Académique Documents
Professionnel Documents
Culture Documents
Research analysts
Contributing Strategists
Market Overview
1
KTB Monitor
Spreads Charts
6
KTB Spreads Charts
Glossary
7
Glossary
See Appendix A-1, important disclosures and the status of non-US analysts.
This document is being provided for the exclusive use of TIN WONG at MIRAE ASSET GLOBAL INVEST (HK) LTD.
Vivek Rajpal
vivek.rajpal@nomura.com
+91 22 4037 4438
Analytics Support
George Goncalves
george.goncalves@nomura.com
+1 212 667 2254
Tracy Jin
li.jin@nomura.com
+1 212 667 1642
KTB Monitor
Price
3Y Futures Contract 109.710
CUSIP
Security Description
Cpn
Maturity
Size
Yield
Curr 1D Chg
1D Chg
Yield
1D Chg
(0.010)
1.668
0.3
Spread
Z-Score
Avg
KTB Curve
StDev
(0.5)
(30.9)
0.1
(0.1)
(5.9)
(0.0)
(3.2)
(0.1)
(10.5)
(0.4)
(5.7)
(1.3)
0.3
0.3
(0.9)
(5.29)
(3.21)
(0.62)
(0.68)
2.07
3.15
3.22
2.62
2.49
1.52
2.50
0.35
1.34
0.53
(2.42)
(0.3)
(0.2)
(0.2)
(0.2)
(0.1)
(0.2)
(0.2)
(0.1)
(0.2)
(0.1)
(0.2)
0.0
0.1
0.0
0.6
5.0
3.0
4.9
4.6
4.0
6.4
5.3
4.0
4.1
2.4
3.7
0.1
0.9
0.5
(5.0)
33.2
27.7
24.1
23.6
18.8
16.6
12.5
10.2
10.5
10.0
6.4
6.1
4.1
3.9
4.2
1.679
1.722
1.766
1.788
1.783
(0.0)
(3.5)
(2.0)
(2.4)
(1.9)
(0.45)
(0.43)
(0.22)
0.56
(2.58)
(0.2)
(0.4)
(0.2)
0.0
0.4
(0.1)
0.1
0.1
0.4
(3.5)
2.4
1.5
2.1
4.5
2.1
100.604
112.224
110.950
106.853
109.702
111.087
107.703
101.862
101.950
1.815
1.862
1.924
1.968
2.001
2.018
2.025
2.031
2.031
(0.1)
(1.8)
(1.1)
(3.0)
(0.3)
(0.3)
(2.0)
(0.9)
(1.1)
(3.02)
0.64
0.83
1.39
2.68
2.69
1.51
(0.29)
(1.51)
0.4
0.7
1.6
1.0
0.3
(0.4)
(0.1)
(0.8)
(0.7)
(0.9)
(0.4)
1.3
2.3
2.1
(0.0)
0.6
3.4
2.5
1.2
1.3
1.3
1.6
2.4
2.4
134.179
131.684
136.844
141.014
133.720
125.297
123.923
107.805
116.701
112.131
2.011
(1.5)
(2.10)
(2.4)
2.2
1.8
2.056
(0.4)
0.21
0.1
0.1
1.7
2.058
(1.1)
(1.13)
(0.3)
(0.6)
1.8
2.086
(2.0)
(0.45)
0.6
(1.5)
1.8
2.103
(1.5)
(0.12)
0.3
(0.7)
1.7
2.118
(1.4)
0.28
0.5
(0.6)
1.7
2.135
(1.5)
0.80
0.1
0.6
1.9
2.136 -1.83814 -0.28891 -0.74421 1.16687 1.95613
2.176 -0.75331 3.28857 -0.87853 8.30965 5.71529
2.182 -0.46387 3.79389 -0.98225 10.1736 6.49504
Tenor
Price
5
3
5
10
3
5
3
10
5
3
5
3
10
5
3
100.378
100.484
101.252
102.224
101.260
102.157
101.577
106.305
101.838
100.714
102.353
99.982
110.580
104.134
100.309
1.514
1.542
1.564
1.563
1.589
1.603
1.609
1.619
1.618
1.617
1.633
1.632
1.657
1.651
1.640
5
5
5
10
5
104.421
103.624
100.933
113.544
100.962
5
10
10
10
10
10
10
10
10
20
20
20
20
20
20
20
20
30
30
Box Plot
Price
1D Chg
Yield
1D Chg
126.800
0.100
2.026
(1.0)
MDuration
Duration
Convexity
PVBP
2Y
0.15
0.40
