Derivatives

삼성증권은 이달 들어 새롭게 선보인 ‘슈퍼스텝다운형 ELS’에 400억이 넘는 자금이 몰리는 등 큰 인기를 얻고 있다고 25일 밝혔다.

‘슈퍼스텝다운형 ELS’는 투자 기간 중 원금손실 조건이 발생되는 주가 수준인 ‘하락배리어’를 없애고, 최종 만기 시 수익 지급 기준을 대폭 완화한 새로운 ELS유형으로 삼성증권이 지난 2월 9일 업계 처음으로 선보였다.

OMAHA, Neb. (AP) - Berkshire Hathaway Inc. said Friday its first-quarter profit fell 64 percent because it recorded an unrealized $1.6 billion pretax loss on its derivative contracts, and its insurance businesses generated lower profits.

Berkshire reported net income of $940 million, or $607 per share, in the quarter ended March 31. That's down significantly from the net income of $2.6 billion Berkshire generated a year ago.

In March 2007, the spread between the interest rate component on a dollar/Korean won cross-currency swap (CCS) and a vanilla domestic interest rate swap (IRS) was just 20-40 basis points. In mid-April 2008, after widening to as much as 500bp in November, the spread remains huge, at around 400bp. Experts say the development is indicative of a liquidity crisis in the South Korean market. At the same time, it presents an arbitrage opportunity for investors.

• Method: Asset Replicator with stochastic global optimisation
• Target Fund: WYASX
• Base Funds: GLD, LQD, SHY, EEM
• Start Date: 01 Jan 2003
• End Date: 11 Apr 2008
• Date set: 500-daily prices
• Lower Holding Limits: 0.0,0.0,-1.0,-1.0,0.0
• Upper Holding Limits: 1.0,1.0,1.0,1.0,1.0

------------ BACKTEST SUMMARY STATISTICS START ------------
Benchmark
Mean: 0.0010900271865032297
Var : 7.64450578974336E-5
Skew: -4.493104233234604E-7
Kurt: 2.951751422088767E-8
Asset_Replicator_0_SEQ
Mean: 0.0010156973265706283
Var : 1.506017370289151E-4
Skew: -9.83848944717364E-7
Kurt: 9.660423028641269E-8
------------ BACKTEST SUMMARY STATISTICS END --------------

Assume in follows and we have a foreign currency, , with the corresponding , and .

A composite asset of into , , is then