Rates RV Analytics

Rates Strategy | Asia Ex-Japan

Korean Government Bond Relative Value Report

Global Markets Research

January 13, 2016

Research analysts
Contributing Strategists

Market Overview

1
KTB Monitor

KTB Carry and Rolldown Summary

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

Trade Date: 13-Jan-2016

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

10Y Futures Contract

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

Key Rate DV01

5Y
10Y

15Y

Korean Government Bond

Time to Maturity Less than 3Y
EI5938234
4.00
03/10/16 10,324
EJ7009693
2.75
06/10/16 11,538
EI7957182
3.50
09/10/16
8,313
EF6725453
5.00
09/10/16 11,391
EJ9664750
3.00
12/10/16 12,338
EJ0506554
3.50
03/10/17 12,034
EK3049930
2.75
06/10/17 11,828
EG7918550
5.50
09/10/17 12,882
EJ3453002
2.75
09/10/17
9,310
EK6305750
2.00
12/10/17 12,739
1
2.75
03/10/18
8,295
EJ5749472
EK9435190
1.63
06/10/18 11,377
EH5324494
5.75
09/10/18 26,392
EJ8115457
3.25
09/10/18 11,309
UV6901820
1.75
12/10/18
6,559
Time to Maturity Between 3Y and 5Y
EK0995259
3.13
03/10/19 14,062
EK4629458
2.75
09/10/19 11,572
EK7749659
2.00
03/10/20 12,584
EI2664957
5.00
06/10/20 18,848
EK9435679
2.00
09/10/20 13,351
Time to Maturity Between 5Y and 10Y
QJ9588329
2.00
03/10/21
1,368
EI6927624
4.25
06/10/21 21,179
3.75
06/10/22 15,282
EJ22189012
3.00
03/10/23 12,262
EJ57496702
EJ8115705
3.38
09/10/23 12,430
EK0995556
3.50
03/10/24 13,194
EK4629995
3.00
09/10/24 16,621
EK7750491
2.25
06/10/25 15,232
UV6902323
2.25
12/10/25
4,320
Time to Maturity Greater than 10Y
EF2266098
5.75
03/10/26
6,670
EG2371409
5.25
03/10/27
5,203
EH2392973
5.50
03/10/28 10,979
EI0636502
5.50
12/10/29 11,450
EI4822827
4.75 12/10/2030 11,519
EI8940526
4.00 12/10/2031 19,961
EJ9664933
3.75 12/10/2033 17,674
EK9436339
2.625
49562
4684
EI9135811
3
52210
20278
EK6306113
2.75
52941
14077

(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

Trade Date: 13-Jan-2016

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

Korean Government Bond

Time to Maturity Less than 3Y
EI5938234
4.00
03/10/16
EJ7009693
2.75
06/10/16
EI7957182
3.50
09/10/16
EF6725453
5.00
09/10/16
EJ9664750
3.00
12/10/16
EJ0506554
3.50
03/10/17
EK3049930
2.75
06/10/17
EG7918550
5.50
09/10/17
EJ3453002
2.75
09/10/17
EK6305750
2.00
12/10/17
2.75
03/10/18
EJ57494721
EK9435190
1.63
06/10/18
EH5324494
5.75
09/10/18
EJ8115457
3.25
09/10/18
UV6901820
1.75
12/10/18
Time to Maturity Between 3Y and 5Y
EK0995259
3.13
03/10/19
EK4629458
2.75
09/10/19
EK7749659
2.00
03/10/20
EI2664957
5.00
06/10/20
EK9435679
2.00
09/10/20
Time to Maturity Between 5Y and 10Y
QJ9588329
2.00
03/10/21
EI6927624
4.25
06/10/21
3.75
06/10/22
EJ22189012
3.00
03/10/23
EJ57496702
EJ8115705
3.38
09/10/23
EK0995556
3.50
03/10/24
EK4629995
3.00
09/10/24
EK7750491
2.25
06/10/25
UV6902323
2.25
12/10/25
Time to Maturity Greater than 10Y
EF2266098
5.75
03/10/26
EG2371409
5.25
03/10/27
EH2392973
5.50
03/10/28
EI0636502
5.50
12/10/29
EI4822827
4.75 12/10/2030
EI8940526
4.00 12/10/2031
EJ9664933
3.75 12/10/2033
EK9436339
2.63
9/10/2035
EI9135811
3.00 12/10/2042
EK6306113
2.75 12/10/2044

(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

Source: Nomura, Bloomberg

This document is being provided for the exclusive use of TIN WONG at MIRAE ASSET GLOBAL INVEST (HK) LTD.

