這是主約保險
這張保險可以單獨購買，也可以搭配其他附約保險一起購買。
這是定期險
通常繳費期間等於保障期間，假設選擇20年期，代表繳費20年保障20年，每年保費都不會變，20年到了就沒有保障；有些會保障到固定年齡，如繳費10年保障到65歲。
這張保險還沒做好 :(
保險商品真的太多了......再給我們一點時間。
如果急著想了解這張商品，問問網站其他會員，
可以得到即時的建議哦！
-1/53
中國人壽高優質獲利投資連結壽險
中國人壽高優質獲利投資連結壽險中國人壽高優質獲利投資連結壽險
中國人壽高優質獲利投資連結壽險
保單條款
保單條款保單條款
保單條款
【本保險為不分紅保險單，不參加紅利分配，並無紅利給付項目】
※本商品經本公司合格簽署人員檢視其內容業已符合一般精算原則及保險法令，惟為確保
權益，基於保險公司與消費者衡平對等原則，消費者仍應詳加閱讀保險單條款與相關文
件，審慎選擇保險商品。本商品如有虛偽不實或違法情事，應由本公司及負責人依法負
責。
※投保後解約或不繼續繳費可能不利消費者，請慎選符合需求之保險商品。
※保險契約各項權利義務皆詳列於保單條款，消費者務必詳加閱讀了解，並把握保單契約
撤銷之時效（收到保單翌日起算十日內）。
※稅法相關規定之改變可能會影響本險之投資報酬及給付金額。
※ 本商品所連結之一切投資標的，其發行或管理機構以往之投資績效不保證未來之投資收
益，除保險契約另有約定外，本公司不負投資盈虧之責。
0800 021200
93.03.29
0 9 3 0 7 0 2 5 3 9
www.chinalife.com.tw
94.02.21
09402013000
94.12.27
9 4 1 6 4 3
96 8 31
95 9 1 0950252225B
【保險契約的構成】
【名詞定義】
-2/53
【保險責任的開始及交付保險費】
【契約撤銷權】
【告知義務與本契約的解除】
-3/53
【貨幣單位與匯率計算】
【保險金額或投資帳戶價值的減少】
【投資帳戶價值的計算及通知】
【契約的終止】
-4/53
【保險事故的通知與保險金的申請時間】
【失蹤處理】
【保險範圍與保險給付】
【身故保險金的申領】
【全殘廢保險金的申領】
-5/53
【滿期保險金的申領】
【除外責任】
【未還款項的扣除】
【保險單借款】
【保險單紅利】
【投資收益的計算及給付】
-6/53
【年齡的計算及錯誤的處理】
【受益人的指定及變更】
【變更住所】
【時效】
【批註】
-7/53
【管轄法院】
-8/53
【
【【
【附表一
附表一附表一
附表一】
】】
】
殘廢程度表
殘廢程度表殘廢程度表
殘廢程度表
-9/53
【
【【
【附表二
附表二附表二
附表二】
】】
】費用
費用費用
費用
10
6 7 8 10 15 20
14 644 259
773 311 899 363
1,143 462
1,708 685
2,279 938
15 729 284
858 336
984 388
1,226 485
1,795 712
2,397 984
16 790 304
919 357
1,044 407
1,286 503
1,862 737
2,501 1,031
17 823 319
951 371
1,076 421
1,317 516
1,906 761
2,590 1,078
18 826 327
955 379
1,080 429
1,322 524
1,930 785
2,666 1,126
19 826 327
955 379
1,081 431
1,326 529
1,960 809
2,752 1,175
20 826 327
955 379
1,081 431
1,330 533
1,998 834
2,853 1,228
21 826 327
955 379
1,082 431
1,337 539
2,048 864
2,969 1,287
22 826 327
956 379
1,086 433
1,350 548
2,110 898
3,103 1,353
23 827 327
960 381
1,093 439
1,371 563
2,188 940
3,258 1,429
24 832 330
968 388
1,108 450
1,401 584
2,282 989
3,436 1,517
25 841 338
983 400
1,130 467
1,444 611 2,394 1,047 3,638 1,617
26 857 351
1,007 419
1,163 491
1,501 646
2,524 1,115 3,868 1,733
27 881 370
1,040 443
1,208 521
1,572 689
2,676 1,192 4,126 1,865
28 914 395
1,085 473
1,266 557
1,659 737
2,848 1,279 4,415 2,014
29 958 423
1,143 508
1,338 598
1,762 792
3,044 1,376 4,735 2,182
30 1,014 456
1,213 547
1,424 644
1,881 852
3,264 1,483 5,087 2,368
31 1,081 491
1,296 590
1,523 693
2,015 916
3,509 1,601 5,475 2,574
32 1,159 529
1,391 635
1,635 746
2,166 986
3,778 1,732 5,898 2,799
33 1,247 570
1,497 683
1,760 803
2,332 1,062 4,074 1,876 6,358 3,043
34 1,344 613
1,613 735
1,897 863
2,515 1,144 4,395 2,037 6,859 3,306
35 1,449 659
1,740 790
2,046 929
2,714 1,234 4,743 2,215 7,400 3,588
36 1,563 709
1,877 850
2,208 1,001 2,929 1,333 5,118 2,412 7,988 3,892
37 1,687 762
2,025 916
2,384 1,080 3,163 1,444 5,524 2,627 8,624 4,223
38 1,820 822
2,186 989
2,573 1,168 3,415 1,568 5,962 2,862 9,314 4,586
39 1,965 888
2,361 1,071 2,780 1,267 3,688 1,707 6,436 3,115 10,064 4,988
40 2,123 962
2,551 1,163 3,003 1,379 3,984 1,864 6,951 3,388 10,878 5,435
41 2,295 1,047 2,758 1,268 3,246 1,506 4,303 2,039 7,509 3,683 11,763 5,933
42 2,482 1,143 2,981 1,386 3,508 1,649 4,649 2,232 8,117 4,004 12,724 6,486
43 2,684 1,252 3,223 1,520 3,791 1,808 5,024 2,441 8,778 4,356 13,765 7,096
44 2,902 1,375 3,484 1,669 4,098 1,983 5,431 2,666 9,496 4,747 14,891 7,766
45 3,138 1,511 3,766 1,832 4,430 2,172 5,871 2,905 10,279 5,182 16,108 8,498
46 3,392 1,660 4,071 2,007 4,789 2,373 6,351 3,161 11,131 5,665 17,422 9,297
47 3,667 1,818 4,403 2,192 5,180 2,585 6,873 3,437 12,057 6,201 18,838 10,168
48 3,967 1,984 4,764 2,386 5,607 2,808 7,443 3,737 13,064 6,790 20,362 11,116
49 4,294 2,156 5,158 2,588 6,073 3,047 8,067 4,068 14,158 7,435 22,000 12,149
50 4,652 2,335 5,590 2,804 6,584 3,306 8,751 4,435 15,344 8,139 23,758 13,274
51 5,046 2,525 6,065 3,039 7,145 3,593 9,500 4,845 16,630 8,906 25,640 14,500
52 5,478 2,735 6,587 3,302 7,762 3,917 10,319 5,303 18,020 9,744 27,650 15,838
53 5,955 2,974 7,161 3,603 8,438 4,285 11,214 5,816 19,522 10,664 29,790 17,297
54 6,479 3,251 7,792 3,949 9,180 4,704 12,190 6,386 21,140 11,677 32,063 18,889
55 7,056 3,573 8,483 4,346 9,991 5,178 13,251 7,021 22,881 12,793 34,467 20,621
56 7,689 3,944 9,240 4,796 10,876 5,709 14,404 7,722 24,748 14,020 37,001 22,502
57 8,381 4,362 10,066 5,298 11,839 6,297 15,654 8,495 26,746 15,365 39,661 24,535
58 9,136 4,825 10,964 5,849 12,885 6,941 17,005 9,342 28,878 16,833 42,441 26,723
59 9,958 5,329 11,940 6,449 14,019 7,642 18,463 10,266 31,146 18,427 45,331 29,065
60 10,851 5,873 12,998 7,098 15,246 8,402 20,035 11,271 33,550 20,152 48,321 31,562
61 11,819 6,459 14,144 7,799 16,571 9,227 21,724 12,365 36,091 22,015 51,397 34,212
62 12,869 7,093 15,384 8,562 18,002 10,125 23,539 13,557 38,767 24,024 54,542 37,014
63 14,006 7,785 16,723 9,394 19,545 11,107 25,483 14,856 41,574 26,186 57,737 39,966
64 15,238 8,545 18,170 10,309 21,207 12,184 27,562 16,275 44,506 28,512 60,962 43,062
65 16,570 9,384 19,732 11,317 22,995 13,367 29,781 17,825 47,556 31,006 64,192 46,292
66 18,011 10,312 21,415 12,428 24,913 14,667 32,143 19,517 50,713 33,674 67,400 49,640
67 19,567 11,335 23,224 13,650 26,967 16,092 34,650 21,359 53,961 36,514 70,559 53,088
68 21,244 12,463 25,166 14,990 29,163 17,651 37,302 23,359 57,283 39,525 73,641 56,608
69 23,048 13,700 27,246 16,458 31,504 19,351 40,098 25,523 60,659 42,698 76,619 60,171
70 24,985 15,056 29,469 18,059 33,991 21,199 43,033 27,857 64,064 46,023 79,465 63,743
71 27,060 16,537 31,838 19,803 36,627 23,204 46,102 30,365 67,473 49,485
72 29,279 18,152 34,356 21,696 39,409 25,371 49,296 33,050 70,856 53,065
73 31,644 19,909 37,022 23,748 42,335 27,708 52,601 35,914 74,183 56,741
74 34,158 21,817 39,836 25,965 45,401 30,221 56,005 38,956 77,423 60,485
75 36,823 23,885 42,796 28,355 48,597 32,914 59,487 42,172 80,546 64,263
76 39,637 26,120 45,895 30,925 51,914 35,790 63,025 45,555
77 42,599 28,530 49,126 33,676 55,337 38,847 66,595 49,094
78 45,702 31,120 52,478 36,610 58,848 42,083 70,169 52,771
79 48,940 33,894 55,935 39,729 62,427 45,492 73,714 56,567
80 52,301 36,853 59,480 43,027 66,048 49,062 77,200 60,455
81 55,771 39,998 63,092 46,497 69,685 52,777
82 59,333 43,324 66,746 50,127 73,307 56,617
83 62,965 46,823 70,412 53,900
84 66,643 50,483
-10/53
6 7 8 10 15 20
3.25% 3.25% 3.25% 3.50% 4.50% 5.50%
-11/53
【
【【
【附表三
附表三附表三
附表三】
】】
】
【
【【
【投資標的之發行或保
投資標的之發行或保投資標的之發行或保
投資標的之發行或保證公司介紹
證公司介紹證公司介紹
證公司介紹】
】】
】
本契約所提供之結構式債券（Structure Notes），其所屬之公司如下：
HSBC Bank Plc
HSBC Bank Plc
HSBC Bank Plc
1. 2002/6/30 7,460
2.
