FRM_Study_Notes

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ϡ㛑ҹⳈ ⱘ 䖯㸠DŽ

FDUU\LQJ FRVW ⱘIRUZDUG SULFH˖ˈ, 䯈ѻ⫳ⱘ⦄䞥⌕ rt

e I S F )(00 IRUZDUG FRQWUDFW ⱘ Ӌ˖˄䖲㓁FDVK IORZ Ҭ˅ˈ≵ ⦄䞥⌕ⱘ䆱 6ЎVSRW SULFHˈ.Ў 㸠ӋḐDŽ

rt qt Ke e

S V 0rt Ke S V 0 㙵 䋻ⱘEHWD 䇗 ㄪ⬹˄↨ 䇈 ㋏㒳亢䰽˅˖A P N )(*E E Ё ϔ

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Ⲟ㒘 䳔ⱘ㙵 䋻ⱘӑ ˙ 䋻Ь

䋻ӋḐ㒘 Ӌ u u portfolio E ˈportfolio E 㒘 Ⳍ Ѣ ⱘ£ˈ 㙵 䋻 䑿г £ⱘ䆱ˈ 䳔ӑ ˙ 䋻Ь

䋻ӋḐ㒘 Ӌ u u u future portfolio E ˈ䖭 㽕 Ϟ䴶ⱘEHWD 䇗 ㄪ⬹ DŽ Ў˖F

S F S h V V U ),( ϔ㠀⫼Ѣ ∛ 䋻ˈ㽕䆄ԣ ӋḐⱘ⊶ ԰Ў ⱘDŽ⊼ ⱘGHOWD ⥛ 䅵ㅫ 1 ˈ䖬 GHOWD JDPPD QHWUXDO DŽ

1d 䋻Ё FRVW RI FDUU\ 8 ⱘ DŽ rt

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⚍EDVLV˙㹿 䌘ѻⱘ⦄ ˉ⫼Ѣ ⱘ 䋻ӋḐDŽ ⦄䋻ӋḐⱘ 䭓 Ѣ 䋻Ӌ

Ḑⱘ 䭓 ˈ ⿄ПЎ ⚍ ˈ П⿄ПЎ ⚍ DŽ

Ѣ ⥛ 䋻ˈ⫼ ѢЙ ⱘ ϟ˄ Ѣ ⥛㸡⫳ ˈϔ㠀䛑⫼Й

㸵ˈ⊼ ⃻⌆㕢 䋻г ⥛ 䋻㗠ϡ ∛ 䋻ˈ㉏ԐѢ Ͼ ⱘ)5$ˈ㗠Ϩ Ѹ ˈ 㑺㾘῵Ў ϛDŽ)5$ 27&ⱘ˄ 䆩乬˅˅˖

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D F D P ** Ёˈ3Ў㒘 ⱘӋ ˈЎ 䋻ⱘӋ ˈϸϾ' Ў㒘 ⱘЙ 䋻ⱘЙ DŽ

䋳 㸼⼎ 䋻ⱘ 㒘 Ёⱘ Ⳍ ⱘDŽ

C F 䖰 ∛⥛ⱘ䅵ㅫ Ў 2/1F 1

22/111r r X u ˇˈ⊼ 䖰 ∛⥛ⱘ䅵ㅫ ˖ FDVK SULFH 䋻ӋḐП䯈 ⱘℷⳌ ⱘ ˈ ҹ䖯㸠 ⱘ DŽ 㹿 ⱘ ⱘ䌘ѻ≵ Ⳍ ⱘ ˈ Ӯ ⚍亢䰽DŽ

ҹ ⱘ䌘ѻ 䌘ѻϡϔḋǃⳌ ϡ ϔ 㒣 ϡϔḋⱘ Ӯѻ⫳ ⚍亢䰽DŽ

Ң Ⲟ⥛ 㒓Ϟ䇏 ⱘ䖰 ⥛⿄ПЎ䱤 ⱘ䖰 ⥛˄LPSOLHG IRUZDUG UDWH˅DŽ 䋻 䖰 ⱘӋḐ ⥛ϡ ˄FRVWDQW˅ ⹂ ˄GLVWHUPLQWLF˅ ӮⳌㄝ

