???

1
???????????????
??????

• ???
• 2005.11.10

2
????

• ??????????????????
• ????????????
• ??????
• ?????
• ??????????????
• ???????

3
??????????????????
4
????????????

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

5
?????????? ???
????????? ????
???????? 1991
??????DF 1991
??????FX Swap 1992
?????? 1993
????????? 1993
??????? 1993
?????????? 1993
???????? 1993
??????? 1993
????????? 1994
???????? 1994
6
?????????? ???
????????? ????
??????????(?????????) 1995
??????????????? 1995
?????????????(NDF) 1995
Equity Swap 1996
????????????????????? 1997
??????? 1998
??????????????????/Loan 2001
????????????????? 2002
???????? 2002
?????Loan 2002
???????????(?Quanto??) 2003
??Hybrid?? 2003
?????????? 2003
7
?????????? ???
????????? ????
??(?)?? Sep 1997
??????? June 2000
??????? Oct 2001
??????? June 2002
?????????? June 2002
?????? (Short Bond under RS agreement) Oct 2002
??????? (Government When Issue) Dec 2002
?????? (Bond Forward) Mar 2003
?????? (Government Bond Reopen) Apr 2003
8
?????????? ???
????????? ????
??????? (ETF) June 2003
?????? (Lending/Borrowing on Equity) June 2003
????????? ? ????? (ELN / PGN) Jul 2003
?????? Jan 2004
????????? Jan 2004
????????? May 2004
ETF ??(?)?? Jul 2004
???????? Jan 2005
??????????(Bond Stripping IO / PO) Jan 2005
9
?????????????

• ????????--????
• Simex ???? 1997.1.9
• Taifex ?????? 1998.7.21
• Taifex ????????? 1999.7.21
• Taifex ?????? 2001.4.9
• ????? 2001.12.24
• ????? 2003.1.20
• ??????
  2004.6.30
• ???? ???

10
???????????

• ???????? 1997.06.01
• ??????(??01???01)
  1997.08.20
• ???????(??10) 1998.10.22
• ????????(??06) 1999.04.28
• ????????(??01) 1999.07.08
• ?????????(??06) 1999.08.21
• ?????(??11)
  1999.11.18
• ??????(??01,??????) 2000.10.24
• ???????? 2003.01.02
• ????????????(??P1) 2003.04.23
• ????????(??77)
  2003.06.19
• ????????????(??P2) 2003.07.10
• ??ETF?????????(??53 ???54) 2004.07.02
• ????????(??55) 2004.11.18
• ????????????(??P2) 2005.06.28

11
??????

• 1997?6?????
• 1997/8/20 ?????????????????(0801-??01)???????(0501
  -??01)
• ??????
• ?????? ??????
• ???? 1570 1375 ?
• ???? 73
  64.4?
• (? 2005.11.04 )

12
????-????
13
?????????????

• ?????
• ??????(FRA)?????(IRS) ? ????(Cap)????(Floor)
• ????
• ??????(Forward Swap) ???????(Swaption)??????(Swap
  tion)
• ???
• ????(Collar) ???????????(IRS with
  Cap)??????????(IRS with Floor) ???????????(IRS
  with Collar) ? ??????(Basis Swap) ???

14
???????????

• ?????
• ?????
• ????
• ?????
• ?????
• ????(2003.4)

• ?????(2003.6)
• ?????(2003.8)
• ?????(2004.10)
• ????
• ????
• ????

15
20042005????

• ??????? 2004.1.2
• 30???????? 2004.5.31
• ETF ?? /???? 2004.7.1
• ????? 2004.7.26
• ????????? 2004.8.2
• ????????50?????? 2004.8.2
• ??????? 2004.10.27
• ??100????????? 2004.11.29
• ???? 2005.01.03
• ??/??????? 2005.03.28
• ?????? 2005.04.04

16
???????????
2005?????????????? (2005 8????????)
17
????????????
18
?????????

• ??
• ???????
• ????
• ??
• ???????
• ?????
• ??????
• ???
• ??????
• ?????
• ??????????

19
??????

• ETF (Exchange Traded Fund) iShares, SPDR, QQQ
• DR (Depository Receipt) ADR, GDR, TDR
• CB/ECB (Convertibles)
• Swaps Equity Swap, IRS, Asset Swap,
  Volatility/Variance Swaps

20
????????
Sgx MSCI ??(Option)
TFX ??(Option)
TW50 ?? (Option)
TFX ??(Future)
Sgx MSCI ??(Future)
TW50 ??(Future)
ETF TW50
????(Cash)
ADR, GDR
ECB, CB
???? p/e, industry, growth
Warrants
21
????????

• ??
• ??
• ETF
• ??
• ???
• ??
• ????
• ????/????
• ??/??/????
• Roll/Spread, Volatility
• ????

• ????
• ???????
• ??????
• ??????
• ??
• ?????
• ???
• ?????
• ??????
• ???????
• ????????

22
?????????????
????? Passive Management
?????? Asset Allocation Modern Portfolio Theory
?????? Traditional Active
??????? Exchange Traded Funds
?????? Financial Engineering

• ??????
• Hedge Fund Strategies
• ??????
• ??????
• ??????

?????? ????? Derivatives Structured Product
??????? Quantitative Investment Management
See Modern Investment Management by Goldman
Sachs Asset Management
23
??????????????
24
??????????????

