* ()250,000025000000

11* ()300,000030000000

11* ()200,000020000000

11* ()900,000090000000

41* ()210,000021000000

3* ()500,000000500000

11* ()300,000030000000

11* ()4,000,0000400000000

11* ()160,000016000000

3* ()1,000,0000001000000

11* ()700,000070000000

11* ( )1,000,0000100000000

3* ()200,000000200000

11* ()200,000020000000

11* ()300,000030000000

11* ()300,000030000000

3* ()500,000000500000

3125,000000125000

31,749,0009,200,0001,640,0002,325,000

A1

31749000

9200000

1640000

2325000

91.11.12()

A2

2

15

2

5

1

2

A3

0

11

4

5

5

0

2

%

B.91

1230.000000

0.1.15.0

123456123456

18503637,2657.0144.0032.7024.50133.538,3602.16115.7650.00.00.00.06.9590.0

28503437,2675.0105.0014.0016.5084.838,3622.16115.4350.00.00.00.04.9520.00.00.00.00.01.0000.0

38503537,2824.9127.0049.1037.64130.438,3772.21114.116614.8610.00.00.00.00.01.0000.00.00.00.00.0

44104137,2843.0112.8056.5057.6898.038,3792.21107.6960.00.00.00.00.02.9600.00.00.00.00.01.000

56112137,3713.2107.0019.1039.4048.538,4662.45110.87250.00.00.00.03.2200.00.00.00.00.01.0000.0

68503737,3725.093.5014.8539.9037.238,4672.45110.8730.00.05.0000.00.00.00.00.01.0000.00.00.0

72456137,3767.089.0017.4033.5051.938,4712.46110.7150.00.00.00.07.0000.00.00.00.00.01.0000.0

85473137,3786.095.0014.0527.4051.338,4732.47112.4850.00.00.00.06.0000.00.00.00.00.01.0000.0

98505637,3824.0104.4524.6033.8072.838,4772.48111.1950.00.00.00.04.0000.00.00.00.00.01.0000.0

105388137,3832.0149.8027.3020.30134.538,4782.48109.2750.00.00.00.02.0000.00.00.00.00.01.0000.0

116150137,3864.099.5012.5029.4042.538,4812.49109.27350.00.00.00.04.0000.00.00.00.00.01.0000.0

128503837,3913.0109.0026.9028.2095.438,4862.50112.4950.00.00.00.03.0000.00.00.00.00.01.0000.0

135478137,3923.0116.5099.5091.40108.938,4872.51110.0750.00.00.00.03.0000.00.00.00.00.01.0000.0

148503937,3977.567.0014.3030.2047.438,4922.52109.2750.00.00.00.07.5000.00.00.00.00.01.0000.0

154105137,4144.0135.0073.5059.60123.338,5102.57116.98660.00.00.00.00.04.0000.00.00.00.00.01.000

168505937,4188.0104.0030.5038.1280.038,5132.58109.2718.0000.00.00.00.00.01.0000.00.00.00.00.0

176127137,4192.0100.0014.3028.1050.938,1501.58106.0912.0000.00.00.00.00.01.0000.00.00.00.00.0

186127237,4201.6100.0014.3028.1050.938,1511.59108.5811.6000.00.00.00.00.01.0000.00.00.00.00.0

198504037,4208.0109.9037.7042.9087.938,5152.58109.2750.00.00.00.08.0000.00.00.00.00.01.0000.0

208924137,4214.0125.4055.5064.4086.238,5172.59110.0714.0000.00.00.00.00.01.0000.00.00.00.00.0

216105137,4253.0103.0019.2026.2073.338,5212.60110.8750.00.00.00.03.0000.00.00.00.00.01.0000.0

226110137,4275.090.0014.1530.9045.838,5232.61110.8750.00.00.00.05.0000.00.00.00.00.01.0000.0

238506337,4272.0100.1025.8026.5097.438,1571.60107.1212.0000.00.00.00.00.01.0000.00.00.00.00.0

246121137,4315.0113.3058.0064.6089.838,5272.62108.95550.00.00.00.05.0000.00.00.00.00.01.0000.0

256129137,4323.0125.0081.5078.32104.138,5272.62112.486450.00.00.00.03.0000.00.00.00.00.01.0000.0

264103137,4344.2103.0075.5085.3288.538,5292.62109.2760.00.00.00.00.04.2000.00.00.00.00.01.000

276166137,4343.2104.2037.7038.1099.038,5292.62109.2750.00.00.00.03.2000.00.00.00.00.01.0000.0

