PARTIAL PSR REDUCTION FOR CERTAIN EMERGING MARKET JURISDICTIONS

1
??????? ?????
???? ?????
???
2
??

• ???????????
• ???????????????
• ????????????
• ??????????????
• Q A

3
I. ???????????
4
1.1 ????????????

• ???????????
• ?????????????????????, ??????????????????,
  ???????know how, ???????????????,
  ???????????????????????????, ??????????????
• ?????????, ????
• ???????????, ???, ?????????????,???????????,
  ????, ???,?????????, ???????????,???????????????
• ?????????????????????
• ????????, ???????,??????, RTC???

5
1.2 ???????????? ???
????????? ????????
????????????????????????????
???? ?????
?????????
???? ???? ???(?Quanto??)
????????? ????????
?????????????????????
??? ??? ??
??????FX Swap
Commodity Swap
????????
?????Loan
??Hybrid??
????? ???
OBU ECB ????
Equity Swap
1992
1999
2004
1998
1996
1995
1994
1993
2000
2001
2002
1997
2003
1991
2005
????? ?????
??????????(?? ???????)
??????DF
??????
?????????
???? ??NDF?NDO
???????
??????????????????/Loan
???????
?????????? ??
??????? ???
????? ????? ?????
????????
?????????????(NDF)
???????
??? ??? ????
6
1.3 ????????????- ????????
7
1.4 ????????????- ???????
????????????? (2005 5????????)
????
??????
????
????
0.94
0.04
20.43
0.22
????
78.37
8
1.5 ????????????- ???????
2004 ?????????????
Interest Rate Derivatives (75.45)
FX Derivatives (11.91)
Other (7.71)
Credit Derivatives (2.58)
Equity Derivatives (1.77)
Commodity Derivatives (0.58)
Source Derivatives Statistics, BIS, June 2005
9
1.6 ???????????????
10
1.6 ??????????????

• ????? Yield Enhancement Products
• ????????????????????
• Inverse Floaters, Range Accrual, CMS Spread
  Accrual, Auto Call/Target Redemption, Snow Ball
  Note or Deposit and hybrid structures like
  interest rate credit, interest rate equity,
  interest rate FX, .. etc
• ??????? Asset Management Products
• Bond Fund, MM Fund, Balanced Fund, Equity
  Fund,..etc
• ????? Hedging Products
• ????????????
• ?? ?????????????
• ?????????????(exotic options), ????(forwards)?????
  (swaps)???????

11
II. ?????? ?????????
12
2.1 ????????????????

• ??????????????
• ????????
• ?????????????????????
• ?????????????
• ??, ?????????????, ???????????(interest rate
  swap), ??????,??????, ????????.
  ???????????????????,??????????
• ????????
• ?????????, ??????????
• ????? (Best of both world)
• ??, ??????(interest rate cap) ???????????????,
  ???????????????, ???????????????????

13
2.2 ????????????????

• ???????????????
• ????
• ???? (Forwards) / ???? (Swap)
• ???
• ????
• ??? (Options)
• ???
• ???? ????????
• ??????????, ?????????????????????????
• ????? ?????????, ?????????
• ????? ??????????????, ?????????

14
2.3 ??????????????

• ????
• ???? (Forwards) , ???? (Swap) ? ??? (Options)
• ??(Exotic)?? ????
• ??????????????????????, ?? KI, KO, Cancellable,
  Extendible, Digital Range, Quanto ??.
• ????????????????????????????????????
• ??(Exotic)?? ????????
• ?????????,????????????, ??????????????????????
• ?????????(Cross Index Reference) ?????(Proxy)??
• ????????, ???????????, ????????????????????
• ??, ?USD LIBOR??????????????, ????????(WTI)???????
  ???(Jet Fuel)??