0.64
0.64
0.89
1.12
1.37
1.57
1.60
1.86
2.07
2.35
2.45
2.52
2.82
0.15
0.40
0.65
0.64
0.90
1.13
1.38
1.58
1.61
1.88
2.09
2.37
2.47
2.54
2.84
0.05
0.32
0.68
0.68
1.20
1.78
2.55
3.26
3.35
4.38
5.36
6.69
7.45
7.74
9.41
-15.6
-40.5
-65.7
-66.3
-90.4
-115.8
-139.9
-169.5
-164.7
-187.7
-214.0
-234.9
-275.3
-265.2
-283.1
15.58
40.58
65.68
66.28
90.32
115.63
139.57
170.92
166.07
189.93
206.64
208.16
220.64
211.28
198.68
0.00
0.00
0.00
0.00
0.00
0.00
0.00
(1.09)
(1.08)
(2.09)
6.56
26.48
54.24
53.52
83.77
0.00
0.00
0.00
0.00
0.00
0.00
0.00
(0.00)
(0.00)
(0.00)
(0.00)
(0.00)
(0.00)
(0.00)
(0.00)
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
(0.00)
(0.00)
(0.00)
(0.00)
(0.00)
2.98
3.44
3.95
3.99
4.40
3.00
3.47
3.98
4.02
4.44
10.59
13.93
17.94
18.75
22.12
-314.1
-360.2
-401.1
-454.4
-447.3
195.85
165.14
114.75
98.65
44.57
117.37
194.04
285.66
358.52
407.65
(0.00)
(0.00)
(0.85)
(4.35)
(6.54)
(0.00)
(0.00)
(0.00)
(0.00)
(0.00)
4.89
4.86
5.72
6.39
6.72
7.08
7.58
8.44
8.84
4.94
4.90
5.78
6.46
6.79
7.15
7.66
8.52
8.93
27.08
27.47
37.73
46.87
52.12
58.05
65.97
79.96
87.83
-492.1
-547.3
-636.7
-689.9
-744.8
-794.9
-824.3
-861.1
-902.9
(6.04)
(3.28)
4.01
10.05
12.11
12.73
9.89
5.63
5.54
488.09
520.26
468.60
392.44
340.99
271.16
184.34
67.57
22.94
7.90
27.65
160.07
282.84
400.42
539.47
675.19
827.93
877.15
(0.00)
(0.01)
(0.05)
(0.83)
(14.36)
(35.26)
(52.67)
(48.93)
(12.30)
8.08
77.79
-1089.0 24.43
8.84
92.97
-1168.6 21.29
9.41
106.35
-1292.4 22.18
10.57
134.31
-1480.6 21.58
11.43
156.05
-1518.1 17.47
12.37
180.99
-1538.7 13.43
13.71
223.58
-1686.1 11.74
15.5332 282.057274 -1670.8 6.0327
19.2982 456.121049 -2233.4 7.6298
20.6337 522.56218 -2294.1 6.5239
77.82
62.39
75.42
73.43
59.04
44.95
39.05
19.102
24.661
20.832
958.92
863.50
726.24
360.23
146.25
28.57
25.32
36.9718
51.3897
43.0882
16.07
208.54
453.67
1005.46
1273.42
1428.70
1583.70
1581.61
2084.68
2149.98
15Y
(46.0)
186.9
(2.6)
(2.9)
(6.0)
(5.6)
(4.8)
(6.7)
(5.9)
(6.7)
(6.8)
(6.0)
(6.9)
(6.5)
(7.1)
(7.2)
(6.9)
(32.9)
12.2
(7.2)
(7.1)
(6.9)
(6.6)
(7.1)
(24.7)
10.5
(7.0)
(7.2)
(7.3)
(7.4)
(7.4)
(7.3)
(7.2)
(7.1)
(6.1)
20.9
(7.3)
(7.1)
(6.9)
(6.8)
(6.6)
(6.5)
(6.4)
-6.191246059
-6.357706892
8.00
8.75
9.31
10.46
11.31
12.24
13.57
15.3690359
19.0904915
-6.284 20.4110183
Note:
1. Part of the basket of Treasury Bonds for the active 3Y KTB Future Contract
2. Part of the basket of Treasury Bonds for the active 10Y KTB Future Contract
Source: Nomura, Bloomberg
This document is being provided for the exclusive use of TIN WONG at MIRAE ASSET GLOBAL INVEST (HK) LTD.