288504137,4347.0100.408.9012.8069.5xxx30.00.07.0000.00.00.00.00.01.0000.00.00.0

298505537,43810.0100.0046.0053.7085.738,5342.6410050.00.00.00.010.0000.00.00.00.00.01.0000.0

308504237,44712.097.5023.0025.6289.838,5422.66107.6950.00.00.00.012.0000.00.00.00.00.01.0000.0

318505237,4546.0113.0043.6041.60104.838,1841.68105.57650.00.00.00.06.0000.00.00.00.00.01.0000.0

328504337,46119.1104.8023.6030.2678.038,5562.70105.342450.00.00.00.019.1000.00.00.00.00.01.0000.0

335442137,4632.0101.2015.0014.42104.038,5582.70115.7650.00.00.00.02.0000.00.00.00.00.01.0000.0

348504537,4675.5114.2037.8032.80115.238,5622.71109.2750.00.00.00.05.5000.00.00.00.00.01.0000.0

358504637,46712.0100.0025.7039.5065.138,5622.71109.2750.00.00.00.012.0000.00.00.00.00.01.0000.0

368926137,4689.0100.3010.6013.0081.538,5632.72103.0319.0000.00.00.00.00.01.0000.00.00.00.00.0

375208137,4733.295.0016.6025.1066.138,5682.73110.8750.00.00.00.03.2000.00.00.00.00.01.0000.0

384111137,4761.0100.0015.5016.9091.738,5712.74106.276960.00.00.00.00.01.0000.00.00.00.00.01.000

398504737,4765.0102.5026.1032.6080.138,5712.74107.689150.00.00.00.05.0000.00.00.00.00.01.0000.0

408505737,4776.0104.1526.4027.0097.838,5722.74109.2750.00.00.00.06.0000.00.00.00.00.01.0000.0

416114137,4822.093.5010.3514.4071.938,2121.75106.6150.00.00.00.02.0000.00.00.00.00.01.0000.0

426155137,4841.3107.0048.8040.00122.038,5792.76109.2750.00.00.00.01.2500.00.00.00.00.01.0000.0

436155237,4841.2133.5048.8040.00122.038,5792.76110.0750.00.00.00.01.1500.00.00.00.00.01.0000.0

448504837,4846.0106.0034.5036.4094.838,5802.76112.4950.00.00.00.06.0000.00.00.00.00.01.0000.0

458506237,48460.0103.3030.9031.8097.238,5802.76109.5940.00.00.060.0000.00.00.00.00.01.0000.00.0

466120137,4884.0100.0027.5037.4073.538,2191.77106.0950.00.00.00.04.0000.00.00.00.00.01.0000.0

476172137,4893.0101.0018.1019.5092.838,2191.77105.5850.00.00.00.03.0000.00.00.00.00.01.0000.0

488504937,49013.098.5012.8516.5077.938,5852.78110.8750.00.00.00.013.0000.00.00.00.00.01.0000.0

498505037,4962.099.0011.8512.7093.338,2261.7910050.00.00.00.02.0000.00.00.00.00.01.0000.0

506159137,4974.00.0012.5027.6045.338,2271.79106.6150.00.00.00.04.0000.00.00.00.00.01.0000.0

516178137,4983.591.1518.0023.6076.338,2281.80107.6450.00.00.00.03.5000.00.00.00.00.01.0000.0

524532137,50110.0102.1017.7019.0093.238,5962.81110.07110.0000.00.00.00.00.01.0000.00.00.00.00.0

535457137,5046.997.5026.7030.0089.038,5992.81109.2750.00.00.00.06.9000.00.00.00.00.01.0000.0

545310137,5102.599.6525.2025.10100.438,6052.83114.1250.00.00.00.02.5000.00.00.00.00.01.0000.0

558506437,51230.0102.0013.8015.5089.038,2421.84104.0420.030.0000.00.00.00.00.01.0000.00.00.00.0

565386137,5152.0100.0026.8028.2095.037,8790.8410050.00.00.00.02.0000.00.00.00.00.01.0000.0

575345137,5178.594.9011.0013.0084.638,6122.85111.6850.00.00.00.08.5000.00.00.00.00.01.0000.0

586161137,5243.890.0029.3038.6575.838,6192.87108.850.00.00.00.03.8000.00.00.00.00.01.0000.0

598506537,5257.097.5010.6011.0595.938,6202.87110.8750.00.00.00.07.0000.00.00.00.00.01.0000.0

608506637,5293.5103.5023.8023.9099.638,6242.88110.8713.5000.00.00.00.00.01.0000.00.00.00.00.0