Ў 䋻 䖰 ⱘ ϔϾ ⳃ ˈϔϾϡ DŽ

䅵ㅫ⃻⌆㕢 䋻 㑺ⱘ 䇗 ˄FRQYH[LW\ $GMXVWPHQW˅DŽ⬅Ѣ 䋻 㑺↣ ⳃ

ⱘ⡍ 㟈 䰙ⱘ䖰 ⥛˄ 䋻ⱘ ⥛˅ 䱤 ⱘ䖰 ⥛Ӯ ⫳ ˈ 䇗 㽕䰡Ԣ䖭 䴶ⱘ ˄г 䇗 䋻 ⥛ 䖰 㑺 ⥛П䯈ⱘ ˅˖

䰙䖰 ⥛˄ 䋻 ⥛˅ 䱤 䖰 ⥛ˉ 212

**t t V 1t ⱘ 䋻 㑺ⱘ ˈ ⱘ ⱘ䌘ѻ ⥛ⱘ DŽҢϞ ⶹˈ 䋻ⱘ ⥛ 㽕ԢѢ䖰 ⱘ ⥛ⱘˈ ҹ䭓 㗠㿔ˈ 䋻ⱘӋḐ 㽕催Ѣ䖰 ⱘӋḐⱘ˄ ⥛ ӋḐ ↨ˈ 䆩乬˅DŽ

2t 䅵 㾘 䴶ˈ7 %RQG ⫼ⱘ DFWXDO DFWXDODŽ㗠86 &25325$7( 081,&,3$/ ERQG

Փ⫼ⱘ DŽ7 ELOO ⱘ䋻 Փ⫼ⱘ $&78$/ DŽ

Ѣ䭓 䋻㗠㿔ˈѸ ҹ ⠽Ѹ 䖯㸠ⱘˈ ҹ㽕⫼ 䕀 ˄&)˅

ˈϡ✊ⱘ䆱ˈ 䛑Ӯ⫼ ⱘ Ѹ ˄&7' Ԣ ⱘ ˅ˈ ЎFRVW˙SULFHˉIXWXUH TXRWHh&)DŽ ⼼䍞催ˈ&)г 䍞催˄ Ў&)ⱘ䅵ㅫ ⦄䞥⌕ ✻ ˁ䖯㸠 ⦄ˈ ҹ ⼼ ℷ↨ˈ ⱘ ⥛ 䖥 ˁ ˈ&7' ⱘϡ〇 њˈ䖭г 䖒 њ⧚ ⱘ㒧 䆩乬˅ ҹ䗮䖛&)ˈ ՓѸ ⱘ ӋḐⳌ 䖰ˈг ҹՓ 㒜ⱘ Ⳍ ↨䕗䖥DŽ

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9DQLOOD Ѧ ⱘ⦄䞥⌕ Ӌ˖

⦄䞥⌕IORDWLQJ / ⍂ ⥛ 䰤 ˄⊼˖ ⥛ ҹ ⥛䅵ㅫⱘ˅

⦄䞥⌕IL[ / ⥛ 䰤

Ӌ ˈ䳔㽕 ϔϾѦ ⳟ ϔϾ⍂ ϔϾ ⱘ㒘 DŽҢϔϾ՟ ⳟ ⥛Ѧ ⱘ ӋDŽϔϾ䴶 P ⱘѦ ˈSD\ ⱘOLERU ⱘ ⥛DŽѦ

ⱘ 㓁 Ў Ͼ ˈ ㄀ ˈ ˈ Ͼ ҬˈOLERU Ў ˈ ˈ Ў OLERU ODVW SD\PHQW GDWH Ў ˈ䅵ㅫ䆹Ѧ ҎⱘӋ DŽ

ⱘӋ 䅵ㅫ˖307

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)*()(0GBP USD swap B S B USD V

USD B ҹ㕢 ⱘ Ҭˈ6Ў∛⥛DŽ

䖰 ⥛ 䆂˄)5$˅ⱘӋ ҹⳟ԰ ϔϾ ⥛ERQG ϔϾ⍂ ⥛ERQG ⱘ

DŽ)5$ⱘ Ҭㅫ⊩ ϟ˖

SD\ RII˙㒘 Ӌ h˄ ⱘ UDWHˉ Ҭⱘ UDWH˅hWHUPDŽ

)5$Ӌ 䅵ㅫ՟ ˖ ⱘOLERU ˁ ˁDŽ䌁ф)5$ˈ ˁ˄ ˅ˈ ҬOLERU˄ ˅

ˈ䴶 Ў Pˈ 䰤Ў ˈ )5$ⱘӋ Ў˖ 佪 䅵ㅫ ⱘ䖰 /,%25 06.0104

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ҹˈ 䰙ϞSD\ II˙/ ˄5 UHFHLYH ˉ5˅ 7 7

22**)(*(T R K k e R R L receiveR Value

乏 Ѹ ˈϡ㛑⫼ 䆕䞥Ѹ DŽ ⱘㅒ Ҏ 㽕Ѹ㒇ϔ ⱘ 䆕䞥 䆕

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ⱘ䌘ѻⱘ ӮՓⱘ ⱘ 㸠ӋḐ ⫳Ⳍ ⱘ

Ͼ ㋴ ӋḐⱘ ˖佪 ˈ Ѣ ˈ⊶ Ѣ ⱘ 䛑 ℷⱘDŽ

Ѣ⃻ ф ˈⱘ ℷⱘˈ; 䋳ⱘˈ7ⱘ ϡ㛑⹂ ˈ ПDŽ Ѣ㕢 ф ˈ7ⱘ ℷⱘˈ Ҫ ⃻ DŽ

r S , ӋḐⱘϞ䰤ˈ Ёˈф ӋḐϡ㛑 Ѣ 㙵Ӌˈ ф ф㙵⼼ ҹ䖒

亢䰽 DŽ ӋḐϡ㛑 Ѣ 㸠ӋḐ˄⃻ ⫮㟇ϡ㛑催Ѣ 㸠ӋḐⱘ⦄ ˅ˈ гӮ ӮDŽ ⱘϞϟ䰤 ЎDŽ㕢

rt

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