15
2.4 ??????????? (1.1)

• ????????? NTD Interest Rate Swap
• ?? 5?
• ????? ???? 2.00
• ????? ???? 90??????? (90-day CP Rate)
• ????????????
• ??90??????? 1.349
• ?????
• ????? 90??????????? 2.00
• ????? 90??????????? 2.00

16
2.4 ??????????? (1.2)

• ??????????? NTD Range Accrual Interest Rate Swap
• ?? 5?
• ????? ???? 1.75
• ????? 90??????? x N/365
• N 90????????? 0 2.5 ???????
• ??????????????
• ??90??????? 1.349
• ?????
• ????? 90???????????1.75 ???2.5
• ?????(1) 90???????????1.75
• ?????(2) 90???????????2.5,???????????
• ???????,?????????????? ??90?????????
  2.5,??????,??????????.??,??90?????????2.5,??????
  ????????

17
2.4 ??????????? (1.3)

• ??? Quanto ?????? Quanto Range Accrual Interest
  Rate Swap
• ?? 5?
• ????? ????1.70
• ????? 90??????? x N/365
• N ??3??LIBOR?? 0 5.4 ???????
• ??????????????
• ????3??LIBOR?? 3.65
• ?????
• ????? 90?????????1.70
• ?????(1) 90?????????1.70
• ?????(2) ??3??LIBOR????5.40,???????????
• ??????????????????
• ???????????????????????LIBOR????????

18
2.4 ??????????? (1.4)

• ????
• ?????????????,????????????????,???????,???????????
  ?
• ??????????????,????????????,???????????

19
2.5 ??????????? (2.1)

• ???????? WTI Swap
• ?? 3?
• ???????? ???? USD 58/?
• ???????? ???????????(USD/?)
• ???????????
• ????????? USD 57.59/?
• ?????
• ????? ????????? USD 58/?
• ????? ????????? USD 58/?

20
2.5 ??????????? (2.1)

• ???????? WTI Swap
• ?? 3?
• ???????? ???? USD 58/?
• ???????? ???????????(USD/?)
• ???????????
• ????????? USD 57.59/?

PL
32
30
WTI Spot
0
90
BE58
-28
21
2.5 ??????????? (2.2)

• ?????? WTI Call Option
• ?? 3?
• ????????? ???????????? USD 60/?
• ???(????) USD 7.00/?
• ?????(??????) USD 67/?
• ????????? USD 57.59/?
• ?????
• ????? ?????? USD 60/?
• ???????????,?????????????USD 60/????????,
  ???????????????.??,??????????????

22
2.5 ??????????? (2.2)

• ?????? WTI Call Option
• ?? 3?
• ????????? ???????????? USD 60/?
• ???(????) USD 7.00/?
• ?????(??????) USD 67/?
• ????????? USD 57.59/?

23
2.5 ??????????? (2.3)

• ?????????? WTI Knock-out Call Option
• ?? 3?
• ??????????????????????? USD 60/?
• ??????USD 70/?,???????
• ???(????) USD 1.00/?
• ?????(??????) USD 61/?
• ????????? USD 57.59/?
• ?????
• ????? ????USD 60/?,???USD 70/?
• ???USD 70/???,?????????????,?????????????????.????
  ??????????

24
2.5 ??????????? (2.3)

• ?????????? WTI Knock-out Call Option
• ?? 3?
• ??????????????????????? USD 60/?
• ??????USD 70/?,???????
• ???(????) USD 1.00/?
• ?????(??????) USD 61/?
• ????????? USD 57.59/?

25
2.5 ??????????? (2.4)

• ???????????? WTI Extendible Gearing 3-Way
  Structure
• ?? 1?. ?????????????3?
• ?????1??????????(1x Call Spread Option)
  ?????????? USD 50/? ? USD 65/?
• ?????2?????? ???? USD 45/?
• ?????????????????????
• ???????????
• ????????? USD 57.59/?
• ?????
• ????? ????USD 50/?,????USD 65/?
• ?????(1) ????USD 45/????????
• ?????(2) ?????????????????????,??????????????????
  ?????
• ?????????????,?????????????.??,?????????????????

26
2.5 ??????????? (2.4)

• ???????????? WTI Extendible Gearing 3-Way
  Structure
• ?? 1?. ?????????????3?
• ?????1??????????(1x Call Spread Option)
  ?????????? USD 50/? ? USD 65/?
• ?????2?????? ???? USD 45/?
• ?????????????????????
• ???????????
• ????????? USD 57.59/?

PL
45
50
WTI Spot
0
65
27
2.5 ??????????? (2.5)

• ????
• ???,????????????????????,??????????,???????,??????
  ?????,???????????. ??????????.