616165137,5314.0106.0023.1020.60112.138,2611.89106.0950.00.00.00.04.0000.00.00.00.00.01.0000.0

628506737,53115.0109.1032.7039.4083.038,6262.89109.2750.00.00.00.015.0000.00.00.00.00.01.0000.0

636123137,5332.50.0016.1025.5063.138,2631.89106.39950.00.00.00.02.5000.00.00.00.00.01.0000.0

646141137,5462.0125.0068.0070.0097.138,641109.2750.00.00.00.02.0000.00.00.00.00.01.0000.0

658506837,5513.6125.1030.0023.85125.838,2811.94105.6850.00.00.00.03.5900.00.00.00.00.01.0000.0

668506937,5527.5100.5012.0012.6095.238,6472.95111.6850.00.00.00.07.5000.00.00.00.00.01.0000.0

678507037,5536.0107.5033.7032.00105.338,2831.95106.0950.00.00.00.06.0000.00.00.00.00.01.0000.0

686162137,5722.550.00.00.00.02.5000.00.00.00.00.01.0000.0

698507137,5799.050.00.00.00.09.0000.00.00.00.00.01.0000.0

441.44244.96130.00012.00060.000282.32112.1609.0001.0002.0001.00051.0004.000

441.4123456

44.96130.00012.00060.000282.32112.160

9121514

282.32160.00044.96

64.0%13.6%10.2%

ibts:

ibts:

ibts:20%

ibts:03010930

ibts:20%

ibts:

ibts:20%

ibts:20%

ibts:20%

ibts:20%

ibts:0923-38.1

ibts:17%

ibts:0726 list

ibts:0805list

ibts:20%

ibts:20%

ibts:20%

ibts:0920-34.6

ibts:0902 list

ibts:0829 list

ibts:0830 list

ibts:1228

ibts:1201

ibts:93/9/29---10095/9/29---115.87

ibts:2---106.3993---110.074---114.089

B1.

44.9619

301

122

601

282.32151

12.164

()

91

C92

1230.000000

0.1.15.0

18500136,5544.9118.0025.9041.9561.737,6490.21121.826.026435416.026435416.0264354

22514236,192124.503.6510.0036.537,6530.22136.05010

32340135,846144.0012.8531.0041.537,6720.27148.6401020

42344235,9008.7142.1014.5525.0358.137,7260.42146.9312.7931951112.7931951

52204235,91418.9137.9542.9030.10142.537,7400.46135.5925.6712547125.6712547238.4644498

62315235,928142.0014.1524.4357.937,7540.50146.93010

72373135,9302.3131.508.2529.8427.637,7560.50145.243.31147213.311472

88500336,6647.9134.5089.0067.30132.237,7590.51120.799.49409419.494094

92342235,93616.197.506.8025.0027.237,7620.52145.9223.4989568123.4989568

102418136,6685.3192.0032.7022.20147.337,7630.52122.56.43982516.439825

118501737,042133.5031.6034.1092.737,7720.55110.25010642.7443478

128502437,047107.8023.0028.8079.937,7770.56110.9862010

136004136,684117.5014.7023.1963.437,7780.56121.14010

148502537,0482.8106.5012.6018.5068.137,7780.56110.77563.101716813.1017168

158500436,6930.995.0023.4045.5051.437,7870.591000.90310.903

168500836,72410.3103.008.5528.0030.537,7880.59121.6512.483723112.483723

178500536,697113.5019.8028.7069.037,7910.60118.26010

188500636,699103.1040.0077.5051.637,7930.61100010

198500736,70546.5109.8028.1090.6031.037,8000.62114.1153.0257759153.0257759

208501937,0701.4106.008.5018.3046.437,8000.62110.781.536518611.5365186

218504437,0714.0119.9056.0059.0094.937,8010.63108.164.326414.32641075.3771343

228502137,119110.2018.1028.6063.337,8490.76110.25010

235315136,02492.359.7047.1120.637,8500.76107010

248501136,757103.907.9010.1378.037,8520.77112.2010

258501036,7631.6205.0023.4012.30190.237,8580.78121.481.916954411.9169544

268500936,769111.0041.00158.5325.937,8640.80115.7601051.9169544

272353136,782114.0526.6042.0063.337,8770.84117.4241010

285386137,5152.0100.0026.8028.2095.037,8790.8410021222

295326236,80810.090.0010.2036.6027.937,9030.91119.7811.978111.978

301503136,091139.0014.7029.6849.537,9170.95146.93010

318501336,825157.0021.9023.3094.037,9200.95120.79010311.978

322364136,116108.807.8523.5033.437,9421.01124.9301010

3326101()35,4114.3101.4010.7513.3080.837,9671.081004.29114.291

3426102()35,411148.0010.7513.3080.837,9671.08100010

358505837,238111.1030.5027.00113.037,9681.08114.1201034.291

182.798321735182.798321735182.7983217

00116.0264354

18335220

18335300

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5642.7443478

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700

851.9169544

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1110

1234.291

35182.7983217

ibts:20%

ibts:0807,317%

ibts:

