Power spread notes have attracted considerable attention from investors since they were introduced to the Korean financial markets in 2006. Power spread notes are structured instruments that exploit arbitrage profit opportunities arising from anomalous spreads between Korean Treasury bond yields and interest rate swap rates. From the perspective of financial engineering, these structured notes have instructional values to academics and practitioners alike. This case illustrates the design structure of the power spread notes and valuation issues that are important to both issuers and investors.