Download - Paper 9 - Derivatives
-
Published by:
Hong Kong Securities Institute Hong Kong Securities Institute 2005
24/F, Wing On Centre, 111 Connaught Road Central, Hong KongTelephone: (852) 3120-6100Examinations Hotline: (852) 3120-6220Membership Hotline: (852) 3120-6170Training Hotline: (852) 3120-6200Fax: (852) 2899-2611Email: [email protected]: www.hksi.org
All rights reserved. No part of this publication may be reproduced, stored in a retrieval system, or transmitted,in any form or by any means, electronic, mechanical, photocopying, recording or otherwise without the priorpermission of the copyright owner.
ISBN: 988-97717-1-3
HK$30.00
Disclaimer
This is an educational booklet only and does not provide legal advice or expert advice in whatsoever form.Every effort has been made to ensure its accuracy, however, no responsibility for loss occasioned to anyperson acting or refraining from action as a result of any materials in this publication will be accepted by thepublisher and/or individual contributors.
-
!"#$!
-
$%&'
$%&'
! "# $% "&
"'% (&
-
!(# %)
*+%,-.
-
$)/# %0)
$)/# %0))*+, -. /' -,)). /)%$# /1/2"! / / # % 0) $,% 3) 4# !/)%$3!))3/5
)*)%* % * 0 ))%1% +% ) -(2 . % 32 % 1 1 1/'&24
+%5*6/')% 7
18) % * + % % * % *
)19%*6/'
+)) :) % % ) %*) ))
-
!(# %)
%&!#$)/4#%):1
6-7-3)!)
3-4#&!3)!8))!!#!
;55 +;,, 75 +566 =+ + 75= =5:0 60 >,#=,:56@6;5; =::8::A:?5//:5/:+5;?;=++;,,5;5:+;+=/:5/:0:?
%%'
! 1 % % ) +%1**)
" = > *,8+;8;+8+;;)
$ = > * + ;8 +8 ;8 / +8+;8;8+;+%
( (21
B C*#=6: 61%%%
3
& %6=*1%
D + 5;0 5; ;7: C ; 1 % ) % %%%%
' 7 ) ) % ))
!2 *+ E F1*)-.
!! 1%%%
!" + % 1 %*8 1 %*8 E * 8 18 % 8 1 *
!$ /))-.)
- 94##:;#)
-
!(# %)
%# =0)/# %0)35%%0)3!!75
)
7 % ) )) G
* C* * C*
> ))
+ )) * ))
, *%
)
7%%%G
**%*
> *1%*1
+ C%)CC-5+.
, )%%)
)>
7%1%+8'G
%
> %
*
+ %%
, %
-
# %)
)=
7%))*''G
)*))1
> +)%*))))1
+ *1-.))1
, ))%1))1%
)
-.*!(8"22 1 *),!D2 *)81* %*G
&'
> "B(
+ !8"&2
, "83&3
);
0-.!"8$22) !B2 * !"8!&B 7 % ''G
)!"B)"B
> )!B2)2
+ )2)!B2
, )"B)!"B
-
!(# %)
)?
0 ) * -. 7 )% 1*1G
. *8%%)
. %%)
. *8%))
A. %))
..*
> .A.*
+ .A.*
, ..*
)@
% , +*
% ,&82228222 = >1 8+* $C( :%=>1 :( B4 5*%18( "4
7%''G
. +* %*(
. =>1+* 2 $4
. %16
A. **+* :
.8..*
> .8.A.*
+ ..*
, .A.*
-
# %)
)
-. *!(8&DB) !(8BB2 7%''G
. 11%
. *H"$B
. )*
A. %)
..*
> .8.A.*
+ .8.A.*
, .8.8.8A.
)
%I 0
*!2282228*8 61*)*%19%?) :% * 1 9 J * 1 * 8 * *
% $C18**
I* *,(3 "2$C * ,(( &2 "B2 *
I*8
,(' (2$C,(& 22
7%''G
0)$!(I8))(D 32I*
> 0)(!$I8))(& 2$I*
+ 0 ) $!( I 18))(D 32I*
, 0 ) (!$ I 18))(& 2$I*
-
!(# %)
)
*))1%%%G
/
> )
+
, %
)
7%+)%G
%1%
> 1*%
+ %*%**
, %*
)>
7%!C>5:%),!(8'$(8'(2 '(G
'" D2
> '$ (2
+ '( &2
, 'B 32
-
# %)
)=
*>5:1-.%%G
. !C15:
. $C15:
. 3C15:
A. !"C15:
A.*
> ..*
+ ..*
, .8..*
)
7%5+''G
* %1
> * %1
+ 8%%118
)%
, %18*
-
!(# %)
);
%I CC*;-;.8)%%G
C* ; 8
> C*;I8
+ C*;8
, C*;I8
)?