C1

6.02643541

02

00

38.46444982

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4.2913

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1230.000000

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18500136,5544.9118.0025.9041.9561.737,6490.21121.826.026435450.00.00.00.06.0260.00.0

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32340135,846144.0012.8531.0041.537,6720.27148.64050.00.00.00.00.00.00.0

42344235,9008.7142.1014.5525.0358.137,7260.42146.9312.793195150.00.00.00.012.7930.00.0

52204235,91418.9137.9542.9030.10142.537,7400.46135.5925.671254720.025.6710.00.00.00.00.0

62315235,928142.0014.1524.4357.937,7540.50146.93050.00.00.00.00.00.00.0

72373135,9302.3131.508.2529.8427.637,7560.50145.243.31147250.00.00.00.03.3110.00.0

88500336,6647.9134.5089.0067.30132.237,7590.51120.799.49409450.00.00.00.09.4940.00.0

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102418136,6685.3192.0032.7022.20147.337,7630.52122.56.43982550.00.00.00.06.4400.00.0

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148502537,0482.8106.5012.6018.5068.137,7780.56110.77563.101716850.00.00.00.03.1020.00.0

158500436,6930.995.0023.4045.5051.437,7870.591000.90350.00.00.00.00.9030.00.0

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198500736,70546.5109.8028.1090.6031.037,8000.62114.1153.025775950.00.00.00.053.0260.00.0

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218504437,0714.0119.9056.0059.0094.937,8010.63108.164.326450.00.00.00.04.3260.00.0

228502137,119110.2018.1028.6063.337,8490.76110.25050.00.00.00.00.00.00.0

235315136,02492.359.7047.1120.637,8500.76107050.00.00.00.00.00.00.0

248501136,757103.907.9010.1378.037,8520.77112.2010.00.00.00.00.00.00.0

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322364136,116108.807.8523.5033.437,9421.01124.93050.00.00.00.00.00.00.0

3326101()35,4114.3101.4010.7513.3080.837,9671.081004.29120.04.2910.00.00.00.00.0

3426102()35,411148.0010.7513.3080.837,9671.08100020.00.00.00.00.00.00.0

358505837,238111.1030.5027.00113.037,9681.08114.12050.00.00.00.00.00.00.0

182.798182.79812.48429.9620.00.0138.4350.01.917

1234567

12.48429.9620.00.0138.4350.01.917

3553112311

138.43529.96214.40

75.7%16.4%7.9%

ibts:20%

ibts:0807,317%

ibts:

C2

12.4837235

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01

01

138.435389623

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9110752,46414715899059347435112

&A

Page &P

()

()

91Q 391

91()91, 60

A.1112

031,749,00070.69%1-, 2-, 3-(), 4-,5-

1(92)9,200,00020.48%1-(), 2-(), 3-, 4-, 6-, -

21,640,0003.65%

32,325,0005.18%

44,914,000

() 01230~55~1010~1515~2020~500~2525~5050~7575~100100~125125~150

10* ()700,0007000000000000000000000

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3125,000000125000

31,749,0009,200,0001,640,0002,325,000

A1

31749000

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1640000

2325000

91.11.12()

A2

2

15

2

5

1

2

A3

0

11

4

5

5

0

2

%

B.91

1230.000000

0.1.15.0

123456123456

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441.44244.96130.00012.00060.000282.32112.1609.0001.0002.0001.00051.0004.000

441.4123456

44.96130.00012.00060.000282.32112.160

9121514

282.32160.00044.96

64.0%13.6%10.2%

ibts:

ibts:

ibts:20%

ibts:03010930

ibts:20%

ibts:

ibts:20%

ibts:20%

ibts:20%

ibts:20%

ibts:0923-38.1

ibts:17%

ibts:0726 list

ibts:0805list

ibts:20%

ibts:20%

ibts:20%

ibts:0920-34.6

ibts:0902 list

ibts:0829 list

ibts:0830 list

ibts:1228

ibts:1201

ibts:93/9/29---10095/9/29---115.87

ibts:2---106.3993---110.074---114.089

B1.