KTB Carry and Rolldown Summary

CUSIP

Coupon

Trade Date: 13-Jan-2016

3 Month Forward (Financing Rate = 1.61%)

ASW
ASW
Rolldown
C+R
Carry
Rolldown

ASW
C+R

Carry

6 Month Forward (Financing Rate = 1.63%)

ASW
ASW
Rolldown
C+R
Carry
Rolldown

ASW
C+R

Carry

12 Month Forward (Financing Rate = 1.66%)

ASW
ASW
Rolldown
C+R
Carry
Rolldown

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

Korean Government Bond

Time to Maturity Less than 2Y
4.000
EI5938234
2.750
EJ7009693
3.500
EI7957182
5.000
EF6725453
3.000
EJ9664750
3.500
EJ0506554
2.750
EK3049930
5.500
EG7918550
2.750
EJ3453002
2.000
EK6305750
2.750
EJ5749472
1.625
EK9435190
5.750
EH5324494
3.250
EJ8115457
1.750
UV6901820
Time to Maturity Between 3Y and 5Y
3.125
EK0995259
2.750
EK4629458
2.000
EK7749659
5.000
EI2664957
2.000
EK9435679
Time to Maturity Between 5Y and 10Y
2.000
QJ9588329
4.250
EI6927624
3.750
EJ2218901
3.000
EJ5749670
3.375
EJ8115705
3.500
EK0995556
3.000
EK4629995
2.250
EK7750491
2.250
UV6902323
Time to Maturity Greater than 10Y
5.750
EF2266098
5.250
EG2371409
5.500
EH2392973
5.500
EI0636502
4.750
EI4822827
4.000
EI8940526
3.750
EJ9664933
2.625
EK9436339
EI9135811
3.000
EK6306113
2.750

Source: Nomura, Bloomberg

This document is being provided for the exclusive use of TIN WONG at MIRAE ASSET GLOBAL INVEST (HK) LTD.

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

This document is being provided for the exclusive use of TIN WONG at MIRAE ASSET GLOBAL INVEST (HK) LTD.

KTB Spreads Charts

Trade Date: 13-Jan-2016

Curve Spreads Overview

KTB Curve Spread to CD Curve (RHS)

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

Source: Nomura, Bloomberg

This document is being provided for the exclusive use of TIN WONG at MIRAE ASSET GLOBAL INVEST (HK) LTD.

2024

2026

2028

2030

2032
4

KTB Spreads Charts

Trade Date: 13-Jan-2016

CMT Curve 3m History (1Yr Rates: 1y, 1y1y, 2y1y...)

CMS Curve 3m History (1Yr Rates: 1y, 1y1y, 2y1y...)

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

3yr & 10yr KTB and CD Curve Points

KTB Curve - 3Yr Point
%

3yr and 10yr CD Curve Spreads

3Yr Swap Spread

KTB Curve - 10Yr Point

CD Curve - 3Yr Point

10Yr Swap Spread

3Yr - 10Yr Box Spread

bp

CD Curve - 10Yr Point

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

Source: Nomura, Bloomberg

This document is being provided for the exclusive use of TIN WONG at MIRAE ASSET GLOBAL INVEST (HK) LTD.

-100
Dec-09

Dec-10

Dec-11

Dec-12

Dec-13

Dec-14

Dec-15
5

KTB Spreads Charts

Trade Date: 13-Jan-2016

KTB Curve 3m History

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

1 Day Change in KTB and CD Curves and Spread

bp

Spread Change

KTB Curve Change

2019

2021

2023

2025

2027

2029

2031

2033

2035

1 Month Change in KTB and CD Curves and Spread

bp

CD Curve Change

Spread Change

KTB Curve 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

Source: Nomura, Bloomberg

This document is being provided for the exclusive use of TIN WONG at MIRAE ASSET GLOBAL INVEST (HK) LTD.

2017

2019

2021

2023

2025

2027

2029

2031

2033

2035
6

Nomura | Rates RV Analytics

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.

This document is being provided for the exclusive use of TIN WONG at MIRAE ASSET GLOBAL INVEST (HK) LTD.

Any Authors named on this report are Research Analysts unless otherwise indicated
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