우리나라 CMT 구조화채권 투자수익률의 리스크 분석

The purpose of this paper is to analyze empirically risk on investment yield of CMT structured bonds that have issued amount increasedly to get higher performance. The gap between received yields and expected yields that issued bonds was 0.2%p and the received yield was lower than the expected yield as the received rate of interest among maturity period was 97.6% averagely. According to the result analyzed with structured conditions,「MSB 2Year-3Month」and「KTB 5Year-3Year」were profitable structured conditions to investors, but「CD-KTB 3Month」was a highly risker structured condition to investors. Seeing the result analyzed with BEP on the assumption that investors bought KTB and Bank bond, the yield of CMT structured bond was 1.39%p higher than KTB of same maturity, and 0.86%p higher than Bank bond of same maturity. Under the result analyzed with factors of outside shocks by using unreceived rates of interest and annually averaged spreads, as an unreceived rate of interest was 7.8% in 2008 and 10.1% in 2011, it was very higher than 4.7% in total period. So annually averaged spreads in 2008 and 2011 were smaller than averaged spreads in total period, factors of outside events like global financial crisis and Europe fiscal crisis gave much effect the risk of investment yield.