44.9619

301

122

601

282.32151

12.164

()

91

C92

1230.000000

0.1.15.0

18500136,5544.9118.0025.9041.9561.737,6490.21121.826.026435416.026435416.0264354

22514236,192124.503.6510.0036.537,6530.22136.05010

32340135,846144.0012.8531.0041.537,6720.27148.6401020

42344235,9008.7142.1014.5525.0358.137,7260.42146.9312.7931951112.7931951

52204235,91418.9137.9542.9030.10142.537,7400.46135.5925.6712547125.6712547238.4644498

62315235,928142.0014.1524.4357.937,7540.50146.93010

72373135,9302.3131.508.2529.8427.637,7560.50145.243.31147213.311472

88500336,6647.9134.5089.0067.30132.237,7590.51120.799.49409419.494094

92342235,93616.197.506.8025.0027.237,7620.52145.9223.4989568123.4989568

102418136,6685.3192.0032.7022.20147.337,7630.52122.56.43982516.439825

118501737,042133.5031.6034.1092.737,7720.55110.25010642.7443478

128502437,047107.8023.0028.8079.937,7770.56110.9862010

136004136,684117.5014.7023.1963.437,7780.56121.14010

148502537,0482.8106.5012.6018.5068.137,7780.56110.77563.101716813.1017168

158500436,6930.995.0023.4045.5051.437,7870.591000.90310.903

168500836,72410.3103.008.5528.0030.537,7880.59121.6512.483723112.483723

178500536,697113.5019.8028.7069.037,7910.60118.26010

188500636,699103.1040.0077.5051.637,7930.61100010

198500736,70546.5109.8028.1090.6031.037,8000.62114.1153.0257759153.0257759

208501937,0701.4106.008.5018.3046.437,8000.62110.781.536518611.5365186

218504437,0714.0119.9056.0059.0094.937,8010.63108.164.326414.32641075.3771343

228502137,119110.2018.1028.6063.337,8490.76110.25010

235315136,02492.359.7047.1120.637,8500.76107010

248501136,757103.907.9010.1378.037,8520.77112.2010

258501036,7631.6205.0023.4012.30190.237,8580.78121.481.916954411.9169544

268500936,769111.0041.00158.5325.937,8640.80115.7601051.9169544

272353136,782114.0526.6042.0063.337,8770.84117.4241010

285386137,5152.0100.0026.8028.2095.037,8790.8410021222

295326236,80810.090.0010.2036.6027.937,9030.91119.7811.978111.978

301503136,091139.0014.7029.6849.537,9170.95146.93010

318501336,825157.0021.9023.3094.037,9200.95120.79010311.978

322364136,116108.807.8523.5033.437,9421.01124.9301010

3326101()35,4114.3101.4010.7513.3080.837,9671.081004.29114.291

3426102()35,411148.0010.7513.3080.837,9671.08100010

358505837,238111.1030.5027.00113.037,9681.08114.1201034.291

182.798321735182.798321735182.7983217

00116.0264354

18335220

18335300

4238.4644498

5642.7443478

61075.3771343

700

851.9169544

922

10311.978

1110

1234.291

35182.7983217

ibts:20%

ibts:0807,317%

ibts:

C1

6.02643541

02

00

38.46444982

42.74434786

75.377134310

00

1.91695445

22

11.9783

01

4.2913

92()

1230.000000

0.1.15.0

1234567

18500136,5544.9118.0025.9041.9561.737,6490.21121.826.026435450.00.00.00.06.0260.00.0

22514236,192124.503.6510.0036.537,6530.22136.05040.00.00.00.00.00.00.0

32340135,846144.0012.8531.0041.537,6720.27148.64050.00.00.00.00.00.00.0

42344235,9008.7142.1014.5525.0358.137,7260.42146.9312.793195150.00.00.00.012.7930.00.0

52204235,91418.9137.9542.9030.10142.537,7400.46135.5925.671254720.025.6710.00.00.00.00.0

62315235,928142.0014.1524.4357.937,7540.50146.93050.00.00.00.00.00.00.0

72373135,9302.3131.508.2529.8427.637,7560.50145.243.31147250.00.00.00.03.3110.00.0

88500336,6647.9134.5089.0067.30132.237,7590.51120.799.49409450.00.00.00.09.4940.00.0

92342235,93616.197.506.8025.0027.237,7620.52145.9223.498956850.00.00.00.023.4990.00.0

102418136,6685.3192.0032.7022.20147.337,7630.52122.56.43982550.00.00.00.06.4400.00.0