KTB Monitor
CUSIP
Security Description
Cpn
Maturity
CD Curve
Size
Tenor
Spread
Z-Score
Avg
StDev
10,324
11,538
8,313
11,391
12,338
12,034
11,828
12,882
9,310
12,739
8,295
11,377
26,392
11,309
6,559
5
3
5
10
3
5
3
10
5
3
5
3
10
5
3
(9.8)
(9.5)
(2.9)
(2.9)
2.1
4.5
5.4
5.9
5.9
6.3
8.2
6.9
8.5
7.8
5.8
(2.6)
(2.9)
(6.0)
(5.6)
(4.8)
(6.7)
(5.9)
(6.7)
(6.8)
(6.0)
(6.9)
(6.5)
(7.1)
(7.2)
(6.9)
32.5
48.9
63.3
62.9
70.0
76.4
79.1
81.6
82.0
83.4
85.6
82.3
82.8
82.6
78.1
16.1
20.2
11.1
11.8
14.2
10.8
12.5
11.3
11.2
12.9
11.2
11.6
10.4
10.4
10.5
14,062
11,572
12,584
18,848
13,351
5
5
5
10
5
8.5
10.2
12.2
13.6
11.7
(7.2)
(7.1)
(6.9)
(6.6)
(7.1)
84.3
87.7
90.6
91.6
89.5
10.5
11.0
11.3
11.8
10.9
1,368
21,179
15,282
12,262
12,430
13,194
16,621
15,232
4,320
5
10
10
10
10
10
10
10
10
13.0
17.0
19.4
21.1
22.6
22.6
21.5
19.6
18.1
(7.0)
(7.2)
(7.3)
(7.4)
(7.4)
(7.3)
(7.2)
(7.1)
95.6
100.3
104.0
107.5
109.9
111.3
111.2
112.5
11.2
11.2
11.3
11.5
11.8
12.3
12.7
13.3
6,670
5,203
10,979
11,450
11,519
19,961
17,674
4,684
20,278
14,077
20
20
20
20
20
20
20
20
30
30
17.1
18.9
17.2
18.5
19.2
19.7
19.9
18.5
22.3
22.7
(7.3)
(7.1)
(6.9)
(6.8)
(6.6)
(6.5)
(6.4)
(6.2)
(6.4)
(6.3)
112.8
111.4
110.5
108.6
108.3
106.4
102.4
98.5
99.6
99.5
13.2
13.1
13.4
13.2
13.5
13.3
12.8
12.9
12.2
12.2
Asset Swap
Box Plot
Spread
Z-Score
Avg
StDev
(9.7)
(9.2)
(3.2)
(2.9)
2.1
5.6
5.8
9.1
6.9
6.8
9.2
7.1
13.8
10.0
6.1
(0.5)
(0.3)
(0.7)
(0.5)
0.0
(0.2)
0.0
0.1
0.2
0.2
0.5
0.6
1.0
1.3
1.4
(2.3)
(3.5)
0.4
0.7
1.7
6.5
5.6
8.6
6.4
5.2
7.9
4.2
11.1
7.4
0.9
13.7
18.9
5.4
7.3
11.6
3.8
7.7
4.2
2.8
7.5
2.4
5.0
2.7
1.9
3.8
10.8
12.1
12.9
20.6
12.3
1.2
0.7
0.7
0.5
1.5
8.7
10.3
10.6
18.0
8.6
1.8
2.6
3.2
5.7
2.5
13.5
23.4
25.3
24.8
27.9
28.8
25.6
20.4
18.9
0.9
1.2
1.6
1.5
0.9
0.5
0.5
(0.2)
19.3
21.0
20.5
24.4
26.4
24.4
18.9
19.4
4.5
3.6
2.7
2.4
2.7
2.4
2.9
2.8
35.3
36.0
36.8
40.6
37.4
33.2
32.4
22.2
31.0
29.0
(1.6)
0.0
(0.4)
(0.0)
0.0
0.3
0.5
1.2
0.9
1.1
39.8
35.9
38.1
40.7
37.4
32.1
31.0
20.2
28.0
25.4
2.8
3.0
3.1
3.4
3.3
3.2
3.2
1.6
3.4
3.2
Box Plot
(85.3)
99.8
(0.5)
(0.3)
(0.7)
(0.5)
0.0
(0.2)
0.0
0.1
0.2
0.2
0.5
0.6
1.0
1.3
1.4
8.5
(148.6)
107.5
1.2
0.7
0.7
0.5
1.5
13.0
(21.1)
123.5
0.9
1.2
1.6
1.5
0.9
0.5
0.5
(0.2)
17.1
24.1
(0.4)
(0.4)
(0.2)
0.6
(2.6)
(8.0)
122.9
(1.6)
0.0
(0.4)
(0.0)
0.0
0.3
0.5
1.2
0.9
1.1
13.8
(5.3)
(3.2)
(0.6)
(0.7)
2.1
3.1
3.2
2.6
2.5
1.5
2.5
0.4
1.3
0.5
(2.4)
32.1
(3.0)
0.6
0.8
1.4
2.7
2.7
1.5
(0.3)
(1.5)
17.5
48.1
(2.1)
0.2
(1.1)
(0.5)
(0.1)
0.3
0.8
(0.3)
3.3
3.8
Note:
1. Part of the basket of Treasury Bonds for the active 3Y KTB Future Contract
2. Part of the basket of Treasury Bonds for the active 10Y KTB Future Contract
This document is being provided for the exclusive use of TIN WONG at MIRAE ASSET GLOBAL INVEST (HK) LTD.
