專業考試證券期貨

HKSI 卷九衍生工具題庫｜Paper 9 一次過合格

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927 題專業 9/21/2026

題庫簡介

HKSI證券及期貨從業員資格考試卷九 Paper 9「衍生工具」雙語題庫。按公開考綱及官方來源整理，涵蓋期貨、期權、認股權證、股本、利率、貨幣及商品衍生工具，附情境應用題、計算題及詳細解析。

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免費體驗 20 題

某分析員正建立內部比較表，用以評估兩項持倉的潛在風險及回報：一項期貨長倉，以及一項以相同相關資產為標的的期權長倉。他為兩者輸入相同的假設基數100單位及情景變動5%，再以同一算式「100 × 5% = 5單位」作為兩者的潛在風險及回報結果，理由是兩者同屬衍生工具。覆核人員應如何處理這項比較？ An analyst is building an internal comparison table to assess the potential risk and return of two positions: a long futures position and a long option position on the same underlying asset. He enters the same hypothetical base of 100 units and the same scenario movement of 5% for both, then uses the identical calculation “100 × 5% = 5 units” as the potential risk-and-return result for both, on the ground that both are derivatives. How should the reviewer treat this comparison?

接納該比較，因為兩項持倉同屬衍生工具，只要假設基數及情景變動相同，潛在風險及回報便必然相同。 Accept the comparison because both positions are derivatives, so identical base and scenario inputs necessarily produce identical potential risk and return.

拒絕把同一算式視為充分比較；期貨與期權雖同屬衍生工具，但潛在風險及回報結構不同，應分開評估。 Reject the identical calculation as a sufficient comparison; although both are derivatives, futures and options have different potential risk-and-return structures and must be assessed separately.

接納該比較，因為「100 × 5% = 5」算術正確；期貨與期權的差別只在於名稱，並不影響潛在風險及回報的評估方法。 Accept the comparison because “100 × 5% = 5” is arithmetically correct; the difference between futures and options lies only in their names and does not affect how potential risk and return are assessed.

拒絕該比較，但理由在於期貨長倉的風險以保證金為上限，而期權長倉的風險則隨相關資產價格變動而無限擴大。 Reject the comparison, but on the ground that a long futures position's risk is capped at the margin, while a long option position's risk expands without limit as the underlying price moves.

一名客戶以買方身分進行三項獨立的期權交易，分別向賣方支付港幣1,200元、1,700元及2,100元的期權金。風險部正覆核以下陳述： I. 三項交易各自的最高損失分別為港幣1,200元、1,700元及2,100元。 II. 把三項交易合併考慮，最高損失總額為港幣5,000元。 III. 把三項交易合併考慮，最高損失總額只等於其中最高的一筆期權金，即港幣2,100元。根據期權買方的最高損失原則，哪些陳述正確？ A client enters into three separate option transactions as the buyer and pays premiums of HKD1,200, HKD1,700 and HKD2,100 respectively to the sellers. The risk team is reviewing the following statements: I. The maximum losses on the three transactions are HKD1,200, HKD1,700 and HKD2,100 respectively. II. When the three transactions are considered together, the aggregate maximum loss is HKD5,000. III. When the three transactions are considered together, the aggregate maximum loss is only the largest single premium, namely HKD2,100. Under the maximum-loss principle for an option buyer, which statements are correct?

只有陳述I Statement I only

只有陳述II及III Statements II and III only

只有陳述I及II Statements I and II only

陳述I、II及III Statements I, II and III

某公司預計可能需要在未來四個月內買入一種外幣。財務委員會希望安排一項合約，使公司可以在該段期間內按預先設定的價格買入該外幣。下列哪項交易指示最符合這項目標？ A company expects that it may need to buy a foreign currency within the next four months. Its finance committee wants a contract that allows the company to buy that currency at a pre-set price during that period. Which dealing instruction best matches this objective?

由外幣賣方取得權利，在四個月內決定公司能否按預設價格買入該外幣。 Give the currency seller the right to decide, within four months, whether the company may buy the currency at the pre-set price.

規定公司在四個月完結時，必須按屆時才釐定的價格買入該外幣。 Require the company to buy the currency at the end of four months at a price to be determined only at that time.

讓公司以買方身分取得權利，可在四個月內按預先設定的價格向賣方買入該外幣。 Give the company, as buyer, the right to buy the currency from the seller at a pre-set price within four months.