118501737,042133.5031.6034.1092.737,7720.55110.25010.00.00.00.00.00.00.0

128502437,047107.8023.0028.8079.937,7770.56110.9862050.00.00.00.00.00.00.0

136004136,684117.5014.7023.1963.437,7780.56121.14060.00.00.00.00.00.00.0

148502537,0482.8106.5012.6018.5068.137,7780.56110.77563.101716850.00.00.00.03.1020.00.0

158500436,6930.995.0023.4045.5051.437,7870.591000.90350.00.00.00.00.9030.00.0

168500836,72410.3103.008.5528.0030.537,7880.59121.6512.483723112.4840.00.00.00.00.00.0

178500536,697113.5019.8028.7069.037,7910.60118.26030.00.00.00.00.00.00.0

188500636,699103.1040.0077.5051.637,7930.61100050.00.00.00.00.00.00.0

198500736,70546.5109.8028.1090.6031.037,8000.62114.1153.025775950.00.00.00.053.0260.00.0

208501937,0701.4106.008.5018.3046.437,8000.62110.781.536518650.00.00.00.01.5370.00.0

218504437,0714.0119.9056.0059.0094.937,8010.63108.164.326450.00.00.00.04.3260.00.0

228502137,119110.2018.1028.6063.337,8490.76110.25050.00.00.00.00.00.00.0

235315136,02492.359.7047.1120.637,8500.76107050.00.00.00.00.00.00.0

248501136,757103.907.9010.1378.037,8520.77112.2010.00.00.00.00.00.00.0

258501036,7631.6205.0023.4012.30190.237,8580.78121.481.916954470.00.00.00.00.00.01.917

268500936,769111.0041.00158.5325.937,8640.80115.76050.00.00.00.00.00.00.0

272353136,782114.0526.6042.0063.337,8770.84117.4241050.00.00.00.00.00.00.0

285386137,5152.0100.0026.8028.2095.037,8790.84100250.00.00.00.02.0000.00.0

295326236,80810.090.0010.2036.6027.937,9030.91119.7811.97850.00.00.00.011.9780.00.0

301503136,091139.0014.7029.6849.537,9170.95146.93010.00.00.00.00.00.00.0

318501336,825157.0021.9023.3094.037,9200.95120.79010.00.00.00.00.00.00.0

322364136,116108.807.8523.5033.437,9421.01124.93050.00.00.00.00.00.00.0

3326101()35,4114.3101.4010.7513.3080.837,9671.081004.29120.04.2910.00.00.00.00.0

3426102()35,411148.0010.7513.3080.837,9671.08100020.00.00.00.00.00.00.0

358505837,238111.1030.5027.00113.037,9681.08114.12050.00.00.00.00.00.00.0

182.798182.79812.48429.9620.00.0138.4350.01.917

1234567

12.48429.9620.00.0138.4350.01.917

3553112311

138.43529.96214.40

75.7%16.4%7.9%

ibts:20%

ibts:0807,317%

ibts:

C2

12.4837235

29.96225473

01

01

138.435389623

01

1.91695441

92

7928.53

8085.513

8125.44

8200

83202

84273

85221.510

8638831

87773.532

88100.512

89333.218

9042531

9111441.469

8138,15022

8225,86022

8375,81024

8418,67025

85100,33028

86200,11054215

87418,570859370

88469,0568211248

89503,75697354497149259

90576,9951161989213780745660

9110752,46414715899059347435112

&A

Page &P

()

()

1 / 21 (IssuerCredit Rating)2(VolumnDebt capacity)3(Issue DayMaturity)4()5( / / ; / )6( / / / / / )

2 / 27(Yield to Call YTC )( / / / / / )8(Yield to Put YTP )( )9( / / / )10(Coupon Rate /

/

() / / ()

()()

()()()

( Government Bonds )

( Treasury Bills )

(NCDTD) ()( Negotiable Certificates Deposits )

( Banks Acceptances )

( Straight Bonds )

( Convertible Bonds )

()()

1

2

3

4

()()

1()()

(1)

(2) ()

(3)

2()()

(1)

(2)

(3)

() ( / / )

(Primary market) -

1 (IssuerCredit Rating)

2(VolumnDebt Capacity)

3(Issue DayMaturity)

4()

5( / / / )

6( / / / / / )

7(Yield to Call YTC )( / / / / / )

8(Yield to Put YTP )( )

9( / / / )

10(Coupon Rate / ** )

( )

* ()( Annuity )

()(Yield to Maturity)

1(Yield Rate)

(Yield to MaturityYTM)

2()()

(Total Present Value)

()

187.1.1

2(Burton G. Malkiel) ( )

(1)

(2)

(3)

(4)

(5)

* () ( Duration )

()

()

1()

2RP

()

1()

2RP ( RP)

3RP20% (RP

)

()

1 ()

2RP ( RP )

()

1SB(SB)

2

3RS(RS)

()

()()

()()

()()

()(YTCCB)

()

( )

() ( )

1

2

3

() ( )

1RP

2RPRP

3RPRP

4RS

5()

A.(Repurchase Agreement;REPORP)

(1).