:+=,EI/0%%=,&8B228222 ?)%1
-
# %)
)@
$C =,E, % 1
=,E,
-
!(# %)
)
%*?+ -?+. 611%%% %*%))
61
?+
61
?+
)*)) * )* )%% 61 % ?+ % 8%%?+*%*)G
*61%?+
> *61%?+1
+ *61 1 1 %?+1
, *61 1 1 %?+
-
# %)
)
7 % A 'B *))G
*
> ***
+ +
, +***
)
))1%%%G
5)
> J
+ 6
, ?
)
*%%G
. *1
. 1
. /)
A. *
..*
> .A.*
+ .A.*
, .8.A.*
-
!(# %)
)>
7%A)))G
*1
> 5%))*-.
+ **-.%*
,
)=
*)1C;-;.% ,!22 + % *
8%C*; )*;'' "B8%'D 'B
> *8% %%EG
L/ L/
-
# %)
)
) * >+ ) %>++!$"," 22
>+!$",! 22
>+!$"," 22
7%-.1)-.G
. ,!$2 22
. ,!$! 22
. ,!$$ 22
A. ,!$( 22
.*
> .*
+ .A.*
, .8.A.*
);
***$1%**!1M'D%M( 22
"1M!22%M" 22
>*!1M!2"%M! 22
7C6*)G
6
-
!(# %)
)?
5 !I*8 % ,B282228222 1 $ -'2E$3B. >5:"4*% 8 $C >5: % $C >5: *'' B2 $C>5:*
) >5: * 2 B24 $! 5 !8 %>5:'D &B2 B24 1$2*-$2E$3B.
>**8%%*G
/ /
-
# %)
)
*%)=,*$ ) 8)'B4% 8 7%%1)1)%$CG
.
. *%
. +*
A. %
.A.*
> .8..*
+ .8.A.*
, .8.A.*
-
!(# %)
)>
7 *))* *%6@6;%01 >%7 6@66@6L/?>/!38$3&
+ 6@66@6L/?>/38&B3
, 6@66@6L/?>/!38$3&
-
# %)
)>
I ) )) ) *> 8> I *%
-
!(# %)
)>
>)1 >*)-.8%
!$8"22
!$8BB2
!$8"22
!$8BB2
) %8%)>C%G
%*)!$8BB2
> %*%!$8BB2
+ %*)!$8"22
, %*%!$8"22
-
# %)
)>>
%-.
!3 +)! %%! )#$!&3!3
! @ 0 !2
" 0 @ B
$ N @ B
) 8 % 0 % C*0G
')!( !
B @
> B N
+ B ++
, B ++
)>=
7%G
.
. %61
. %/:)
A. C***
.A.*
> ..*
+ .8..*
, .8.A.*
-
!(# %)
)>
, ) =,( ) 9 $ , ) 3 3C ) 8 , % > $ 8 , % -:. 7%:%*, G
. $ 3:
. $ ':
. 3 ':
A. ' !":
..*
> .A.*
+ ..*
, .A.*
)>;
7 % -. -. * +6 5+ C))G
. /
. ;)
.
A.
.*
> .A.*
+ .A.*
, .8.A.*
-
# %)
)>?
+6? ) ) I/0 $ =,8+6?=,EI/0) >%1
=,EI/0
-
!(# %)
)>
*))1%C1 18,)8 *),) * * % * 8 ,) :1 ,+ *8%8*
%*8,)**)* -. * * ,)
8*),) *%
7*''B)G
. **,)
. * ) ,)
. * 1 * * * 1
A. *),)
..*
> ..*
+ .A.*
, .8.A.*
-
# %)
)=
7%''G
. *
. %
. % 1 )1
A. **
..*
> .A.*
+ ..*
, .8..*
-
!(# %)
*+%,-.
-
! # %)
) 2! ) 2!
! "! +
" + "" +
$ "$ >
( , "( +
B > "B >
3 + "3
& "& >
D , "D >
' + "' ,
!2 > $2 ,
!! , $! +
!" , $"
!$ + $$ +
!( > $( +
!B > $B ,
!3 + $3 >
!& $&
!D $D
!' > $' +
"2 + (2 +
-
!!"#$
! %
! %
$! $
$
!
& ' $$
$$$
(
! )
$"# ("(#
!
* $ $
"+',# ! -.
$ ! '
$ (!
/ 01 2
$
!
'$$!
3 01 0 ( $.
!
%1 4
$.!
,1 ' 5 $
5!
-
41 0 $
$.
$. $.
($!
6 '$!
$(7683 &88
898 888 88
7&63
: 0$$$ "$#
! .
;$$
"$#!
-
$3!&C "3!6C#
*A0 ,B!3!&C! %
,B!$-%.
8!/C"3!6C 3!&C#! ',B
3!6C!
D #
! 2
$..! , $.
"#!
# ,$
!
"#1
3 668 73
-
8 .
$.$! %
!
G. ;
$
$1
"88 88843:!&8#"&68433!#
$$$! 2
$.