28
2.6 ????????????? ??

• ???????????,?????????????????.??,???????????????,
  ?????????
• ?????????????????????????????????????
• ??,??????????????????,???????,???????????

29
III. ??????? ?????
30
3.1 ????????????

• ???? ?? ??
• ???????????
• ?????????????????????????
• ?????????????????
• ??????
• ????????? (Off-Market Transaction Policy)
• ???????? (Structured Finance Policy)
• ????????? (Escalation of Transactions Policy)
• ????????? (Retail Distribution Committee Policy)

31
3.2 ???????

• ????? Suitability Appropriateness
• ???????????????
• ????, ?????????????????
• ???????????????????????
• (a) ?????????????????
• (b) ???????????????, ????????????
• ??????????????????, ????????????????,
  ??????????????????????????

32
3.3 ???????

• ????
• ???????????
• ??????????????????????
• ?????????
• ???????, ??????????
• ?????? ,?????, ??????????????

33
3.4 ???????

• ??????? Arms length dealing
• ????????????????????
• ????????????????????
• ??????????????
• ????????????????????????????????,
  ??????????????????????????, ?????,
  ??????/?????????

34
3.5 ???? - ???????

• ????
• ??????, ????????????
• ?? A
• ????
• ???????
• ??????
• ??????????
• ????????????????
• ?? B
• ?????
• ???????
• ?????
• ????, ?????????????

35
3.6 ???? - ???????????????

• ??????????
• ???????????????????????
• ??????
• ????????????, ????,??, ????????, ????,
  ???????????????
• ???? B ?????????
• ?????????, ????????????????????, ???????, ??, ??,
  ??, ????????

36
3.7 ???? - ??????

• ??????
• ??????????????, ???????????
• ???
• ???????, ??????????????
• ??????????????????????
• ?????
• ?????????????, ???????????????????????,
  ????????????????????
• ????
• ??????????????, ???????
• ??????????

37
3.8 ????????????????

• ??? - ????????
• Master Agreements (mainly ISDA)
• Loss Limitation Agreements (if required)
• ???????????
• ????/??????
• ???????????
• ??? ???????
• ??????? (Term Sheet)
• ??????
• ??????
• ??? ???????
• ???????

38
IV. ??????? ???????
39
4.1 ?????????

• ???????????????
• ????????(Model)???????????????????
• ?????????????(CMAC)??????, ????, ????, ????,
  ???????????????
• ???????????????????,??,???????????????
• ???????????????????????

40
4.2 ?????????

• ??????????????????
• ?????????????????
• ??????
• ??????????????????????? ??????
• ????????
• ?????? ?1600 ??????????
• ?????? ?? ?1600 ?????
• ??
  ? 1600 ?????
• ?????? ?1200PM????????
• ?????? ?130PM?????????

41
4.3 ?????????????

• ???????????
• ???????????????, ????????
• ??????????
• ??(Outstanding Portfolio)????
• ????????????????
• ??????????
• ????????????
• ??????

42
V. QA
43
Disclaimer
Citibank, N.A. is pleased to present to
you the proposed transaction or transactions
described herein. Although the information
contained herein is believed to be reliable,
Citibank makes no representation as to the
accuracy or completeness of any information
contained herein or otherwise provided by
Citibank. The ultimate decision to proceed with
any transaction rests solely with the Company.
Citibank is not acting as the Company? advisor or
agent. Therefore prior to entering into any
proposed transaction, the Company should
determine, without reliance upon Citibank or its
affiliates, the economic risks and merits, as
well as the legal, tax ad accounting
characterizations ad consequences, of the
transaction ad it is able to assume these risks.
The terms set forth herein are intended
for discussion purposes only and subject to the
final expression of the terms of a transaction as
set forth in definite agreement and/or
confirmation. This proposal is neither an offer
to sell nor the solicitation of an offer to enter
into a transaction. Citibank and its affiliates
may act as principal or agent in similar
transactions or in transactions with respect to
instruments underlying a proposed transaction.
This document and its content are proprietary
information and products of Citibank and may not
be reproduced or otherwise disseminated in whole
or in part without Citibank written consent.