RP(RP)

$$$$$

()

(2).

( )

()

(3).

$$$$$

RP

(4).RP

RP A=RP M [ 1 +RP t RP rp ]

365

B.(Reverse REPORS)

(1).

$$$$$

()

RS

(2).

RS

( )

()

(3).

RS

$$$$$

(4).RS

RS A=RS M [ 1 +RS t RS rs ]

365

()

1$5,000

2$100

3RP$5$300

()

()

1

2

3()

()

1RP

2RPRP

3RP

4RP()RP

()

()()

()RPRS

()()

()()

()(Money Market Mutual Fund MMMF)

()

&L*** &","&"Times New Roman," ***&C*** &","&"Times New Roman," ***&R&F

&C&","&"Times New Roman,"&P&","&"Times New Roman," / &","&"Times New Roman,"&N&","&R&D&T

:() p291 2001 9

http://www.tsc.com.tw/bond/operate/sb_main.asp

Sheet1

1

20.5%~1%,

30.01%~0.03%

4123430,000

5100,000

620,000

70.2%--0.3%

80.01%

930,00020

100.01%

11

120.03%500,000

135,000

Sheet2

Sheet3

(Yield Rate)(Yield To Maturity ; YTM)

()2.785%Buy-2.765%Sell

CFt t (Cash Flow) y (Ytm) P t(CFt) n( )

() 1. ~ CFt 2. ~ CFt 3. ~ n

510%100

(1) (2) (3)

(Burton G. Malkiel) (1)(2)(3) (4) (5)

1938Frederick R.Macaulay2.1bp 3.

CFt t (Cash Flow) y (Ytm) P t(CFt) n( )Macaulay Duration /1+Ytm )

1.2.3.4.5.6.

vs. vs. (*) vs. SWAP(*)

(OB;OS)

$$BONDBOND

( OB vs. OS)()

t1 t2.~OB.~OS(1).(1).(2).(2).(3). t1(3). t2.....dfn .dfn .=.=.

( OB )925169250.925 %P=[(10,000,0001%)/(1+0.925)^1]+ [10,000,000(1+1%)]/(1+0.925)^2 = $10,007,431( OS )925299250.8925%P=[(10,000,0001%)/(1+0.8925)^(0+353/366)] + [10,000,000(1+1%)]/(1+0.8925%)^(1+353/366)] = $10,024,379

www.cbf.com.twProfits=$16,948

( REPO;RP)RP RS

RPRSRPRSBONDBONDBONDBOND$RS$RS+Irs$$RP+Irp$RPRP/RS

10006164.383561610011095.890411

$$$$$

$$$$$

[ 1 +

365

$$$$$

$$$$$

[ 1 +

365



10006164.383561610011095.890411

$$$$$

$$$$$

[ 1 +

365

$$$$$

$$$$$

[ 1 +

365



RP92528RP30926270.75%$10,000,0000.75% 30 / 365$6,164 RP$10,000,000$6,164$10,006,164 RS9252892-1301.35% $10,000,0001.35% 30 / 365$11,096 RS $10,000,000$11,096$10,011,096

http://www.tachan.com.tw/d0001/d0006_new.htm

(Margin Trading)

(20%25)RS

1/2OP-RS $100Risk $95 Risk () p310 2001 9

2/2RSRisk$95+() p310 2001 9

(Margin Trading)()

t1 t2 ( t ).OP.OS(1).(1).(2).(2).(3).(3).(4)..RS.RS(1).RS RS(2).RS..