讓公司以買方身分取得權利，可在四個月內按預先設定的價格向賣方出售該外幣。 Give the company, as buyer, the right to sell the currency to the seller at a pre-set price within four months.

一名交易員純粹作為買方購入250份期權，每份支付港幣12元期權金，即時付出的期權金總額為港幣3,000元。假設不計交易費用，風險經理應如何描述這項買入期權持倉的最大損失及潛在收益？ A trader acts solely as an option buyer and purchases 250 options at a premium of HKD12 each, paying a total premium of HKD3,000 upfront. Ignoring transaction costs, how should the risk manager describe the maximum loss and potential gain of this purchased-option position?

最大損失沒有上限，而潛在收益最多為港幣3,000元 The maximum loss is unlimited, while the potential gain is capped at HKD3,000

最大損失為港幣12元，而潛在收益沒有上限 The maximum loss is HKD12, while the potential gain is unlimited

最大損失為港幣3,000元，而潛在收益最多亦為港幣3,000元 The maximum loss is HKD3,000, while the potential gain is also capped at HKD3,000

最大損失為港幣3,000元，而潛在收益沒有上限 The maximum loss is HKD3,000, while the potential gain is unlimited

一家期貨交易櫃檯正在覆核有關買賣雙方責任的內部備忘錄。備忘錄載有以下陳述： I. 若相關資產價格朝不利於期貨買方的方向移動，買方可因此免除結算期貨合約的責任。 II. 即使相關資產價格朝不利於期貨賣方的方向移動，賣方仍須結算期貨合約。 III. 買方及賣方是否須結算期貨合約，並不取決於相關資產價格的移動方向。哪些陳述正確？ A futures trading desk is reviewing an internal memorandum about the responsibilities of buyers and sellers. The memorandum contains the following statements: I. If the underlying asset price moves against the futures buyer, the buyer may consequently avoid settling the futures contract. II. Even if the underlying asset price moves against the futures seller, the seller must still settle the futures contract. III. Whether the buyer and the seller must settle the futures contract does not depend on the direction in which the underlying asset price moves. Which statements are correct?

只有I I only

只有I及II I and II only

只有II及III II and III only

只有III III only

某風險報告比較條款相若的期貨好倉與買入期權。兩者因同一有利市況產生相同的未扣成本收益，但報告把兩者的淨潛在收益列成相同。期權買方已支付期權金，期貨持倉則沒有這項成本。覆核人員應如何修正報告？ A risk report compares a long futures position with a purchased option on comparable terms. The same favourable market move produces the same gain before costs for both, but the report records identical net potential gains. The option buyer has paid a premium, while the futures position has no such cost. How should the reviewer correct the report?

維持兩者相同，因為已付期權金屬過往現金流，不再影響淨潛在收益。 Keep the two results equal because the premium already paid is a past cash flow that no longer affects net potential gain.

比較淨收益時，把期權買方的結果下調已付期權金的金額，期貨結果維持不變。 For the net comparison, reduce the option buyer's result by the premium paid and leave the futures result unchanged.

把期權買方的淨潛在收益上調已付期權金的金額，因為期權金隨行使權一併取得。 Increase the option buyer's net potential gain by the premium paid because the premium accompanies the exercise right.

暫停所有比較直至期權行使；在行使前，期權金不可計入任何收益或成本。 Defer the entire comparison until exercise because the premium cannot be treated as either gain or cost before then.

在同一有利市況下，一項期貨持倉的潛在收益為42個金額單位。條款相若的買入期權在扣除期權金前亦產生42個單位收益。投資委員會要求期權買方扣除期權金後的淨潛在收益不得少於34個單位。買方最多可支付多少期權金？ Under the same favourable market move, a futures position has a potential gain of 42 monetary units. A purchased option on comparable terms also produces 42 units before deducting its premium. The investment committee requires the option buyer's net potential gain after premium to be at least 34 units. What is the maximum premium the buyer may pay?

34個金額單位 34 monetary units

最多8個金額單位 8 monetary units

42個金額單位 42 monetary units

76個金額單位 76 monetary units

在一次客戶適合性會面中，客戶表示：「只要我買入期權，之後就必須按合約買入或出售相關資產，所以買方和賣方承擔相同的履約責任。」客戶經理應如何糾正這項理解？ During a client suitability meeting, a client says: “Once I buy an option, I must subsequently buy or sell the underlying asset under the contract, so the buyer and the seller have the same performance obligation.” How should the client manager correct this understanding?