3. 81
1.Moody's Investor Service Aa2
2.Standard & Poor's Rating Group AA-
Deutsche Bank AG
Deutsche Bank AG
Deutsche Bank AG
1. 1870
2.2002 1 Euromoney
2001 9 The Banker
3. 70 2000 7 1300
4.2003 6 8,512
1.Moody's Investor Service Aa3
2.Standard & Poor's Rating Group AA-
RaboBank
RaboBank
RaboBank
1. 19 2,000
2.
3. 34 143 18 29
1995
1.Moody's Investor Service
Aaa
2.Standard & Poor's Rating Group AAA
-12/53
Société Générale
Société Générale Acceptance N.V. (SGA)
Société Générale
1. 1864 6 15 2002 12 31 240
1 /
2. Risk Magazine 2001 2002 IFR 2002 The Banker 2003
3. 80 8
1.Moody's Investor Service Aa3
2.Standard & Poor's Rating Group AA-
3.Fitch Ratings AA-
JP Morgan
JP Morgan
JP Morgan Chase Bank
1. 2000
2.2002 7,590
3. ,
4. 100,000 50
1.Moody’s Investor Service Aa2
2.Standard & Poor’s Rating Group AA-
BNP Paribas Group
BNP Paribas Group
BNP Paribas Group
1. 1993 2000
2001 12 445
2. 2001 8252 40 18.2%
3. 80
4. 87 78
1.Moody’s Investor Service Aa2
2.Standard & Poor’s Rating Group AA
ABN AMRO Bank N.V.
ABN AMRO Bank N.V.
ABN AMRO Bank N.V.
1. 1824 2003 6 6140 60 3000
-13/53
2.
3 Wholesale Clients Consumer & Commercial Clients
Private Clients & Asset Management
3. 30
1.Moody’s Investor Service Aa2
2.Standard & Poor’s Rating Group AA-
Citigroup Global Markets Holdings Inc
Allegro Investment Corporation
SWAP Agreement SWAP
Agreement
Citigroup Global Markets Holdings Inc
1. itigroup Inc
2. 1997 2 23 2003 4 7
3. 500
12,600
4. 2002 10,970 2,920
1.Moody’s Investor Service Aa1
2.Standard & Poor’s Rating Group AA-
The Royal Bank of Scotland
The Royal Bank of Scotland
The Royal Bank of Scotland
1. 1727
2. 2002 3,950
3.
1.Moody’s Investor Service Aa1
2.Standard & Poor’s Rating Group AA-
UBS AG
UBS AG
UBS AG
1.2002 12 31 BIS 11.3% 20,370
-14/53
2.
389.91 794.48
3. 50 69,061
1.Moody’s Investor Service Aa2
2.Standard & Poor’s Rating Group AA+
Banque ET Caisse D’Epargne De L’ETAT
Banque ET Caisse D’Epargne De L’ETAT
Banque ET Caisse D’Epargne De L’ETAT
1. 1856
2. 2002 360
3. One-stop Shopping
1.Moody’s Investor Service Aa1
2.Standard & Poor’s Rating Group AA+
Barclays Bank PLC
Barclays Bank PLC
Barclays Bank PLC
1. 6500 , 560
Bloomberg
2.
2002
52
3. 300 60 74,700 2003 6 30
2,077 499
1.Moody's Investor Service Aa1
2.Standard & Poor's Rating Group AA
ING Bank N.V.
ING Bank N.V.
ING Bank N.V.
1. 1845 ING Group 25
2. 7,679 60 61,190 5,000
3. The Bankers 2002 7 3,907.25 19.12
1.Moody's Investor Service
Aa2
2.Standard & Poor's Rating Group AA-
-15/53
(Salomon Smith Barney Holding Inc.)
(Salomon Smith Barney Holding Inc.)
(Salomon Smith Barney Holding Inc.)
1.Moody's Investor Service Aa1
2.Standard & Poor's Rating Group AA-
(Morgan Stanley)
(Morgan Stanley)
(Morgan Stanley)
1.Moody's Investor Service Aa3
2.Standard & Poor’s Rating Group: A+
(AIG Financial Products Corp.)
(AIG-FP )
(Banque AIG)
(American International Group, Inc.)
1. 130
2.
3. 2002 5,612 2002
553 2002 53
1.Moody's Investor Service Aaa
2.Standard & Poor's Rating Group AAA
(Bank of America Corp.)
: (Bank of America Corp.)
: (Bank of America Corp.)
1. 2003 7,364
2. 31
3.
4. 30 3,000 200
1.Moody’s Investor Service: Aa2
2.Standard & Poor’s Rating Group: A+
-16/53
(Lloyds TSB Bank Plc)
: (Lloyds TSB Bank Plc)
: (Lloyds TSB Bank Plc)
1. 1865
2. 2003 2520
3. 2,300 40 500
4.Lloyds Aaa (Moody’s)
1.Moody’s Investor Service: Aaa
2.Standard & Poor’s Rating Group: AA
:
:
1. 2003 7,654
2.
3. 34 69 23,400
1.Moody’s Investor Service: Aa3
2.Standard & Poor’s Rating Group: A+
3.Fitch Ratings AA-
:
:
1. 1990
2.
3. 2003 758
1.Moody’s Investor Service: Aa3
2.Standard & Poor’s Rating Group: A+
3.Fitch Ratings AA-
1. 1915 2003 4,945
2. 35 48,100
3.
