Valuation

  • Straight Bond Valuation
  • Foreign Bond Pricing
  • CD/CP Pricing

Overview

  • Valuation of every bond and ABS/MBS issued domestically by government, local autonomous entity, special corporation and Incorporated company

Services

Coverage

TYPE Coverage Specific Type
Risk Free Bond KTB, Natl Housing Bond, MSB Strip Bond, Inflation-linked KTB
Credit Bond Municipal, Special Bond, Financial Debenture, Corporate Bond Subordinate Bond, Hybrid Bond, Arirang Bond, Non-rated Bond
ABS/MBS Receivables, Real-estate PF ABS, NPL ABS, Auto-loan ABS, CBO, MBS, LBS Non-rated NPL ABS, Non-rated CBO, Private MBS
Bond Option Callable/Putable Bond

PROCESS / Methodology

PROCESS

Methodology

Risk Free Bond [KTB]

  • Fama-Bliss Method
  • Screening “Actual Trades” ▷ Strip & Bootstrapping using Fama-Bliss method ▷ Construct Yield Curve
  • Nonparametric Method

Credit Bond [Corporate, Financial Debenture]

  • Adjusted Jarrow-Lando-Turnbull Model
  • Jarrow-Turnbull, Jarrow-Lando-Turnbull Model
  • Minimizing errors betw

Asset Backed Security [ABS/MBS]

  • Cash flows from each tranches are estimated using adjusted Jarrow-Lando-Turnbull model and yield curve of the credit based on the characteristic of underlying asset, detailed credit enhancement and structure of the ABS
  • Mortgage and principal payments are estimated through KAP’s advanced redemption model to increase the accuracy of the valuation

Additional Services

  • YTM matrix by bond types and credit ratings
  • Corporate YTM curve
  • Weekly market report
  • Expected weighted average maturity and cash flow for ABS/MBS

Overview

  • Valuation of foreign currency bond managed by domestic/foreign bank, securities company, insurance company, pension fund and AMC or owned by domestic/foreign company

Characteristics

  • Reflection of real transaction price and market bid/ask price
  • Reflection of closing price from NY, Europe, Korea, Hongkong, Singapore, Tokyo and other Asian markets
  • YTM curves by currency, country and sectors based on market bid/ask price

Services

Coverage

  • Governments
  • Inflation-linked
  • Credit
  • Korean Paper
  • US Treasury, Euro Benchmark
  • Government Bond(Hard/Local Currency)
  • Inflation-linked Bond
  • Credit Bonds : Bank, Other financial institutions, corporate
  • Korean Paper
  • Local Currency Governments
  • Local Currency Credit
  • Local Currency treasury bond
  • AUD, CAD, CLP, COP, IDR, MXN, NZD, TRY, TUB and 30 other countries’ bank, financial institutions and corporate bonds
  • Brazil BRL bonds (LFT, LTN, NTN-C, NTN-F, CDB)
  • China Paper (CNY), Dimsum (CNH) bonds
  • Multi-coupon, Perpetual, Sinkable, Pay-in-kind
  • Local Currency Governments
  • Local Currency Credit
  • High yield bonds (rated below BB+)
  • Emerging market bond
  • Bank subordinate bond, perpetual bond and CoCo bond
  • Agency MBS
  • ABS by underlying assets

PROCESS / Methodology

PROCESS

  • Benchmark selected treasury bonds based on its liquidity to estimate Yield Curve
  • Reflect market bid/ask price or traded price into BM
  • Distinguish the difference between global market convention with local market

Additional Services

  • G-Spread, I-Spread, Z-Spread, Option Adjusted Spread
  • Macaulay Duration, Modified Duration, Effective Duration, Dollar Duration
  • Major treasury Yield Curve, SWAP Curve, USD foreign exchange equalization bond, USD Korean Paper
  • Corporate action monitoring; credit rating changes, option exercise and code change

Overview

  • Valuation of certificate of deposit, commercial paper, electronic paper and other money market instruments

Services

Coverage

Type Notes
(Negotiable Certificate of Deposits) Savings certificate issued by banks with fixed maturity date and specified interest rate
(Commercial Paper) Short term unsecured notes issued by companies with good credit ratings for liquidity purpose
(Asset Backed Commercial Paper) Commercial papers issued by SPC (Special Purpose Company) that is collateralized by other financial assets such as account receivables, debts, credit card receivables, securities and project finances
(Electronic paper) Commercial papers issued in electronic form
(Asset Backed Short-Term Bond) ABCP issued in electronic form

PROCESS / Methodology

PROCESS

Methodology

  • Estimation of yield curve based on the traded data and spread analysis
  • Estimation of risk premium based on the credit rating reports and traded price from secondary market
  • Reflecting yield spread difference between credit ratings through corporate and data analysis

Additional Services

  • Statistical data and pricing calculator
  • Corporate yield curve
  • Weekly reports