認購期權買方有責任買入相關資產，而認沽期權買方只有權利出售；只有認沽期權賣方須服從買方決定。 A call option buyer is obliged to buy the underlying asset, whereas a put option buyer only has the right to sell; only a put option seller must follow the buyer’s decision.

期權買方享有權利而沒有責任；認購期權給予買入相關資產的權利，認沽期權給予出售相關資產的權利，而賣方須服從買方的決定。 An option buyer has a right but not an obligation; a call gives the right to buy the underlying asset, a put gives the right to sell it, and the seller must comply with the buyer’s decision.

期權買方和賣方均可各自決定是否進行相關資產交易，因此賣方可以拒絕執行買方的決定。 Both the option buyer and the seller may independently decide whether to transact in the underlying asset, so the seller may refuse to carry out the buyer’s decision.

期權賣方享有是否買入或出售相關資產的選擇權，而買方屬被動一方，必須服從賣方的決定。 The option seller has the choice of whether to buy or sell the underlying asset, while the buyer is the passive party and must follow the seller’s decision.

風險經理覆核一份期權持倉報告。基金作為期權買方，已向賣方支付港幣24,000元期權金；相關資產的市值為港幣600,000元。若相關資產價格其後大幅下跌，該期權買方就這項持倉可能承受的最高損失應為多少？ A risk manager reviews an option position report. The fund, as the option buyer, has paid a premium of HKD24,000 to the seller, while the underlying asset has a market value of HKD600,000. If the underlying asset price subsequently falls sharply, what is the maximum loss the option buyer could suffer on this position?

港幣24,000元，即買方已支付的期權金；買方可選擇不行使期權，無須承擔相關資產全部市值的下跌。 HKD24,000, the premium already paid; the buyer may let the option lapse and does not bear the full decline in the underlying asset's market value.

港幣600,000元，即相關資產的市值，因為買方須承擔相關資產價格下跌的全部金額。 HKD600,000, being the market value of the underlying asset, because the buyer must bear the full fall in the underlying asset’s price.

港幣576,000元，即相關資產市值減去期權金，因為期權金可從相關資產的損失中扣除。 HKD576,000, being the underlying asset’s market value less the premium, because the premium may be deducted from the loss on the underlying asset.

港幣624,000元，即相關資產市值加上期權金，因為買方同時損失相關資產價值及期權金。 HKD624,000, being the underlying asset’s market value plus the premium, because the buyer loses both the value of the underlying asset and the premium.

風險委員會覆核四宗期貨交易個案，並要求按交易目的歸類。個案一：一家航空公司已承擔航空燃油價格波動的經濟風險，買入燃油期貨以抵銷該風險。個案二：一名交易員並無任何相關現貨持倉，僅因相信指數期貨價格將會下跌而沽出期貨。個案三：一名交易員察覺某期貨合約與其相關現貨資產之間出現異常價差，遂在兩邊同時建立方向配合的持倉以賺取該價差。個案四：一名交易員並無相關現貨持倉，只因相信某商品期貨價格將會上升而買入該期貨。委員會應如何歸類個案一至個案四的交易目的？ A risk committee reviews four futures transactions and must classify each by trading purpose. Case 1: an airline already bears economic exposure to jet-fuel price movements and buys fuel futures to offset that exposure. Case 2: a trader with no related cash position sells index futures solely because the trader believes index futures prices will fall. Case 3: a trader notices an abnormal price spread between a futures contract and its underlying cash asset and establishes coordinated positions on both sides to capture that spread. Case 4: a trader with no related cash position buys a commodity future solely because the trader believes its price will rise. How should the committee classify the trading purposes of Cases 1 to 4?

個案一：方向性交易；個案二：對沖；個案三：套戥；個案四：方向性交易 Case 1: directional trading; Case 2: hedging; Case 3: arbitrage; Case 4: directional trading

個案一：對沖；個案二：方向性交易；個案三：套戥；個案四：方向性交易 Case 1: hedging; Case 2: directional trading; Case 3: arbitrage; Case 4: directional trading

個案一：對沖；個案二：方向性交易；個案三：方向性交易；個案四：套戥 Case 1: hedging; Case 2: directional trading; Case 3: directional trading; Case 4: arbitrage

個案一：套戥；個案二：對沖；個案三：對沖；個案四：方向性交易 Case 1: arbitrage; Case 2: hedging; Case 3: hedging; Case 4: directional trading

一家公司已持有一批存貨，因此面對該存貨價格變動所產生的現有風險。風險委員會正為期貨交易設定授權。下列哪項交易指示最符合對沖目的？ A company already holds inventory and therefore has an existing exposure to changes in the inventory’s price. Its risk committee is setting a mandate for futures transactions. Which trading instruction most closely matches a hedging objective?