! 0$..!
& '$
! 2
( (
! 0 $ (
(!
-
/ '%+A
$! 21
> 7
/:6$
E
*$%+A( $"88 #C!
2/8$
1
43 D/3 D38!D3 7
/:6/8
#C88"E
88846 888
"88 #C 7/8
/:6
D3!D38 D/3 3888 888 6
D3!
-
: 0# 05*
! ' 5*
(!
%# '$5* $
H! %.$!
,# 05*
! ' 5*
(!
4# '$5* $
H! %.$!
I6 368 /9:!&6
%. 7 JH>I6 368 /9:!&6EH>I"< 688 8888/!88#K -4< 688 8887 86!8:
8
H>I6 368 888
>LB.
%.M86!8:
8/!888
H>I6 368 888
>LB.
%.M86!8:
8/!88
' $ -4 ! '
"$#A,H>I
" -4 # 86!: $$$
H>I6 368 888!
-
9 # ,$0-4!88/$
$! B1
0-4!88"E/:8D8
#
, 4(0-4!88 /$ $
1
4:!83"E8!//:8D8
#74:!8336
/# '($$
E:8 $1
:!83 *7E:878!88:
*7:!8/38
:!8/38 $
/$0-41
:!8/38
/:8D8
:!8336/
7D8
/:8
:!8/38:!8336
78!88:D9
8!
-
&8 ' "!! #
$$$
! $ $ !
0$",>#$$
$$
,>!
& + $ $$1
.$$! '
$. $.
!
&& .
!
$ ! '
1
# >$
'$.
! *$
! 0
$!
, $
$ $
$$!
&/ '$! '1
'.!
' (.
$$(!
2 (
$
$!
'.$$
$.!
-
0 !
4 .
.!
&3 0 5* 5* "!!
#!
"#$
5*5*!
$"#7 88 888 888
888 888 88
*DD!&6"#D9!D61
>LB 7D9!D6 DD!&6
7 8!/ /8
04881
>LB7 /8488 7 4/ 888"#
'L7 4/ 888887 4/88 888"#
&6 '.(!
'4!884&!88
4!88 ! '
0%,/&
$$ $ $
!!4"&!88 !88#74!88! 0
/&4!88$$! '
.4"/&!88E!88#7
4//!88!
&: 0
( !!
.ND9$$N3!88
%&.N88$$N&!88
.N8&$$N!88
-
' $
! $$$ "#
$N!88$$$$N!88!
&
-
L7 : :3/!93ED/
-
# '*=7-4!9:
&:
3!
# $
-49!:8!
# A-49!:888 8887-4 9:8 888$!
# ,-4G%>-4!93::G%> !!
!93::88-4 9:8 8
7G%> 88< &/&!31
G%> 888 888"&:
3! 8&/ :88
# $7G%>" 88< &/&!3: /:8!88B!
# AG%>8!8888 8887G%> 888 888$
# 4G%>.3!
-
# 2.1 G%> 888 888"&:
3! 8&/ :88
# % . $
-49!:8! ,"G%>#(-4!
!93::88 8889!:8
7G%> 88< &/&!69
# 4!
# $1G%>" 8&/ :88!88 88< &/&!69#7G%>: /:"#74" 368 888 668 888#7 488 888
# >"#$ 74" 3&6 888 698 888#
7 466 888
# '"#7 488 888 466 8887 &66 888
-
$ !!H
$$!
H ! '
"# H ! "0!1
466 888#
/& 0 $ / &88 / 668
! 0 $
!
%$
/ 668$
/ &88! +"/ 668#.
L !! $
! ' / 668
. %$.
! 0
$/ 668!
// '"EL #
& / >
= E8 6 6 8
I 8 E6 6
P E6 E6
0 I "# 6 !
0 $ *5
, , ",,# $
L!
/3 01
0$.!
05>
A!
*$!
-
*$!
/6 '$!
A
2 %!
, $%!
$8 / : D &
A
2 %!
, $%!
$8 / : D &
' 4B$&*A0&1
! '/$$D$
$":$# !!/ D*A0!
&! '$D$$&$$"/
$# !!D &*A0!
/: # ' +',
$
$!
#
$! ' $
+',
!
# 0$
!
+', $
!
F# 0 $ +',
!
/I!
-
-4LH>I8/!36
!83
83!3D-4LH>I
8/!36
!83
83!3D
+1 -483!3D7-483!3D
$7I
>$$ 7I
*"N# 7$$7I!68C/:8D8
78!88/
-
0,0
0$
.
!
'$,$$!
# '
$L (
$!
F# 2 ..
1
'L
5O
'$..
!
4 $
! 4
$.
'! ' ' $
$4 !
38 '$
. ! '
! , $
.! '
! %1
0$
$$$
! ' #!
0$
$$
! ' #!
0$! %$
.! ' #!
0$! B.
$ !
' F#!
-
!" #$%&
