Page 344 - 信用衍生性金融商品

「 SURF 100 」交易敏感度分析
9-14
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Spreads are flat at 32bp for the life of the note
Credit Spread Strategy Value
115
120
110
100 105
80 100
60 95
40 90
20
85
80
8 75
2 4 6 10
Years
2 4 6 8 10
Years
Spreads linearly windening from 32bp to 100bp over 10 years
Credit Spread
Strategy Value
120 115
110
100
105
80
100
60
95
90
40
85
20
80
75
8 8
2 4 6 10 2 4 6 10
Years Years
Spreads are flat at 32bp for the first 3 years, in one day widens to 60bp and thereafter constant
Credit Spread Strategy Value
120 115
110
100
105
80
100
60 95
90
40
85
20
80
75
2 4 6 8 10
2 4 6 8 10
Years Years
t
Spreads widens to 65bp from 32bp and returning o 32bp by Year 4
Credit Spread
Strategy Value
120
115
110
100
105
80
100
95
60
90
40
85
20 80
75
8 10
4
2
6
2 4 6 8 10
Years
Years
資料來源： ABN AMRO ” SURF 100 ”， 2006
o
e
,
r
Oct
b

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