CUSIP
Coupon
ASW
C+R
Carry
ASW
C+R
Carry
ASW
C+R
Maturity
Carry
03/10/16
06/10/16
09/10/16
09/10/16
12/10/16
03/10/17
06/10/17
09/10/17
09/10/17
12/10/17
03/10/18
06/10/18
09/10/18
09/10/18
12/10/18
(12.2)
(3.2)
(3.2)
(1.1)
(0.3)
(0.2)
0.1
0.1
(0.0)
0.2
0.2
0.5
0.4
0.2
(0.1)
(0.2)
(0.2)
0.3
0.4
0.7
0.7
0.8
1.1
1.3
1.6
1.7
1.7
2.0
(12.4)
(3.3)
(3.4)
(0.8)
0.1
0.5
0.8
0.8
1.1
1.6
1.7
2.2
2.1
2.2
(5.9)
1.9
1.8
2.9
2.8
2.3
2.2
2.2
1.8
1.8
1.5
1.5
1.5
1.1
(1.4)
4.0
4.0
2.5
1.3
1.0
1.1
1.1
1.4
1.0
0.8
0.7
0.8
0.9
(7.2)
5.8
5.8
5.4
4.2
3.3
3.3
3.3
3.2
2.8
2.3
2.3
2.2
2.0
(23.3)
(23.5)
(5.5)
(2.6)
(1.4)
(0.8)
(0.9)
(0.6)
(0.2)
(0.1)
0.5
0.3
0.1
1.4
1.4
0.5
1.1
1.3
1.5
1.5
1.9
2.7
2.9
3.3
3.4
3.8
(21.9)
(22.1)
(5.0)
(1.6)
(0.2)
0.6
0.6
1.3
2.5
2.9
3.8
3.7
3.9
(15.5)
(15.7)
0.2
1.7
1.8
1.9
1.8
1.7
1.7
1.4
1.5
1.4
0.8
4.9
4.9
6.9
4.3
2.4
2.1
2.1
2.6
2.6
1.8
1.6
1.7
1.7
(10.6)
(10.8)
7.1
6.0
4.2
4.0
3.9
4.3
4.3
3.2
3.2
3.1
2.6
(35.2)
(12.3)
(5.7)
(5.8)
(4.5)
(1.9)
(1.8)
0.2
(0.2)
(0.9)
1.4
2.2
1.1
1.1
2.8
4.1
4.9
5.5
5.6
6.7
(33.8)
(10.0)
(4.6)
(4.6)
(1.7)
2.2
3.1
5.7
5.4
5.9
(32.3)
(10.6)
(4.1)
(4.2)
(3.0)
(1.1)
(1.6)
(0.2)
(0.7)
(1.9)
7.0
10.1
5.0
5.0
4.7
4.7
4.4
3.8
3.9
3.6
(25.4)
(0.5)
0.9
0.9
1.7
3.6
2.8
3.5
3.2
1.7
03/10/19
09/10/19
03/10/20
06/10/20
09/10/20
0.6
0.8
1.0
1.1
1.0
2.0
2.1
2.1
2.0
1.9
2.6
2.9
3.1
3.1
2.9
1.3
1.2
1.2
1.2
1.1
0.9
0.8
0.9
0.9
0.9
2.1
2.0
2.1
2.1
1.9
0.8
1.4
1.8
2.2
1.8
4.1
4.3
4.2
4.0
4.0
4.9
5.6
6.1
6.1
5.9
1.2
1.3
1.4
1.7
1.2
1.8
1.7
1.9
1.7
1.9
3.1
3.0
3.3
3.4
3.1
1.2
2.7
3.7
4.3
3.7
7.3
8.2
8.4
8.1
8.2
8.5
10.9
12.2
12.4
11.9
(0.2)
0.5
1.1
1.6
0.9
3.3
3.3
3.4
3.3
3.6
3.1
3.8
4.6
4.9
4.5
03/10/21
06/10/21
06/10/22
03/10/23
09/10/23
03/10/24
09/10/24
06/10/25
12/10/25
1.0
1.3
1.4
1.4
1.5
1.4
1.4
1.2
1.2
1.9
1.7
1.4
1.1
1.0
0.9
0.8
0.7
0.6
2.9
3.0
2.7
2.5
2.4
2.3
2.1
1.9
1.8
1.0
1.2
1.1
1.1
1.1
1.0
0.9
0.8
0.7
0.9
0.7
0.4
0.2
0.1
(0.0)
(0.1)
(0.1)
(0.1)
1.8
1.9
1.5
1.3
1.2
1.0
0.9
0.7
0.6
1.9
2.6
2.7
2.7
2.8
2.8
2.7
2.5
2.3
3.8
3.5
2.8
2.4
2.1
1.8
1.6
1.4
1.2
5.8
6.0
5.5
5.1
4.9
4.6
4.3
3.8
3.6
1.2
1.7
1.7
1.6
1.7
1.6
1.4
1.2
1.0
1.8
1.4
0.9
0.6
0.3
0.0
(0.1)
(0.2)
(0.2)
3.0
3.2
2.6
2.2
1.9
1.6
1.3
1.0
0.8
4.0
5.2
5.6
5.7
5.9
5.8
5.5
5.0
4.7
7.8
7.3
6.0
5.0
4.3
3.8
3.4
3.0
2.6
11.8
12.5
11.6
10.7
10.3
9.7
8.9
7.9
7.4
1.0
2.1
2.3