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

25
????? Passive Management

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

26
??????????

• 2004???(2003/12/312004/12/31)
• ??????????7.59
• ??????????5.60
• ?????????(?173?)????0.63
• ???????22?(12.72)
• ???????37?(21.39)

?? ???? ??? ?? ???? ???
1 ????? 24.06 6 ???? 15.29
2 ???? 22.82 7 ???? 14.69
3 ???? 22.35 8 ???? 14.29
4 ????? 20.07 9 ??? 13.37
5 ???? 19.41 10 ?????? 13.19
??????????
????2005/01/01
27
??????????

• 2005???(2004/12/312005/9/30)
• ??????????3.65
• ??????????3.62
• ?????????(?173?)????18.73
• ???????149?(86)
• ???????149?(86)

?? ???? ??? ?? ???? ???
1 ?????? 57.7 6 ???? 42.52
2 ????? 53.29 7 ??2000??? 42.33
3 ????? 51.56 8 ???? 42.12
4 ???? 49.62 9 ????? 41.91
5 ???? 42.53 10 ?????? 41.76
???????????????????
????2005/10/08
28
???ETF?

• ??????? (Exchange Traded Fund)
• ?????????? (Hybrid of Stock and Fund)
• ????????? (Trade on the exchange like stock)
• ????? (Passive Management)

????????,??????????
29
??????50??(TTT)
Overview
TTT vs. ?? 50??
???? (?10/28/2005)
TTT has tracked the TW50 very closely since
inception
? ????????(Exchange-traded Fund) ???????????(TS
E) ????6/ 30 /2003 ????????50???????,??50
????FTSE?TSE???? ???? 391?? ???? 886,500,000
???? 44.5 ???? 44.12 ????????25.95 ????4.64
?? vs. ??
TTT has a small tracking error
30
??????? - ??50??

• 50???????? ??????
• ?????????(?????????????)
• ???? 1?4?7?10?,?3??????
• ????????????40???
• ????????????61???
• ????? 2002?10?29?
• ???? 2002?4?30?????5000?

• ?????????,????????????????0.987,???????
• ??50??????
• ????????, ?????
• ??????, ????50?????

31
??50?????????
32
??????50??(TTT)
Tracking Analysis of TTT

• TTT????????
• ??????,TTT??????50???????

???????
33
TTT?????????
Primary Market Creation/Redemption Illustration

• TTT??/????(Creation/Redemption unit) 500,000???
• ??????Creation Basket???????????ETF??????????????
  ??ETF?
• ??????????????????ETF,?????ETF?????????????

34
?????????
35
????????
36
???????
37
????????????

• 5????????????,?????????????7????

????????
????????
38
(No Transcript)
39
?????????????
40
??????????????
41
?????????
42
??????????

• ?????High Yield Note, HYN
• ?????Principal Guaranteed Note, PGN
• ?????Floor Fund

43
????????

• ????????
• ???????
• ??????????????????????Rainbow
• ????????Plain Vanilla?Digital?Barrier?Asian?Lookb
  ack
• ????Target-Redemption
• ?????????

44
?????????
??????
45
?????????

• ??????(Credit Default Swap, CDS)
• ??????(Credit-linked Note, CLN)
• ????/??????(Collateralized Debt Obligation, CDO /
  Collateralized Lending Obligation, CLO)
• ?????????(Synthetic CDO)

46
???????????

• 1997????????1,800???
• 2002????????2???
• 2003???????3.58???,??????70,?????112?4000?
• 2007????????10???

47
Collateralized Debt Obligation (CDO)

• ?????????????????,?????????????
• ????????????????(tranche),?????????????????,??????
  ???????????
• ?????????????,??????,?????????,???????
• ???????,???cash CDO,??????????????
• ????????????????

48
?????AAA??CDO??

• ???? 5.5?
• ????Morgan Stanley ACES SPC
• ????SP AAA
• ????100??????????????
• ????????????(bankruptcy)????(failure to pay).
  ?. ???????
• ??????????x3.5 x ??????/365
• ??????25
• ????SP???????????,??????
• ??Moodys??????,????????0.004

49
???????
50
????????

• ??????????? 2002.6
• ?????????????FASL???????? 2003.1
• ????????(????CLO1) 2003.2
• ?????????? 2003.7
• ????????????? 2003.12
• ?????????? 2003.12
• ??????????????? 2004.3
• ????????? 2004.6
• ???????????? 2004.11

51
???????
52
??????
53
CBO??(Collateralized Bond Obligation)

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

54
CBO?????
????
???????? (SPT)
????
Bond Cash Flow Pool
Bond 1
???????? (AAA)
Bond 2
???????? (AA)
???????? (A)
Bond 3
???????
????
Bond N
55
??????????????????

• ?????????????
• ?????????????
• ????2004?6?10?
• ??7?
• ??????????(???)
• ??
• ????????
• A???16.3?,??Aaa.tw??,???2.3
• B???5?, ??A3.tw??,???2.6
• ???????22.8????????

56
????

• ??????????????REITs
• 2005/2/17????,3/10????
• ??????
• ????????????????????
• ????1??
• ?????3.54,????
• ????58.3?

57
????, ??!
??????, ????!