1.Moody’s Investor Service: AA3
2.Standard & Poor’s Rating Group:
A+
Dexia ’
-17/53
Dexia ’
Dexia ’
1856 148 , Dexia
2. 2003 8 22 WORLD’S SAFEEST BANDS (Dexia Banque
Internationale à Luxembourg) 2260 Dexia
1.Moody’s Investor Service: Aa1
2.Standard & Poor’s Rating Group: AA
-18/53
【
【【
【投資標的
投資標的投資標的
投資標的、
、、
、滿期保險金及投資收益計算公式
滿期保險金及投資收益計算公式滿期保險金及投資收益計算公式
滿期保險金及投資收益計算公式】
】】
】
※
※※
※本保險所包含之匯率風險
本保險所包含之匯率風險本保險所包含之匯率風險
本保險所包含之匯率風險、
、、
、發行或保證公司之信用風險
發行或保證公司之信用風險發行或保證公司之信用風險
發行或保證公司之信用風險，
，，
，
以
以以
以及中途解約之市場風險均由要保人自行承擔
及中途解約之市場風險均由要保人自行承擔及中途解約之市場風險均由要保人自行承擔
及中途解約之市場風險均由要保人自行承擔。
。。
。
＜
＜＜
＜甲型
甲型甲型
甲型＞
＞＞
＞利差型付息債券
利差型付息債券利差型付息債券
利差型付息債券(Spread With Equity Bonus Payment TARN)
1. 2 a b
2. 1 S
( )
100%
H-1
ax ay
t H H
t=1
R + Max(B (I - I ),C%) N M%
× ≥
∑
100%
tt
R×=
-19/53
ax ay
t t
t
A%
, t = 1
N
Max(B (I - I ),C% )
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t=1
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S
Min Max( % ( -1),floor%),cap%
S
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∑
H-1
t=1
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t
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∑
T-1
t=1
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∑
T
t
u u=3 2002/1/15
1 2002/1/15 2002/4/14 2 2002/4/15
2002/7/14
N
3 N=4
ax
t
I
ay
t
I
ax
t
I
X a t i
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t
I
Y
a t j
bz
t
I
Z b t k
0
S
S
H
S
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H
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t H H
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( H )
A% N B C% D%
%
α
floor% cap% V
t
Bus
X Y Z i j k p M%
a b S
swap rate
http://www.chinalife.com.tw
% %
-20/53
1993/11/15 10 (N=1,T=10) ( ) 100
M%=16% :
12 (
ax
t
I
12-Month USD Libor t 5 )
1 (
ay
t
I
1-Month USD Libor t 5 )
6 (
bz
t
I
6-Month USD Libor t 2 )
EUROSTOXX50( 50 )(
O
S
H
S
5
)
A%=8% B=10 C%=0% D%=0% floor%=0% cap%=10% %=100% V=4
%4Bus
4
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5
=
%6Bus
6
= %7Bus
7
= %8Bus
8
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9
= %10Bus
10
=
ax ay
t t
t
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R
× ≤ ≤
=
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H
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0
t=1
bz
t
S
16% - R + Min Max(100% ( -1),0%),10% + Bus , t = H, 10 H 4
S
I - 0% ,H < t 10,
16
× ≥ ≥
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9
t
t=1
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∑
H-1
ax ay
t H H
t=1
R + Max(10 (I - I ),0%) 16%
× ≥
∑
( H )
:
t
12-M
USD
LIBOR
1-M
USD
LIBOR
t
S
6-M USD
LIBOR
-0%
ax ay
t t
Max(10 (I - I ),0% )
×
t-1
ax ay
S t t
S=1
R +Max(10 (I -I ),0%)
×
∑
(a)
t
R
0
1993/11/15
1993/11/15
3.75%
3.19%
1329.77
1
1994/11/15
1994/11/8
6.75%
5.31%
1312.15
8.00%
2
1995/11/15
1995/11/8
5.69%
5.81%
1415.68 0.00% 8.00%
0.00%
3
1996/11/15
1996/11/8
5.69%
5.38%
1742.08 3.10% 11.10%
3.10%
4
1997/11/17
1997/11/10
6.00%
5.66%
2319.53 3.40% 14.50%
3.40%
5
1998/11/16
1998/11/9
5.13%
5.28%
2957.79 0.00% 14.50%
0.00%
6
1999/11/15
1999/11/8
6.09%
5.40%
4024.55 6.90% 21.40%
(
)
16%
17.50%
-21/53
7
2000/11/15
1999/11/11
6.02%
6.02%
8
2001/11/15
2000/11/13
6.71%
6.71%
9
2002/11/15
2001/11/13
1.97%
1.97%
10
2003/11/17
2002/11/13
1.40%
1.40%
H
H
O
S
(a) = Min[Max(100% ( -1),0% ),10%] + Bus
S
×
8%
:
1
×R
1
= 100 × 8.00% = 8
1
=8%
Max(10×(5.69% – 5.81%),0%)=0%
1
+0%=8%+0%=8.00%
2
= ×R
2
= 100 ×0% = 0
2
=8%+0%=8.00%
Max(10×(5.69% – 5.38%),0%)=3.10%
2
+3.10%=8.00%+3.10%=11.10%
3
= ×R
3
= 100 ×3.10% = 3.10
3
=8.00%+3.10%=11.10%
Max(10×(6.00% – 5.66%),0%)=3.40%
3
+3.40%=11.10%+3.40%=14.50%
4
= ×R
4
= 100 ×3.40%=3.40
4
=11.10%+3.40%=14.50%
Max(10×(5.13% – 5.28%),0%)=0%
4
+0%=14.50%+0%=14.50%
5
= ×R
5
= 100 ×0%= 0
5
=14.50%+0%=14.50%
Max(10×(6.09% – 5.40%),0%)=6.90%
5
+6.90%=14.50%+6.90%=21.40% H=6
6
= ×R
6
=100 ×{(16.00%-
5
)
+ Min(Max(100%×(S
6
/S
O
-1),0%),10%)+Bus
6
}
=100 ×{(16.00%-14.50%)+ Min(Max(100%×(4024.55/1329.77-1),0%),10%)+6%}
=100 ×{1.5%+16%}
=100 ×17.50%=17.50
6
=14.50%+17.50%=32.00%
=100
-22/53
(6-M USD LIBOR-0%)
7
= ×R
7
= 100 ×(6.02%-0%)= 6.02
8
= ×R
8
= 100 ×(6.71%-0%)= 6.71
9
= ×R
9
= 100 ×(1.97%-0%)= 1.97
10
= ×R
10
= 100 ×(1.40%-0%)= 1.40
=100
-23/53
＜
＜＜
＜乙型
乙型乙型
乙型＞
＞＞
＞股票連結型債券
股票連結型債券股票連結型債券
股票連結型債券(Equity Linked Notes)
1. N
2.
ABN Amro Holding NV AABA
Commer Banks Non-US
Alcoa Inc. AA
Metal-Aluminum
Allianz AG-REG ALV
Multi-line Insurance
Amazon.com Inc. AMZN
E-Commerce/Products
American Express Co. AXP
Finance-Credit Card
American International Group AIG
Multi-line Insurance
Amgen Inc. AMGN
Biotech Product Manufacturer
AOL Time Warner AOL
Multimedia
AstraZeneca PLC AZN
Medical-Drugs
AT&T Corp. T
Telephone-Integrated
Aviva PLC AV/
Multi-line Insurance
AXA CS
Multi-line Insurance
Bank of America Corp. BAC
Super-Regional Banks-US
Barclays PLC BARC
Money Center Banks
Bayer AG BAY
Chemicals-Diversified
Bellsouth Corp. BLS
Telephone-Integrated
Boeing Co. BA
Aerospace/Defense
BP PLC BP/
Oil Comp-Integrated
Bristol Myers Squibb Co. BMY
Medical-Drugs
Cable & Wireless PLC CW/
Telecom Services
Cannon Inc. 7751
Office Automation&Equip
Carrefour SA CA
Food-Retail
Cheung Kong Holdings Ltd. 1
Real Estate Oper / Develop
Chevron Texaco Corp. CVX
Oil Comp-Integrated
Cisco Systems Inc. CSCO
Networking Products
Citigroup Inc. C
Diversified Fianan Serv
Coca-Cola Co. KO
Beverages-Non-alcoholic
Compagnie De Saint-Gobain SGO
Bldg&Construct Prod-Misc
Corning Inc. GLW
Telecom Eq Fiber Optics
Credit Suisse Group CSGN
Money Center Banks
DaimlerChrysler AG-REG DCX
Auto-Cars/Light Trucks
Deutsche Bank AG-REG DBK
Money Center Banks
Du Pont (E.I.) de Nemours & Co. DD
Chemicals-Diversified
E. On AG EOA
Electric-Integrated
Eastman Kodak Co. EK
Photo Equipment & Supplies
Electronic Data Systems Corp. EDS
Computer Services
Ericsson Lm-B SHS ERICB
Telecommunication Equip
Exxon Mobil Corp. XOM
Energy
Fannie Mae FNM
Finance-Mtge Loan/Banker
FleetBoston Financial Corp. FBF
Super-Regional Bank
Ford Motor Co. F
Auto-Cars/Light Trucks
Fujitsu Limited 6702
Technology Svcs/product provider
GAP Inc. GPS
Retail-Apparel/Shoe
Genentech Inc. DNA
Medical-Biomedical/Gene
General Electric Co. GE
Diversified Manufact Op
-24/53
General Motors Corp. GM
Auto-Cars/Light Trucks
GlaxoSmithKline PLC GSK
Medical-Drugs
Hewlett-Packard Co. HPQ
Computers
Home Depot Inc. HD
Home accessories Retailer
Honda Motor Co., Ltd. 7267
Auto-Cars/Light Trucks
HSBC Holding PLC HSBA
Money Center Banks
ING Groep NV-CVA INGA
Multi-line Insurance
Intel Corp. INTC
Electronic Compo-Semicon
Intl Business Machines Corp. IBM
Computers
Johnson & Johnson JNJ
Medical Products
JP Morgan Chase & Co. JPM
Finance-Invest Bnkr/Brkr
Kingfisher PLC KGF
Retail-Building Products
Lloyds TSB Group PLC LLOY
Money Center Banks
Louis Vuitton Moet Hennessy MC
Diversified Operations
Merck & Co. Inc. MRK
Medical-Drugs
Microsoft Corp. MSFT
Applications Software
Morgan Stanley MWD
Finance-Invest Bnkr/Brkr
Motorola Inc. MOT
Wireless Equipment
Nestle SA-Registered NESN
Food-Misc/Diversified
Nike Inc. NKE
Athletic Footwear
Nintendo Co., Ltd. 7974
Toys
Nissan Motor Co., Ltd. 7201
Auto-Cars/Light Trucks
Nokia OYJ NOK1V
Telecommunication Equip
Nomura Holdings Inc. 8604
Finance-Invest Bnkr/Brkr
Nortel Networks Corp. NT
Telecommunication Equip
Novartis AG-REG SHS NOVN
Medical-Drugs
NTT DoCoMo Inc. 9437
Cellular Telecom
PepsiCo Inc. PEP
Beverages-non-Alcoholic
Pfizer Inc. PFE
Medical-Drugs
Philip Morris Cos Inc.(Altria Group
Inc.)