2.3
2.5
2.4
2.1
1.5
1.3
3.6
3.2
2.1
1.3
0.7
0.2
(0.1)
(0.4)
(0.4)
4.6
5.3
4.4
3.6
3.2
2.6
1.9
1.2
0.9
03/10/26
03/10/27
03/10/28
12/10/29
12/10/30
12/10/31
12/10/33
09/10/35
12/10/42
12/10/44
1.3
1.3
1.2
1.1
1.1
1.0
1.0
0.8
0.7
0.7
0.5
0.4
0.4
0.3
0.2
0.2
0.1
0.1
0.0
(0.0)
1.8
1.7
1.6
1.4
1.3
1.2
1.1
0.9
0.7
0.7
0.8
0.8
0.7
0.6
0.6
0.6
0.5
0.4
0.4
0.4
(0.1)
(0.2)
(0.0)
0.2
0.1
(0.0)
(0.0)
(0.0)
0.0
(0.0)
0.6
0.5
0.6
0.8
0.7
0.6
0.5
0.4
0.4
0.4
2.4
2.5
2.3
2.2
2.1
2.0
1.9
1.6
1.4
1.4
1.2
1.0
0.8
0.6
0.5
0.4
0.2
0.2
0.0
(0.0)
3.6
3.4
3.1
2.8
2.6
2.4
2.1
1.8
1.4
1.3
1.1
1.1
1.0
1.0
1.0
0.9
0.8
0.6
0.7
0.6
(0.2)
(0.4)
(0.1)
0.3
0.2
(0.0)
(0.1)
(0.0)
0.0
(0.0)
0.9
0.7
0.9
1.3
1.1
0.9
0.7
0.6
0.7
0.6
4.9
5.0
4.7
4.5
4.3
4.0
3.8
3.3
2.8
2.7
2.4
2.0
1.6
1.2
1.0
0.8
0.5
0.3
0.0
(0.0)
7.3
7.0
6.3
5.6
5.2
4.8
4.2
3.6
2.9
2.6
1.5
1.6
1.4
1.4
1.4
1.3
1.2
0.9
1.0
1.0
(0.6)
(0.8)
(0.4)
0.6
0.4
0.1
(0.2)
(0.1)
0.0
(0.0)
0.9
0.8
1.0
2.0
1.8
1.4
1.0
0.8
1.0
0.9
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bp 4
bp 10
0
-2
-4
-5
-6
-10
-8
-14
2016 2017 2018 2019 2021 2022 2023 2024 2026 2027 2028 2029 2031
Source: Nomura, Bloomberg
10
0
-10
-15
-10
-12
bp 20
-20
-20
-30
-25
2016 2017 2018 2020 2021 2022 2024 2025 2026 2028 2029 2030
-40
2016 2017 2018 2020 2021 2022 2024 2025 2026 2028 2029 2030
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KTB Curve
CD Curve
KTB Yield
bp
2.2
-2
2.1
-4
-6
2.0
-8
1.9
-10
-12
1.8
-14
1.7
-16
-18
1.6
-20
1.5
2012
-22
2014
2016
2018
2020
2022
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2024
2026
2028
2030
2032
4
Maximum - 95%
95% - 75%
75% - Median
Median - 25%
Maximum - 95%
95% - 75%
75% - Median
Median - 25%
25%-5%
5% - Minimum
Current
Average
25%-5%
5% - Minimum
Current
Average
%
2.8
%
2.6
2.6
2.5
2.4
2.4
2.2
2.3
2.0
2.2
1.8
2.1
1.6
2.0
1.4
1.9
1.2
1.8
1.0
1.7
0.8
1.6
0.6
1.5
0.4
1.4
2017 2018 2019 2020 2021 2022 2023 2024 2025 2026 2027 2028 2029 2030 2031
2017 2018 2019 2020 2021 2022 2023 2024 2025 2026 2027 2028 2029 2030 2031
bp
5.5
40
5.0
20
4.5
4.0
-20
3.5
-40
3.0
-60
2.5
-80
2.0
1.5
Dec-09
Aug-10
Apr-11
Dec-11
Aug-12
Apr-13
Dec-13
Aug-14
Apr-15
Dec-15
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-100
Dec-09
Dec-10
Dec-11
Dec-12
Dec-13
Dec-14
Dec-15
5
CD Curve 3m History
Maximum - 95%
95% - 75%