建立期貨持倉的指定目的，是抵銷公司現有存貨的價格風險。 Establish a futures position specifically to offset the price exposure arising from the company’s existing inventory.

在沒有需要抵銷的現有風險時，因預期市場將向某一方向移動而建立期貨持倉。 Establish a futures position because the market is expected to move in a particular direction, without an existing exposure that needs to be offset.

只有在期貨與相關現貨市場出現不尋常價格差異時，才在兩個市場交易以圖從差異獲利。 Trade in both markets only when an unusual price discrepancy arises between futures and the related cash market, seeking profit from that discrepancy.

把公司的存貨風險與期貨交易分開處理，並純粹按對市場升跌的看法建立持倉。 Treat the company’s inventory exposure separately from the futures transaction and establish the position solely according to a view on whether the market will rise or fall.

某期貨公司的風險主管正覆核16張策略單。交易方向及交易員記錄的經濟目的如下： • 7張策略單：建立期貨好倉，唯一目的是抵銷公司面對的價格上升風險； • 5張策略單：在沒有相關風險承擔的情況下建立期貨淡倉，純粹基於價格將會下跌的判斷； • 4張策略單：同時建立方向相反的相關持倉，唯一目的是利用兩者之間已識別的價格差異。風險主管應如何按經濟目的分類這16張策略單？ A futures firm’s risk manager is reviewing 16 strategy tickets. Their trading directions and the traders’ recorded economic purposes are as follows: • 7 tickets: long futures positions established solely to offset the firm’s exposure to rising prices; • 5 tickets: short futures positions established without a related exposure, purely on the view that prices will fall; • 4 tickets: simultaneous opposing positions in related instruments established solely to exploit an identified price discrepancy. How should the risk manager classify the 16 tickets by economic purpose?

7張屬對沖、5張屬套戥、4張屬純交易；合共16張 7 are hedging, 5 are arbitrage and 4 are pure trading; total 16

7張屬對沖、5張屬純交易、4張屬套戥；合共16張 7 are hedging, 5 are pure trading and 4 are arbitrage; total 16

12張屬對沖、0張屬純交易、4張屬套戥；合共16張 12 are hedging, 0 are pure trading and 4 are arbitrage; total 16

0張屬對沖、12張屬純交易、4張屬套戥；合共16張 0 are hedging, 12 are pure trading and 4 are arbitrage; total 16

交易系統錄得兩宗期貨成交：買入限價為100元的指示以101元成交；賣出限價為105元的指示以106元成交。只按限價盤須以指定價格或對下單者更佳價格執行的規則，覆核人員應作出哪項結論？ A trading system records two futures fills: a buy order limited at $100 was filled at $101, while a sell order limited at $105 was filled at $106. Applying only the rule that a limit order must execute at its specified price or a better price for the party placing it, what should the reviewer conclude?

兩宗成交均可接受，因為成交價與限價只相差1元。 Both fills are acceptable because each execution differs from its limit by only $1.

兩宗成交均不可接受，因為限價盤只能按列明的確實價格成交。 Neither fill is acceptable because a limit order may execute only at the exact stated price.

買入成交可接受而賣出成交不可接受，因為較高價格對所有限價盤都較佳。 The buy fill is acceptable but the sell fill is not because a higher price is better for every limit order.

拒絕買入成交、接受賣出成交：101元令買方多付，106元令賣方多收。 Reject the buy fill and accept the sell fill: $101 makes the buyer pay more, while $106 gives the seller more.

某指定指數套戥交易中，部分環節須在聯交所執行。內部紀錄顯示，執行該等環節的一方只是一般交易參與者。就身分及執行安排而言，哪一項描述正確？ Parts of a Designated Index Arbitrage Transaction need to be conducted on SEHK. Internal records show that the party executing those parts is only an ordinary trading participant. Which description of the status and execution arrangement is correct?