MO
Tobacco
Philips Electronics NV PHIA
Electronics Compo-Misc
Procter & Gamble Co. PG
Cosmetics & Toiletries
Prudential PLC PRU
Life/Health Insurance
Qualcomm Inc. QCOM
Wireless Equipment
Reuters Group PLC RTR
Multimedia
Roche Holding AG-Genusss ROG
Medical-Drugs
Royal Bank of Scotland Group PLC RBS
Money Center Banks
Royal Dutch Petroleum RDA
Oil Comp-Integrated
Sainsbury (J) PLC SBRY
Food-Retail
Samsung Electronics Co., Ltd. 005930
Electric Products-Misc
SBC Communications Inc. SBC
Telephone-Integrated
Schering-Plough Corp. SGP
Medical-Drugs
Schlumberger Ltd. SLB
Oil-Field Services
Siemens AG-REG SIE
Diversified Manufact Op
Sony Corp. 6758
Audio/Video Products
Stmicroelectronics NV STM
Electronic Compo-Semicon
Suez SA SZE
Water
Sun Microsystems Inc. SUNW
Computers
Swiss RE-REG RUKN
Reinsurance
Taiwan Semiconductor-SP ADR TSM
Semicon Compo-Intg Circu
Tdc A/S TDC
Telephone-Integrated
Texas Instruments Inc. TXN
Electronic-Compo Semicon
The Dow Chemical Co. DOW
Chemicals-Diversified
-25/53
Toshiba Corp. 6502
Electric Products-Misc
TotalFinaElf SA FP
Oil Comp-Integrated
Toyota Motor Corporation 7203
Auto-Cars/Light Trucks
Tyco International Ltd. TYC
Diversified Manufact Op
UBS AG-Registered UBSN
Money Center Banks
Unilever NV-CVA UNLNF
Food-Misc/Diversified
Verizon Communications Inc. VZ
Telephone-Integrated
Vodafone Group PLC VOD
Cellular Telecom
Volkswagen AG VOW
Auto-Cars/Light Trucks
Wal-Mart Stores Inc. WMT
Retail-Discount
Walt Disney Co. DIS
Multimedia
Xerox Corp. XRX
Office Automation & Equip
Xilinx Inc. XLNX
Electronic Compo Semicon
Yahoo! Inc. YHOO
Web Portals / ISP
Yamanouchi Pharmaceutical 4503
Medical-Drugs
( )
100%
1.
t
=
×
R
t
2. =
1 1 2 2 N N
S -S S - S S -S
t t t
t -1 t -1 t -1
A B S , A B S ,..., A B S
1 2 N
S S S
t -1 t -1 t -1
m in
=
t
t N (t-1)
A% N
-26/53
T
t
2002/1/15 1 2002/1/15 2003/1/14
2 2003/1/15 2004/1/14
N
n
t
t N (t-1)
ABS
n
t
S
n t
n
t -1
S
n (t-1)
swap rate
http://www.chinalife.com.tw
% %
--
1996/3/1 20
100 50% A%=2%
1 1 2 2 N N
S -S S - S S -S
t t t
t -1 t -1 t -1
A B S , A B S ,..., A B S
1 2 N
S S S
t -1 t -1 t -1
m in
=
t
20
AIG
US
AMGN
US
C
US
KO
US
4901
JP
HD
US
MSFT
US
NESN
VX
PFE
US
PHIA
NA
1996/3/1
23.35
15.00
10.61
41.06
2990.00
9.83
5.97
131.50
11.08
8.05
1997/3/3
28.83
15.28
16.98
60.38
4030.00
12.39
12.44
160.10
15.44
10.08
1998/3/2
42.76
13.10
25.59
68.00
5000.00
21.54
20.83
263.60
29.27
18.92
1999/3/1
60.20
32.13
28.56
63.69
4330.00
39.79
37.94
270.80
44.38
16.28
2000/3/1
59.71
65.06
36.11
51.00
4970.00
55.63
45.41
284.90
31.88
51.94
-27/53
2001/3/1
82.15
71.02
45.37
52.70
4110.00
41.50
29.68
362.00
44.10
34.93
2002/3/1
73.73
58.53
42.72
48.41
4320.00
50.29
30.69
368.50
41.64
30.70
RDA
NA
6758
JP
7203
JP
WMT
US
DIS
US
UNA
NA
PFE
US
NOK1V
FH
GSK
LN
HSBA
LN
1996/3/1
25.96
3060.00
2260.00
10.81
22.00
25.31
11.08
1.69
899.00
361.33
1997/3/3
37.19
4350.00
3120.00
13.50
24.46
40.47
15.44
3.12
1044.00
517.33
1998/3/2
51.32
5700.00
3490.00
23.44
36.46
61.61
29.27
5.90
1654.00
628.33
1999/3/1
39.40
4360.00
3030.00
42.94
34.81
66.38
44.38
15.35
1916.00
605.33
2000/3/1
53.84
16300.00
4370.00
49.00
34.69
48.24
31.88
51.30
1604.00
719.50
2001/3/1
63.00
8220.00
3950.00
48.34
30.34
61.60
44.10
24.31
1915.00
904.00
2002/3/1
59.70
6270.00
3450.00
62.81
23.99
67.55
41.64
24.43
1760.00
778.00
AIG
US
AMGN
US
C
US
KO
US
4901
JP
HD
US
MSFT
US
NESN
VX
PFE
US
PHIA
NA
1997/3/3
23.48%
1.88%
60.07%
47.03%
34.78%
25.99%
108.38%
21.75%
39.29%
25.30%
1998/3/2
48.30%
14.26%
50.69%
12.63%
24.07%
73.88%
67.46%
64.65%
89.61%
87.62%
1999/3/1
40.80%
145.20%
11.62%
6.34%
13.40%
84.72%
82.15%
2.73%
51.60%
13.93%
2000/3/1
0.82%
102.53%
26.43%
19.92%
14.78%
39.79%
19.69%
5.21%
28.17%
218.99%
2001/3/1
37.59%
9.15%
25.65%
3.33%
17.30%
25.39%
34.64%
27.06%
38.35%
32.75%
2002/3/1
10.25%
17.58%
5.86%
8.14%
5.11%
21.18%
3.39%
1.80%
5.58%
12.11%
RDA
NA
6758
JP
7203
JP
WMT
US
DIS
US
UNA
NA
PFE
US
NOK1V
FH
GSK
LN
HSBA
LN
1997/3/3
43.27%
42.16%
38.05%
24.86%
11.17%
59.91%
39.29%
84.73%
16.13%
43.17%
1998/3/2
38.01%
31.03%
11.86%
73.61%
49.06%
52.23%
89.61%
88.89%
58.43%
21.46%
1999/3/1
23.23%
23.51%
13.18%
83.20%
4.51%
7.73%
51.60%
160.30%
15.84%
3.66%
2000/3/1
36.65%
273.85%
44.22%
14.12%
0.36%
27.32%
28.17%
234.20%
16.28%