75% - Median
Median - 25%
Maximum - 95%
95% - 75%
75% - Median
Median - 25%
25%-5%
5% - Minimum
Current
Average
25%-5%
5% - Minimum
Current
Average
%
2.7
%
2.4
2.6
2.5
2.0
2.4
2.3
2.2
1.6
2.1
2.0
1.2
1.9
1.8
0.8
1.7
1.6
1.5
0.4
2017
2019
2021
2023
2025
2027
2029
2031
2033
2017
2035
Spread Change
2019
2021
2023
2025
2027
2029
2031
2033
2035
CD Curve Change
Spread Change
CD Curve Change
10.0
9.0
5.0
0.0
4.0
-5.0
-1.0
-10.0
-15.0
-6.0
-20.0
-25.0
-11.0
2017
2019
2021
2023
2025
2027
2029
2031
2033
2035
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2017
2019
2021
2023
2025
2027
2029
2031
2033
2035
6
Glossary
Box Plots: Box Plots show current value (red dot), and minimum, lower quartile, median, upper quartile and maximum for the past three months.
Z-Score: Z-Scores are computed using three months of data, unless otherwise indicated. Z-Scores are calculated as (spread - average spread)/standard deviation. A positive ZScore indicates the bond is trading relatively cheap, while a negative one indicates the bond is trading relatively rich.
CD Curve Spread: The option adjusted spread (in bp) of a bond to the Korean offshore CD curve. T The value of the bonds cash flows discounted at the zero-coupon rates of
the swap curve plus this optionally adjusted spread should equal to its price
Asset Swap Spread (ASW): The spread (in bp) added to the floating leg of an asset swap trade such that the bond can be financed at par. This is calculated based on offshore
swap curve.
Modified Duration: Modified Duration is the ratio of percentage change in price to unit change in yield taking into account cash flows that are interest-sensitive.
Convexity: Convexity is the ratio of percentage change in price-sensitivity to unit change in yield. Convexity equals to the second derivative of the price of the security with
respect to yield, divided by the price, while taking into account cash flows that are interest-sensitive.
PVBP: Price value of a basis point change in yield for a bond with notional of 1 million.
Key Rate DV01: Based on offshore swap curve, for a bond with a notional of 1 million.
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Any Authors named on this report are Research Analysts unless otherwise indicated
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