該等須在聯交所執行的環節，須由聯交所規則下的指定指數套戥賣空參與者在聯交所執行 Those parts that need to be conducted on SEHK must be conducted on SEHK by a Designated Index Arbitrage Short Selling Participant under the Rules of SEHK

只要整項交易具套戥目的，任何交易參與者均可在聯交所執行該等環節 As long as the overall transaction has an arbitrage purpose, any trading participant may conduct those parts on SEHK

執行者只須具備一般賣空資格，毋須具備指定指數套戥賣空參與者身分 The executing party only needs ordinary short-selling capacity and need not hold Designated Index Arbitrage Short Selling Participant status

指定身分只適用於並非在聯交所執行的環節，故聯交所環節毋須核實身分 The designated status applies only to parts not conducted on SEHK, so no status verification is needed for the SEHK parts

某交易所合約的條款及條件，應如何確定？ How should the terms and conditions of an Exchange Contract be determined?

採用董事會不時依據相關規例訂明的條款及條件 Apply the terms and conditions as specified from time to time by the Board pursuant to the relevant Regulations

採用交易員最早保存的版本，其後不再更新 Apply the version earliest retained by a trader, with no later updating

由市場價格的每次變動自動改寫 Have them automatically rewritten by each movement in the market price

由交易雙方自行協定取代，無須參照任何規例 Have them replaced by agreement between the two trading parties, without reference to any Regulations

某資產管理公司持有與恒生指數表現掛鈎的股票組合，並同時在期貨市場建立倉位，以抵銷該組合價值下跌的風險。該公司建立期貨倉位所服務的交易目的，屬於下列哪一類？ An asset management firm holds an equity portfolio whose value tracks the Hang Seng Index and simultaneously establishes a futures position to offset the risk of a decline in the value of that portfolio. The trading objective served by the firm's futures position belongs to which of the following categories?

對沖，因為期貨倉位用以抵銷該組合既有的價格風險 Hedging, because the futures position offsets an existing price exposure of the portfolio

套戥，因為期貨倉位用以捕捉期貨與現貨市場之間的不正常價格差距 Arbitrage, because the futures position captures an unusual price discrepancy between the futures and cash markets

方向性交易，因為期貨倉位用以就市場走勢建立觀點 Directional trading, because the futures position takes a view on market movement

造市，因為期貨倉位用以向市場提供雙邊報價 Market making, because the futures position provides two-way quotes to the market

某證券行的交易紀錄系統須為下列兩宗已完成交易各輸入一個「交易日期」欄位。系統只接受一個日期，且不容許輸入兩個日期或留空。個案甲：某衍生工具合約經交易所的中央買賣系統配對成交，成交當日為3月4日；交易其後於3月5日經內部風險委員會追認，並於3月6日完成交收。個案乙：某掉期息率協議由雙方在談判會議上當面簽立，簽立日為3月11日；協議訂明首次現金流於3月18日發生，而雙方於3月13日才交換最終文本。交易紀錄系統應為個案甲及個案乙分別輸入哪一個日期？ A securities firm’s trade record system requires a single “trade date” entry for each of the two completed transactions below. The system accepts only one date and does not permit two dates or a blank field. Case A: a derivative contract was matched and concluded through the exchange’s central trading system on 4 March; it was subsequently ratified by the internal risk committee on 5 March and settled on 6 March. Case B: a swap rate agreement was signed in person by both parties at a negotiation meeting on 11 March; the agreement provided for the first cash flow to occur on 18 March, and the parties exchanged final texts only on 13 March. Which dates should the trade record system enter for Case A and Case B respectively?

個案甲：3月4日；個案乙：3月11日 Case A: 4 March; Case B: 11 March

個案甲：3月5日；個案乙：3月13日 Case A: 5 March; Case B: 13 March

個案甲：3月6日；個案乙：3月18日 Case A: 6 March; Case B: 18 March

個案甲：3月4日；個案乙：3月18日 Case A: 4 March; Case B: 18 March

交易主管覆核以下四項記錄，以決定哪一項應歸類為浮動虧損：甲是一個仍未平倉的持倉，按照市值計算差額後顯示未實現虧損；乙是一個已平倉持倉所產生的已實現虧損；丙是一個仍未平倉的持倉，按照市值計算差額後顯示未實現收益；丁是一個仍未平倉的持倉，但記錄只載有交易員對未來可能虧損的估計，並沒有按照當前市值計算的虧損差額。主管應選取哪一項？ A trading supervisor reviews the following four records to decide which one should be classified as a floating loss. Record I is an open position showing an unrealized loss calculated by the mark-to-market difference method. Record II is a realized loss arising from a closed position. Record III is an open position showing an unrealized gain calculated by the mark-to-market difference method. Record IV is an open position for which the record contains only a trader’s estimate of a possible future loss, without a loss difference calculated using the current market value. Which record should the supervisor select?