18.86%
2001/3/1
17.01%
49.57%
9.61%
1.35%
12.53%
27.69%
38.35%
52.61%
19.39%
25.64%
2002/3/1
5.24%
23.72%
12.66%
29.93%
20.93%
9.66%
5.58%
0.49%
8.09%
13.94%
t
t
50%×
t
A% R
t
1 1997/3/3 1.88% 0.94% 2.00% 2.00%
2 1998/3/2 11.86% 5.93% 2.00% 5.93%
3 1999/3/1 2.73% 1.37% 2.00% 2.00%
4 2000/3/1 0.36% 0.18% 2.00% 2.00%
5 2001/3/1 1.35% 0.67% 2.00% 2.00%
6 2002/3/1 0.49% 0.25% 2.00% 2.00%
-28/53
20 20
1
1 1 1 1
S - S S - S
28.83 - 23.35
t t - 1 1 0
AIG US = ABS = ABS = ABS = 23.48%
1 1
23.35
S S
t - 1 0
2 2 2 2
S - S S - S
15.28 - 15
t t -1 1 0
AM GN US = ABS = AB S = ABS = 1.88%
2 2
15
S S
t - 1 0
3 3
S - S
t t - 1
C US = ABS
3
S
t - 1
3 3
S - S
16.98 - 10.61
1 0
= ABS = ABS = 60.07%
3
10.61
S
0
4 4 4 4
S - S S - S
60.38 - 41.06
t t - 1 1 0
KO US = ABS = ABS = AB S = 47.03%
4 4
41.06
S S
t - 1 0
20 20
S - S
t t - 1
HSB A LN = ABS = A
20
S
t - 1
ABS A BS A B S
20 20
S - S
517.33 - 361.33
1 0
BS = ABS = 43.17%
20
361.33
S
0
1 1 2 2 20 20
S -S S -S S -S
1 0 1 0 0 0
= min , ,...,
1
1 2 20
S S S
0 0 0
{ }
= min 23.48% , 1.88% , ...,43.17% = 1.88%
6
1 1 1 1
S - S S - S
7 3 . 7 3 - 8 2 .1 5
t t - 1 6 5
A I G U S = A B S = A B S = A B S = 1 0 . 2 5 %
1 1
8 2 .1 5
S S
t - 1 5
2 2 2 2
S - S S - S
5 8 . 5 3 - 7 1 .0 2
t t - 1 6 5
A M G N U S = A B S = A B S = A B S = 1 7 . 5 8 %
2 2
7 1 . 0 2
S S
t - 1 5
3 3
S - S
t t - 1
C U S = A B S
3 3
S - S
4 2 . 7 2 - 4 5 . 3 7
6 5
= A B S = A B S = 5 .8 6 %
3 3
4 5 .3 7
S S
t - 1 5
4 4 4 4
S - S S - S
4 8 .4 1 - 5 2 . 7 0
t t - 1 6 5
K O U S = A B S = A B S = A B S = 8 . 1 4 %
4 4
5 2 . 7 0
S S
t - 1 5
2 0 2 0
S - S
t t - 1
H S B A L N = A B S
2 0
S
t - 1
A B S A B S A B S
2 0 2 0
S - S
7 7 8 - 9 0 4
6 5
= A B S = A B S = 1 3 . 9 4 %
2 0
9 0 4
S
5
1 1 2 2 2 0 2 0
S -S S -S S -S
5 5 5
6 6 6
= m i n , ,. . .,
6
1 2 2 0
S S S
5 5 5
{ }
= m i n 1 0 . 2 5 % ,1 7 . 5 8 % ,.. .,1 3 .9 4 % = 0 .4 9 %
… …
-29/53
50% 2% A%
1 R
1
max 50% × 1.88% , 2% 2%
1
× R
1
100 × 2% 2
2 R
2
max 50% × 11.86% , 2% 5.93%
2
× R
2
100 × 5.93% 5.93
3 R
3
max 50% × 2.73% , 2% 2%
3
× R
3
100 × 2% 2
4 R
4
max 50% × 0.36% , 2% 2%
4
× R
4
100 × 2% 2
5 R
5
max 50% × 1.35% , 2% 2%
5
× R
5
100 × 2% 2
6 R
6
max 50% × 0.49% , 2% 2%
5
× R
6
100 × 2% 2
= = 100
-30/53
＜
＜＜
＜丙型
丙型丙型
丙型＞
＞＞
＞目標收益型指數連結債券
目標收益型指數連結債券目標收益型指數連結債券
目標收益型指數連結債券(Target Redemption Index linked Notes)
1.
2. 1
( )
100%
etargt
o
ok
R
P
PP
≥
−
( k )
100%
=
×
(1+ )
target
s s
t
T
target k +1 T
target
R ,
Act Act
(1+ R ) (1+ I ) ... (1+ I ) -1 k < T
360 360
R
= × × × × ×
, k = T
-31/53
T
t
2002/1/15
1 2002/1/15 2002/2/15 2 2002/2/15
2002/3/15
o
P
t
P
t
s
t
I
s t X
t
Act
t
k
etargt
o
ok
R
P
PP
≥
−
( k )
etargt
R
n,
ta rg et
T , R , s, X
swap rate
http://www.chinalife.com.tw
% %
1995/1/25 (T=12
×
6=72) ( ) 100
1 Mesirow (n=1)
etargt
R
50%
≥
−
o
ok
P
PP
50% ( k
)
= ×(1+ )
s s
t
T
k+1 T
50%
Act Act
(1+ 50%) (1+ I ) ... (1+ I ) -1 k < 72
360 360
50%
= × × × × ×
k = 72
s
t
I
1 USD Libor 2 (
s
t
I
1-Month USD Libor)
CPPI
/t
t
P
o
ot
P
PP −
(a)
(a)
s
t
I
1-Month US Libor
0 1995/1/25
100.00
-32/53
1 1995/2/27
101.10
1.10%
2 1995/3/27
102.49
2.49%
3 1995/4/25
103.50
3.50%
4 1995/5/25
103.65
3.65%
5 1995/6/26
104.07
4.07%
35 1997/12/29
143.71
43.71%
36 1998/1/26
143.98
43.98%
37 1998/2/25
146.17
46.17%
38 1998/3/25
149.59
49.59%
39 1998/4/27
151.65
51.65% Y
40 1998/4/23
5.88%
41 1998/5/21
5.88%
42 1998/6/23
5.81%
43 1998/7/23
5.81%
44 1998/8/21
5.72%
68 2000/8/23
6.98%
69 2000/9/21
6.82%
70 2000/10/23
6.69%
71 2000/11/23
6.66%
72 2000/12/21
6.03%
( ) (a)
(P
1
–P
0
)/P
0
=(101.10–100.00)/100.00=1.10%
1.10%< 50%
(P
2
–P
0
)/P
0
=(102.49–100.00)/100.00=2.49%
2.49%< 50%
(P
3
–P
0
)/P
0
=(103.50–100.00)/100.00=3.50%
3.50%< 50%
(P
4
–P
0
)/P
0
=(103.65-100.00)/100.00=3.65%
3.65%< 50%
.
.
.
.
(P
39
–P
0
)/P
0
= (151.65–100.00)/100.00=51.65%
51.65%> 50% k=39
100% 50%
=
×
(100%+50%)=100
×
150%=150
k=39<72
1-Month USD Libor
=
×
(1+ )
-33/53
1)
360
Act
I1()
360
Act
I1()R1(
T
s
T
t
s
1ketargt
−×+×××+×+=
+
K
1)
360
Act
I1()
360
Act
I1(%)501(
72
s
72
40
s
40
−×+×××+×+= K
1)
360
31
%03.61()
360
30
%88.51(%)501( −×+×××+×+= K
%63.77
=
=
×
(1+77.63%)=100
×
177.63%=177.63
-34/53
＜
＜＜
＜丁型
丁型丁型
丁型＞
＞＞
＞區間累計型債券
區間累計型債券區間累計型債券
區間累計型債券
(Range Accrual Floating Rate Note)
12-Month USD LIBOR 12
( )
100%
1.