84616442 100,000,0007.0%$109,196,022(D)50$5,000,000$103,196,022$109,196,022-$6,000,000 5%38847 246.42% $114,989,738109,196,022$5,793,716 $830,601-537,185293,416 $103,196,0225%38/365$537,185 $5,793,716-293,4166,087,132 121.74% www.cbf.com.tw

1 2 1 2RS

( Yield curve Arbitrage )

( )

( )

()()()()

: 1/2() 93\4\2193\5\21

: 2/2()

93\4\2193\5\21

() p313 20019

(Immunization Strategy )

() p313 20019

() p313-314 20019

() p314 20019

() p314-315 2001

(1) (2)(3)(4)

() p315 20019

(1)

() p315 20019

(2)

() p315 20019

(3) () p315 20019

(4)

() p315 20019

( ) 1 2 3

200435%Fed

.().().().(). -- -- (). --

. ().()-- (WPI) (CPI) (). -- -- -- -- --

(). -- (). -- -- -- -- (). --

(2001/1/1~2002/11/22)22.533.544.555.5Jan-01Apr-01Jul-01Oct-01Jan-02Apr-02Jul-02Oct-0210yr5yr15yr20yr%150bps2002/3/264.263%2002/11/222.737%

~t1t2abab ()YTM t1aa t2bb

~t1t2acacYTM t1aa t2cc

t1t2abcabc

T1(92.07.01)T2(92.07.15)3.865%3.625%2.925%4.425%3.975%3.525%922(3.625%)923(3.975%)

-1 RP 2RP RP3RP RP4RS

(). (). (). (). ().

. (). -- -- -- (). -- (). --

(). -- (). ().

- 1. 2., 3., 4., 5. 6. 7. 8.

() () () () () () ()

http://www.tsc.com.tw/bond/operate/dict_main.asp

Sheet1

27

20%

RP.RS

RP.RS

0.30%0.14%

1~3%

Sheet2

Sheet3

www.topbond.com.twwww.cbf.com.twwww.bondnet.com.tw www.yahoo.com.tw wwwl.jihsum.com.tw www.chbtc.com.tw www.kgifuture.com.tw

1. 12 2. (83) () 2081 125 9-2 ( ) 3. 09100108350 89 (85) 8500014000 (91) 09100023620 12

1/4 ( 91 05 29 ) 1 () ( ) 2

( 91 05 29 ) 2/4 3 4 5

3/4 ( 91 05 29 ) 6 7 8

4/4 ( 91 05 29 ) 9 9-1 9-2 10 11 12

1/3 () () () () () () ()

2/3 () () () () () () () ()

3/3

() () () () ()

1/2 ( 92 06 18 ())1 2 3 () http://www.selaw.com.tw/Scripts/Query4A.asp?FullDoc=all&Fcode=G0101711

2/2 ( 92 06 18 ())

4 5 6 7 () () () 8 http://www.selaw.com.tw/Scripts/Query4A.asp?FullDoc=all&Fcode=G0101711

ELNPGN

Structured NoteStructured Note 9 3 5 7 5%

CDOCollateralized Debt Obligation(Senior)(Mezzanine)(Subordinated/Equity)

910206910529

[ | ] (23.05.28)2. (36.03.29)3. (38.01.19)4. (38.06.23)5. (23.04.30)6. (25.01.30)7. (25.02.25)8. (25.12.22)9. (38.01.12)10. (54.05.14)11. (55.06.09)12. (56.06.09)13. (63.01.25)14. (63.01.25)15. (63.01.25)16. (91.05.29)17. (71.06.16)18. (92.02.26)19. (76.01.26) (91.02.06)21. (92.08.20)22. (93.03.09)23. (94.05.31)24. (91.05.01)25. (97.06.02)26. (87.05.06)27. (92.12.26)28. (92.12.26)29. (93.02.03)30. (91.06.04)31. (89.10.25)32. (89.10.25)33. (89.10.25)34. (76.02.16)35. (89.10.25)36. (89.10.25)37. (89.10.25)38. (89.10.25)39. (89.10.25)40. (91.04.25)41. (85.02.29)42. (86.08.30)43. (97.03.05)44. (97.06.03)45. (91.05.15) (91.05.15) 47. (91.05.29) 48. (91.05.29) (91.05.29) 50. (91.05.29) 51. (89.06.12) (91.05.15 )53. (82.09.15) 54. (82.12.31) (82.12.31) 56. (82.12.31) (82.12.31) 58. (82.12.31) 59. (82.12.31) 60. (92.01.01) 61. (92.01.01 )62. (92.01.01) 63. (92.01.01) 64. (85.08.28) 65. (86.08.26) 66. (87.04.27) 67. (87.04.27) 68. (91.07.22) 69. (91.07.22) 70. (82.09.22) Coupon bond -

- 20% - - - - 21$1-840&2 - EBExchangeable Bond

(Yielding) RSRSCPIConsumer Price Index 19997157.557.5%CPI CPI

PPIProducer Price IndexWPI PPI PPIcore PPI---

朝陽科技大學財務金融系

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