乙，因為平倉後確定的虧損最能反映實際損失 Record II, because a loss confirmed after closing most directly reflects an actual loss

丁，因為任何未平倉持倉的未來潛在虧損均屬浮動虧損 Record IV, because any potential future loss on an open position is a floating loss

甲，因為它是以按照市值計算差額的方法計算的未平倉持倉未實現虧損 Record I, because it is an unrealized loss on an open position calculated by the mark-to-market difference method

丙，因為只要未平倉持倉經過按照市值計算，結果便屬浮動虧損 Record III, because any mark-to-market result on an open position constitutes a floating loss

某資產管理公司的產品審批人員須就一項擬推出的雙邊安排填寫分類表，表格只設「屬外匯協議」及「不屬外匯協議」兩格。該安排的要點如下：雙方約定於七個月後互相兌換瑞士法郎與日圓；雙方並非透過任何交易所或中央結算系統進行，而是自行簽立一份雙邊文件；該文件的名稱及條款均無提及期貨合約或期權合約，亦不具備該兩類合約的任何特徵。產品審批人員應把該安排歸入哪一格，以及最恰當的理由是甚麼？ A product approval officer at an asset management company must classify a proposed bilateral arrangement on a form offering only two boxes, “is a foreign exchange agreement” and “is not a foreign exchange agreement”. The arrangement is as follows: the parties agree to exchange Swiss francs for Japanese yen in seven months; they do not use any exchange or central clearing system but sign a bilateral document themselves; and the document neither names nor contains any feature of a futures contract or an option contract. Which box should the officer select, and what is the most appropriate reason?

屬外匯協議，因為雙方約定於將來兌換兩種不同貨幣，且該安排不屬期貨合約或期權合約 It is a foreign exchange agreement, because the parties agree to exchange two different currencies at a future time and the arrangement is neither a futures contract nor an option contract

不屬外匯協議，因為雙方自行簽立雙邊文件，並無經交易所或中央結算系統進行 It is not a foreign exchange agreement, because the parties signed a bilateral document themselves without using an exchange or central clearing system

不屬外匯協議，因為雙方並非經交易所或中央結算系統進行，欠缺交易所執行的要素 It is not a foreign exchange agreement, because the parties did not use an exchange or central clearing system and therefore lack the element of exchange execution

不屬外匯協議，因為雙方只約定兌換一次，並未安排一連串的貨幣兌換 It is not a foreign exchange agreement, because the parties agreed on a single exchange only and did not arrange a series of currency exchanges

一名客戶持有尚未平倉的掉期息率協議。交易桌按市值計算差額後，顯示該持倉存在未實現虧損。客戶表示，這項交易原本用作管理其風險，而且他認為交易適合自己，因此帳戶內不應出現「浮動虧損」。以下哪項是對這個說法的最佳分析？ A client holds an open swap interest rate agreement. After the dealing desk calculates the difference on a mark-to-market basis, the position shows an unrealised loss. The client says that the transaction was entered into to manage risk and that he considers it suitable for him, so no “floating loss” should appear in the account. Which is the best analysis of this statement?

客戶的說法正確，因為未平倉持倉的虧損在合約平倉前不能被分類為浮動虧損。 The client is correct because a loss on an open position cannot be classified as a floating loss until the contract is closed.

客戶的說法正確，因為是否存在浮動虧損應按訂立交易的風險管理目的計算，而非按市值計算差額。 The client is correct because the existence of a floating loss should be calculated according to the transaction's risk-management purpose rather than by using a mark-to-market difference.

客戶的說法正確，因為浮動虧損只適用於期貨、證券及期權的未平倉持倉，不適用於掉期息率協議。 The client is correct because floating losses apply only to open positions in futures, securities and options, and not to swap interest rate agreements.

客戶的說法不正確；掉期息率協議屬可產生浮動虧損的項目，而按市值計算差額所得的未平倉持倉未實現虧損可被分類為浮動虧損。 The client is incorrect; a swap interest rate agreement is an item capable of giving rise to a floating loss, and an unrealised loss on an open position calculated using a mark-to-market difference can be classified as a floating loss.