t
=
×
R
t
2. =
1
t
2
D % , t = 1
3. R =
(12m L + D % ) RANG E/TOTAL per annum , 2 t T
× ≤ ≤
D
1
% D
2
%
T
t
2002/1/15
1 2002/1/15 2003/1/14 2
2003/1/15 2004/1/14
RANGE
X Y 12-Month USD LIBOR
X Y
RANGE
A
t
B
t
Year 2 A
2
B
2
Year 3 A
3
B
3
Year 4 A
4
B
4
Year 5 A
5
B
5
-35/53
Year 6 A
6
B
6
Year 7 A
7
B
7
Year T A
T
B
T
RANGE / TOTAL
per annum RANGE
12mL
12-Month USD LIBOR Z Z
A
t
B
t
0≥
t
A
,,0≥
t
B
swap rate
http://www.chinalife.com.tw
% %
--
1993/11/4 12-Month USD LIBOR
( ) 100 D
1
%=5.00% D
2
%=2.00%
t
5% , t = 1
R =
(12mL + 2%) RANGE/TOTAL per annum , 2 t T
× ≤ ≤
t
12 mL
2
12-Month LIBOR
12mL
RANGE
RANGE
RANGE
R
t
0 1993/11/4
1 1994/11/4
5.00%
2 1995/11/4
1994/11/2 6.63% 0.00% 7.00% 285 6.73%
3 1996/11/4
1995/11/2 5.75% 0.00% 6.75% 366 7.75%
4 1997/11/4
1996/10/31 5.75% 0.00% 6.50% 365 7.75%
5 1998/11/4
1997/10/31 5.92% 0.00% 6.25% 365 7.92%
6 1999/11/4
1998/11/2 4.84% 0.00% 6.00% 283 5.30%
7 2000/11/4
1999/11/2 6.22% 0.00% 5.75% 0 0.00%
12-Month USD LIBOR
1 R
1
5.00%
1
× R
1
100 × 5.00% 5.00
-36/53
2
×
2
R = (12mL + 2%) RANGE/TOTAL per annum
28
×
= (6.63%+ 2%) 5/365 = 6.73%
2
× R
2
100 × 6.73% 6.73
3
×
3
R = (12mL + 2%) RANGE/TOTAL per annum
×
= (5.75%+ 2%) 366/366 = 7.75%
3
× R
3
100 × 7.75% 7.75
4
×
4
R = (12mL + 2%) RANGE/TOTAL per annum
×
= (5.75%+ 2%) 365/365 = 7.75%
4
× R
4
100 × 7.75% 7.75
5
×
5
R = (12mL + 2%) RANGE/TOTAL per annum
×
= (5.92%+ 2%) 365/365 = 7.92%
5
× R
5
100 × 7.92% 7.92
6
×
6
R = (12mL + 2%) RANGE/TOTAL per annum
×
= (4.84%+ 2%) 283/365 = 5.30%
6
× R
6
100 × 5.30% 5.30
7
×
7
R = (12mL + 2%) RANGE/TOTAL per annum
0
×
= (6.22%+ 2%) /366 = 0%
7
× R
7
100 × 0.00% 0.00
= = 100
-37/53
＜
＜＜
＜戊型
戊型戊型
戊型＞
＞＞
＞保本型債券
保本型債券保本型債券
保本型債券(Principal Protected Notes)
( )
100%
1.
tt
R×=
2. =
×
>
=
−
−×−
×
<
=
kt, %E
kt,%G
Index
IndexIndex best%D
,
Index
IndexIndex
%PR%,CMax%,BMax
kt, %A
R
t
o
ot
o
ot
t
t
T
H
n
T
H
×
=
n
n
t/12n =
n
t
t
n
t
12
12t
n
=
2002/15
2002/1/15 2003/2/15 2003/2/15 2004/3/15
o
Index
-38/53
t
Index
t
best
t
Index
t
t
12
2 , 24 12
×
2=24
t
t
A %, B%, C%, D%
G%, k, PR%, E %
%E
t
%E
t
%E
t
∑
+=
H
1kt
t
%E
100%
swap rate
http://www.chinalife.com.tw
% %
2004/7/22 (T=6) 12
n
t
=12
n=12/12=1 H=6
×
12/12=6 ( ) 100
Mesirow =100%
t
=
×
t
R
=
×
100%
>
=
−
−×−
×
<
=
4t, %3
4t,%5
Index
IndexIndex best%60
,
Index
IndexIndex
%100%,0Max%,0Max
4t, %0
R
o
ot
o
ot
t
(
%0%A%A%A
321
===
B%=0% C%=0% PR%=100% D%=60% G%=5%
%3%E%E
65
==
k=4 4 )
2004/7/22 4 4 2008/7/22
4 48 CPPI
-39/53
(
) 2004/7/22 100
( ) 4 4 2008/7/22 118.25
( ) 2004/7/22 4 4 2008/7/22 ,
138.50
1 t=1 =
×
1
R
=100
×
0%=0
2 t=2 =
×
2
R
=100
×
0%=0
3 t=3 =
×
3
R
=100
×
0%=0
4 t=4
−
−×−
×= %5
100
1005.138%60
,
100
10025.118
%100%,0Max%,0MaxR
4
{
}
%25.13%5%25.18%,0Max =−=
=
×
4
R
=100
×
13.25%=13.25
5 t=5 =
×
5
R
=100
×
3%=3
6 t=6 =
×
6
R
=100
×
3%=3
-40/53
=
×
100% 100
×
100% 100
-41/53
【
【【
【附表四
附表四附表四
附表四】
】】
】全球重要指數
全球重要指數全球重要指數
全球重要指數
1 Dow Jones Industrial Average
1. 30
2. NYSE 15~20%
2 S&P 500 Index ( 500 )
1. 500
2. 1941~1943 10
3 NYSE Composite Index ( )
1.
2. 2002 12 31 ( 5000)
4 DJ Eurostoxx 50 Index ( STOXX50 )
1. 50
2. 1991 12 31 1000
5 FTSE 100 Index ( )
1. 100
2. 1984 1 3 ( 1000)
6 Nasdaq 100 Index ( 100 )
1. NASDAQ
2. 1985 1 31 ( 250 1994 1 125 )
7 Deutsche Aktienindex Index ( DAX )
1. 30 1987 12 31
( 1000)
2. " "(total return)
8 Swiss Market Index ( SMI )
1.
2. 1988 6 30 ( 1500)
9 Nikkei 225 Index 225
1. 225
2.
1949 5 16
10 Hang Seng Index ( )
-42/53
1.
33
2. 70%
3. 1964 1 1 ( 100)
11 KOSPI
1.KOSPI 200
2. 93%
3. 1990 1 1 ( 100)
12 Milan MIB30 Index ( MIB30 )
1.MIB30 30
2. 1992 12 31 ( 10000)
13 CAC 40 Index ( 40 )
1. 40
2. 1987 12 31 ( 1000)
14 DJ Global Titans Index
1. 50
2. 1991/12/31 ( 100)
15 TOPIX Index
1.
1492
2. 1968 1 4 100
16 Nasdaq Composite Index
1. 5400 Nasdaq
2. 1971 2 5 100
17 Russell 2000 Index ( 2000 )
1. 3000 2000 3000 11%
3000 3000
2. 1986 12 31 ( 135)
18 Dow Jones Tiger Titans 50 Index ( 50 )
1. 50
2.
2003 2
-43/53
【
【【
【附表五
附表五附表五
附表五】
】】
】全球重要利率指數
全球重要利率指數全球重要利率指數
全球重要利率指數
(1) London Inter-Bank Offering Rate LIBOR
(British
Bankers Association) 25% 25%
11:00 Telerate Page 3750
(Bloomberg) (Telerate)
(2) Constant Maturity Swap Rate(CMS )
(Constant Maturity Swap, CMS)
(Interest Rate Swap, IRS)
IRS
CMS LIBOR CMS
CMS
CMS (ISDA) (Reuters)
ISDAFIX1
(3) Constant Maturity Treasury Rate (CMT )
(Federal Reserve Board)
(Bloomberg)
-44/53
【
【【
【附表六
附表六附表六
附表六】
】】
】全球平衡型指數
全球平衡型指數全球平衡型指數
全球平衡型指數
( ) Mesirow Balanced Index Series (Mesirow )
1. CPPI(Constant Proportion Portfolio Insurance- )
Mesirow Alternative Strategies Fund ( Fund of Hedge Funds)
Cash Portfolio
2.
1 Mesirow t n
2 t, n
a. ( ) C
( )
( ) ( ) ( ) ( )
2 3
...+ + + +
b. (t, n)
( ) ( ) ( ) ( )
1
...
y n y n y n y n
T t T t
y y y y
− − − −
+ + − + −
+ + +
T
G
t,n
y
t,n
0% 150%
3. Deutsche Bank AG
4. Deutsche Bank AG
1870 2003 6 8,512
5. (Bloomberg)
(Reuters)
6.Mesirow Alternative Strategies Fund
Mesirow Advanced Strategies, Inc (MAS)
1995 1
16 ( 2004/5)
72 Convertible
-45/53
Arbitrage
Merger Arbitrage Multi Strategy Event
Long Equity
Mesirow Advanced Strategies, Inc (MAS) 1989 (Fund of Fund)
( ) Topiary Balanced Index Series (Topiary )
1. CPPI(Constant Proportion Portfolio Insurance- )
Topiary Trust Fund of Hedge Fund ( Fund of Hedge Funds)
Cash Portfolio
2.
1 Topiary t n
2 t, n
a. ( )
b. C
( )
( ) ( ) ( ) ( )
2 3
...+ + + +
c. (t, n)
( ) ( ) ( ) ( )
1
...
y n y n y n y n
T t T t
y y y y
− − − −
+ + − + −
+ + +
T
G
t,n
y
t,n
0% 150%
3. Deutsche Bank AG
4. Deutsche Bank AG
1870 2003 6 8,512
5. (Bloomberg)
(Reuters)
-46/53
6.Topiary Trust Fund of Hedge Fund
DB Absolute Return Strategies(DB ARS)
1997 7
14 ( 2004/5)
50 75
Convertible Arbitrage Merger Arbitrage Multi-Strategy
Fixed Income Arbitrage
DB Absolute Return Strategies(DB ARS) (Deutsche Bank) AA-
DB ARS
( ) FRM Balanced Index Series ( FRM )
1. CPPI(Constant Proportion Portfolio Insurance- )
FRM Diversified II Fund ( Fund of Hedge Funds)
Cash Portfolio
2.
1 FRM t n
2 t, n
a. ( )
b. C
( )
( ) ( ) ( ) ( )
2 3
...+ + + +
c. (t, n)
( ) ( ) ( ) ( )
1
...
y n y n y n y n
T t T t
y y y y
− − − −
+ + − + −
+ + +
T
G
t,n
y
t,n
0% 150%
3. Deutsche Bank AG
-47/53
4.
Deutsche Bank AG
1870 2003 6 8,512
5. (Bloomberg)
(Reuters)
6.FRM Diversified II Fund
Financial Risk Management Limited(FRM)
2004 1
80 ( 2004/5)
35 Tactical
Allocation Merger Arbitrage Statistical Arbitrage
Systematic
Financial Risk Management Limited(FRM) 1991
, 160
2000 ,FRM Morgan Stanley Capital International; MSCI
( ) S&P Balanced Index Series (S&P )
1. CPPI(Constant Proportion Portfolio Insurance- )
S&P Hedge Fund Index Tracker Fund ( Tracker Fund)
Cash Portfolio
2.
1 S&P t n
2 t, n
a. ( ) C
( )
( ) ( ) ( ) ( )
2 3
...+ + + +
b. (t, n)
( ) ( ) ( ) ( )
1
...
y n y n y n y n
T t T t
y y y y
− − − −
+ + − + −
+ + +
T
G
t,n
-48/53
y
t,n
0% 150%
3. PlusFunds Group Inc.
4. PlusFunds Group Inc.
2002 8 S&P Hedge Fund Index 2003 12 9
S&P Hedge Fund Index
5. (Bloomberg)
(Reuters)
6. S&P Hedge Fund Index Tracker Fund
S&P Hedge Fund Index
PlusFunds Group Inc.
7.S&P Hedge Fund Index
Standard & Poor’s
1998 1
30 40 , ,
(Event Driven) (Directional/Tactical)
Standard & Poor’s
, ,
( ) Tremont Reference Portfolio Index Series (Tremont )
1. CPPI(Constant Proportion Portfolio Insurance- )
Tremont Investable Hedge Fund Index Tracker Fund ( Tracker Fund)
Cash Portfolio
2.
1 Tremont t n
2 t, n
a. ( ) C
( )
( ) ( ) ( ) ( )
2 3
...+ + + +
b.
(t, n)
-49/53
( ) ( ) ( ) ( )
1
...
y n y n y n y n
T t T t
y y y y
− − − −
+ + − + −
+ + +
T
G
t,n
y
t,n
0% 200%
3. Tremont Capital Management, Inc
4. Tremont Capital Management, Inc
2004 9 90
5. (Bloomberg)
(Reuters)
6. Tremont Investable Hedge Fund Index Tracker Fund
Tremont Investable Hedge Fund Index
Tremont Capital Management, Inc
7.Tremont Investable Hedge Fund Index
Credit Suisse First Boston Tremont Index LLC
2003 8
60 Convertible
Arbitrage Event Driven Multi-Strategy Fixed
Income Arbitrage
Credit Suisse First Boston Tremont Index LLC( Tremont )
Tremont
( ) Dow Jones Dynamic Portfolio Index Series ( )
1. CPPI (Constant Proportion Portfolio Insurance- )
Dow Jones Hedge Fund Balanced Index Tracker Fund ( Tracker Fund)
Cash Portfolio
2. :
=[NAV(t)- (t)]× ÷100
-50/53
t
(t)
= a+(100-a)/T×(t/365)
t
a
T
10% 175%
3. Lyra Capital LLC
4. Lyra Capital LLC
2000 12 2003 10 Dow Jones Hedge Fund Indexes, Inc.
5. (Bloomberg)
(Reuters)
6. Dow Jones Hedge Fund Balanced Index Tracker Fund
Dow Jones Hedge Fund Balanced Index
Lyra Capital LLC
7.Dow Jones Hedge Fund Balanced Index
Dow Jones Indexes
2001 1
: Convertible Arbitrage Event
Driven Merger Arbitrage Equity Market Neutral
Distressed Securities
Dow Jones Indexes Dow Jones & Company100% 3,000
( ) SG MSCI HII Feeder Index Series ( MSCI )
1. CPPI (Constant Proportion Portfolio Insurance- )
MSCI Hedge Invest Lyxor Tracker Fund ( Tracker Fund)
Cash Portfolio
2. :
=[NAV(t)- (t)]× ÷100
MSCI t
(t)
= a+(100-a)/T×(t/365)
t
a
-51/53
T
10% 150%
3. Lyxor Asset Management Limited
4. Lyxor Asset Management Limited
1998 100% 2002 10 159
55.8
5. (Bloomberg)
(Reuters)
6.MSCI Hedge Invest Lyxor Tracker Fund (Bloomberg : MSHILTA)
MSCI Hedge Invest Index
2003 8 5 (Jersey Channel Island)
(Lyxor Asset Management Limited 100% )
7.MSCI Hedge Invest Index (Bloomberg : MSHILTA)
2003 10 7 74 (
4.5%) 11 (Event Driven) (Arbitrage)
(Merger Arbitrage) (Systematic Trading)
( ) Alera Alternatives Index Series (Alera )
1. CPPI (Constant Proportion Portfolio Insurance- )
Alera-100 Alternatives Portfolio ( Fund of Hedge Funds)
Cash Portfolio
2. :
=[NAV(t)- (t)]× ÷100
Alera t
(t)
= a+(100-a)/T×(t/365)
t
a
T
20% 150%
3. Citigroup Global Markets Limited
4. Citigroup Alternative Investments Ltd.
-52/53
(Citi Group) 40
5. (Bloomberg)
(Reuters)
6.Alera Alternatives Portfolio Legion (Legion ) Managed Futures Portfolio (
)
Legion (Legion ) 1994 3 (Cayman Island)
Citigroup Alternative Investments Ltd. ( )
(Event Driven) (Long/Short Equity)
(Equity Arbitrage) (Fixed Income Arbitrage) 2003 4
119% 9% 6.7%
Managed Futures Portfolio ( ) (technically based &
trend-following)
Citigroup Alternative Investments
Ltd. ( ) 1994 4 2003 4
354.5% 18.1% 17.6%
( ) SG Golden Opportunities Index Series (SG )
1. CPPI (Constant Proportion Portfolio Insurance- )
Lyxor Global Index Tracker Fund ( Tracker Fund)
Cash Portfolio
2. :
=[NAV(t)- (t)]× ÷100
SG t
(t)
= a+(100-a)/T×(t/365)
t
a
T
10% 150%
3. Lyxor Management (BVI) Limited 100%
4.
Lyxor Management (BVI) Limited
1998 100% 2002 10 159
55.8
-53/53
5.
(Bloomberg)
(Reuters)
6.Lyxor Global Index Tracker Fund (Reuters : IE3202676.I)
. Lyxor Global Index
2002 11 1 (Jersey Channel Island)
(Lyxor Management (BVI) Limited 100% )
7.Lyxor Global Index (Bloomberg : LYXORGBL )
2003 5 29 37
25 50 10% 2%
5 (Event Driven) (Long/Short
Equity) (Convertible Arbitrage) (Fixed Income Arbitrage) &CTAs
(Commodity Trading Advisors) (Tactical Trading)
Fund of Hedge
Funds
Tracker Fund
1
Mesirow Balanced Index Series
(Mesirow )
Mesirow Alternative Strategies Fund
2
Topiary Balanced Index Series
(Topiary )
Topiary Trust Fund of Hedge Fund
3
FRM Balanced Index Series
(FRM )
FRM Diversified II Fund
4
S&P Balanced Index Series
(S&P )
S&P Hedge Fund Index Tracker
Fund
5
Tremont Reference Portfolio Index Series
(Tremont )
Tremont Investable Hedge Fund
Index Tracker Fund
6
Dow Jones Dynamic Portfolio Index Series
( )
Dow
Jones Hedge Fund Balanced
Index Tracker Fund
7
SG MSCI HII Feeder Index Series
( MSCI )
MSCI Hedge Invest Lyx
or Tracker
Fund
8
Alera Alternatives Index Series
(Alera )
Alera-100 Alternatives Portfolio
9
SG Golden Opportunities Index Series
(SG )
Lyxor Global Index Tracker Fund
中國人壽高優質獲利投資連結壽險
中國人壽高優質獲利投資連結壽險中國人壽高優質獲利投資連結壽險
中國人壽高優質獲利投資連結壽險
保障保險費
保障保險費保障保險費
保障保險費：
：：
：
10
6 7 8 10 15 20
14
644
259
773
311
899
363
1,143
462
1,708
685
2,279
938
15
729
284
858
336
984
388
1,226
485
1,795
712
2,397
984
16
790
304
919
357
1,04
4
407
1,286
503
1,862
737
2,501
1,031
17
823
319
951
371
1,076
421
1,317
516
1,906
761
2,590
1,078
18
826
327
955
379
1,080
429
1,322
524
1,930
785
2,666
1,126
19
826
327
955
379
1,081
431
1,326
529
1,960
809
2,752
1,175
20
826
327
955
379
1,081
431
1,
330
533
1,998
834
2,853
1,228
21
826
327
955
379
1,082
431
1,337
539
2,048
864
2,969
1,287
22
826
327
956
379
1,086
433
1,350
548
2,110
898
3,103
1,353
23
827
327
960
381
1,093
439
1,371
563
2,188
940
3,258
1,429
24
832
330
968
388
1,108
450
1,401
584
2,282
989
3,436
1,517
25
841
338
983
400
1,130
467
1,444
611
2,394
1,047
3,638
1,617
26
857
351
1,007
419
1,163
491
1,501
646
2,524
1,115
3,868
1,733
27
881
370
1,040
443
1,208
521
1,572
689
2,676
1,192
4,126
1,865
28
914
395
1,085
473
1,266
557
1,659
737
2,848
1,279
4,415
2,014
29
958
423
1,143
508
1,338
598
1,762
792
3,044
1,376
4,735
2,182
30
1,014
456
1,213
547
1,424
644
1,881
852
3,264
1,483
5,087
2,368
31
1,081
491
1,296
590
1,523
693
2,015
916
3,509
1,601
5,475
2,574
32
1,159
529
1,391
635
1,
635
746
2,166
986
3,778
1,732
5,898
2,799
33
1,247
570
1,497
683
1,760
803
2,332
1,062
4,074
1,876
6,358
3,043
34
1,344
613
1,613
735
1,897
863
2,515
1,144
4,395
2,037
6,859
3,306
35
1,449
659
1,740
790
2,046
929
2,714
1,234
4,743
2,215
7,400
3,588
36
1,563
709
1,877
850
2,208
1,001
2,929
1,333
5,118
2,412
7,988
3,892
37
1,687
762
2,025
916
2,384
1,080
3,163
1,444
5,524
2,627
8,624
4,223
38
1,820
822
2,186
989
2,573
1,168
3,415
1,568
5,962
2,862
9,314
4,586
39
1,965
888
2,361
1,071
2,780
1,267
3,688
1,707
6,436
3,115
10,064
4,988
40
2,123
962
2,551
1,163
3,003
1,379
3,984
1,864
6,951
3,388
10,878
5,435
41
2,295
1,047
2,758
1,268
3,246
1,506
4,303
2,039
7,509
3,683
11,763
5,933
42
2,482
1,143
2,981
1,386
3,508
1,649
4,649
2,232
8,117
4,004
12,724
6,
486
43
2,684
1,252
3,223
1,520
3,791
1,808
5,024
2,441
8,778
4,356
13,765
7,096
44
2,902
1,375
3,484
1,669
4,098
1,983
5,431
2,666
9,496
4,747
14,891
7,766
45
3,138
1,511
3,766
1,832
4,430
2,172
5,871
2,905
10,279
5,182
16,108
8,498
46
3,392
1,660
4,07
1
2,007
4,789
2,373
6,351
3,161
11,131
5,665
17,422
9,297
47
3,667
1,818
4,403
2,192
5,180
2,585
6,873
3,437
12,057
6,201
18,838
10,168
48
3,967
1,984
4,764
2,386
5,607
2,808
7,443
3,737
13,064
6,790
20,362
11,116
49
4,294
2,156
5,158
2,588
6,073
3,047
8,067
4,068
14,158
7,435
22,000
12,149
50
4,652
2,335
5,590
2,804
6,584
3,306
8,751
4,435
15,344
8,139
23,758
13,274
51
5,046
2,525
6,065
3,039
7,145
3,593
9,500
4,845
16,630
8,906
25,640
14,500
52
5,478
2,735
6,587
3,302
7,762
3,917
10,319
5,303
18,020
9,744
27,650
15,838
53
5,955
2,974
7,161
3,603
8,438
4,285
11,214
5,816
19,522
10,664
29,790
17,297
54
6,479
3,251
7,792
3,949
9,180
4,704
12,190
6,386
21,140
11,677
32,063
18,889
55
7,056
3,573
8,483
4,346
9,991
5,178
13,251
7,021
22,881
12,793
34,467
20,621
56
7,689
3,944
9,240
4,796
10,876
5,709
14,404
7,722
24,748
14,020
37,001
22,502
57
8,381
4,362
10,066
5,298
11,839
6,297
15,654
8,495
26,746
15,365
39,661
24,535
58
9,136
4,825
10,964
5,849
12,885
6,941
17,005
9,342
28,878
16,833
42,441
26,723
59
9,958
5,329
11,940
6,449
14,019
7,642
18,463
10,266
31,146
18,427
45,331
29,065
60
10,851
5,873
12,998
7,098
15,246
8,402
20,035
11,271
33,550
20,152
48,321
31,562
61
11,819
6,459
14,144
7,799
16,571
9,227
21,724
12,365
36,091
22,015
51,397
34,212
6
2
12,869
7,093
15,384
8,562
18,002
10,125
23,539
13,557
38,767
24,024
54,542
37,014
63
14,006
7,785
16,723
9,394
19,545
11,107
25,483
14,856
41,574
26,186
57,737
39,966
64
15,238
8,545
18,170
10,309
21,207
12,184
27,562
16,275
44,506
28,512
60,962
43,062
65
16,570
9,384
19,732
11,317
22,995
13,367
29,781
17,825
47,556
31,006
64,192
46,292
66
18,011
10,312
21,415
12,428
24,913
14,667
32,143
19,517
50,713
33,674
67,400
49,640
67
19,567
11,335
23,224
13,650
26,967
16,092
34,650
21,359
53,961
36,514
70,559
53,088
68
21,244
12,463
25,166
14,990
29,163
17,651
37,302
23,359
57,283
39,525
73,641
56,608
69
23,048
13,700
27,246
16,458
31,504
19,351
40,098
25,523
60,659
42,698
76,619
60,171
70
24,985
15,056
29,469
18,059
33,991
21,199
43,033
27,857
64,064
46,02
3
79,465
63,743
71
27,060
16,537
31,838
19,803
36,627
23,204
46,102
30,365
67,473
49,485
72
29,279
18,152
34,356
21,696
39,409
25,371
49,296
33,050
70,856
53,065
73
31,644
19,909
37,022
23,748
42,335
27,708
52,601
35,914
74,183
56,741
74
34,158
2
1,817
39,836
25,965
45,401
30,221
56,005
38,956
77,423
60,485
75
36,823
23,885
42,796
28,355
48,597
32,914
59,487
42,172
80,546
64,263
76
39,637
26,120
45,895
30,925
51,914
35,790
63,025
45,555
77
42,599
28,530
49,126
33,676
55,337
38,847
66,595
49,094
78
45,702
31,120
52,478
36,610
58,848
42,083
70,169
52,771
79
48,940
33,894
55,935
39,729
62,427
45,492
73,714
56,567
80
52,301
36,853
59,480
43,027
66,048
49,062
77,200
60,455
81
55,771
39,998
63,092
46,497
69,685
52,777
82
59,333
43,324
66,746
50,127
73,307
56,617
83
62,965
46,823
70,412
53,900
84
66,643
50,483
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