2016
2016
2016 6 30
2016
2 41
1
1.1
2016 8 26
2016 1 1 6 30 2016
3 41
1.2
1
....................................................................................................................................... 2
1.1
.......................................................................................................................................... 2
2
................................................................................................................................................... 5
2.1 ................................................................................................................................... 5
2.2 ................................................................................................................................... 5
2.3
.............................................................................................................. 5
2.4
.................................................................................................................................. 6
2.5
.................................................................................................................................. 6
3
............................................................................................................... 6
3.1
.............................................................................................................. 6
3.2
.................................................................................................................................. 7
4
............................................................................................................................................... 9
4.1
.......................................................................................................... 9
4.2
................................................................ 11
4.3
............................................................................ 11
4.4
............................................................ 12
4.5
............................................................ 12
4.6
........................................................................ 13
4.7
............................................................................ 13
4.8
.................................... 13
5
............................................................................................................................................. 13
5.1
................................................................................ 13
5.2
............ 13
5.3
............................ 14
6 ........................................................................................................ 14
6.1
.................................................................................................................................... 14
6.2
............................................................................................................................................ 15
6.3
................................................................................................ 16
6.4
........................................................................................................................................ 17
7
......................................................................................................................................... 34
7.1
................................................................................................................ 34
7.2 ......................................................................................... 35
7.3
.................................... 35
7.4 ............................................................................................. 35
7.5
........................................................................................ 35
7.6 ................................. 35
7.7
.................... 36
7.8
.................... 36
7.9
................................ 36
7.10
...................................................................... 36
7.11 ....................................................................... 36
7.12
...................................................................................................................... 36
8
............................................................................................................................. 37
8.1
.................................................................................... 37 2016
4 41
8.2
........................................................................ 37
8.3 ..................................... 37
9 ................................................................................................................................ 38
10
....................................................................................................................................... 38
10.1
.......................................................................................................... 38
10.2
.......................................... 38
10.3
.............................................................. 38
10.4
.................................................................................................................. 38
10.5
.............................................................................................. 38
10.6 ....................................................... 39
10.7
.................................................................................. 39
10.8 ............................................................................................................................... 40
11
......................................................................................................... 40
12
....................................................................................................................................... 40
12.1
.............................................................................................................................. 40
12.2
...................................................................................................................................... 40
12.3
...................................................................................................................................... 41 2016
5 41
2
2.1
370025
370025
2013 2 4
420,601,654.45
A C
370025 370026
410,182,756.01 10,418,898.44
2.2
2.3
2016
6 41
021-38794888 010-67595096
services@cifm.com tianqing1.zh@ccb.com
400-889-4888 010-67595096
021-20628400 010-66275853
99 20
25
99 20
1
1
200120 100033
2.4
http://www.cifm.com
2.5
99
20
3
3.1
3.1.1
2016 1 1 2016 6 30
A
C
3,794,888.93 115,888.97
1,994,022.46 50,358.91
0.0063 0.0042
0.63% 0.42%
0.60% 0.40%
3.1.2
(2016 6 30 )
A C
2,193,492.15 41,864.54
0.0053 0.0040 2016
7 41
412,376,248.16 10,460,762.98
1.005 1.004
3.1.3
(2016 6 30 )
A
C
9.93% 8.39%
1.
2.
3.2
3.2.1
A
0.40% 0.04% 0.63% 0.04% -0.23% 0.00%
0.10% 0.06% 0.41% 0.05% -0.31% 0.01%
0.60% 0.05% 1.58% 0.05% -0.98% 0.00%
-1.78% 0.23% 5.83% 0.06% -7.61% 0.17%
11.15% 0.34% 16.93% 0.10% -5.78% 0.24%
9.93% 0.32% 19.01% 0.10% -9.08% 0.22%
C
0.40% 0.04% 0.63% 0.04% -0.23% 0.00%
0.00% 0.05% 0.41% 0.05% -0.41% 0.00%
0.40% 0.05% 1.58% 0.05% -1.18% 0.00%
-2.08% 0.23% 5.83% 0.06% -7.91% 0.17%
9.70% 0.33% 16.93% 0.10% -7.23% 0.23%
8.39% 0.32% 19.01% 0.10% -10.62% 0.22%
2015 10 10 “ ” “
” 2016
8 41
3.2.2
2013 2 4 2016 6 30
A
2013 2 4 2013 8 3
2013 2 4 2013 2 4 2016
6 30
2015 10 10 “ ” “
”
C 2016
9 41
2013 2 4 2013 8 3
2013 2 4 2013 2 4 2016
6 30
2015 10 10 “ ” “
”
4
4.1
4.1.1
2004 5 12
2007 10 8
2.5 2016 62016
10 41
30
180
4.1.2
2015-12-11 - 8
2008 2
2010 4
JPMorgan(EMEA) 2011
3
2015 5
2015 12
2016 5
2016 62016
11 41
1.
2.
4.2
4.3
4.3.1
4.3.2
2016
12 41
5%
4.4
4.4.1
4.4.2
A 0.60%, C 0.40%
1.58%
4.5
2016
13 41
4.6
4.7
2015 12 31 2016 1 14
A 10 0.070 C 10
0.050 881,200.71 2016 3 31 2016
4 14 A 10 0.060 C 10
0.050 2,527,583.69
4.8
5
5.1
5.2
3,408,784.40 A2016
14 41
3,273,129.03 C 135,655.37
5.3
6
6.1
2016 6 30
2016 6 30
2015 12 31
- -
6.4.7.1 4,057,296.34 35,317,159.51
4,291,639.38 806,821.56
16,174.33 6,413.89
6.4.7.2 546,374,364.72 126,458,080.56
- -
- -
546,374,364.72 126,458,080.56
- -
- -
6.4.7.3 - -
6.4.7.4 - -
4,996,679.50 1,000,000.00
6.4.7.5 9,826,250.80 2,117,048.73
- -
2,759.01 301.39
- -
6.4.7.6 - -
569,565,164.08 165,705,825.64
2016 6 30
2015 12 31
- -
- -
- -
6.4.7.3 - - 2016
15 41
140,000,000.00 35,999,747.50
6,158,536.44 -
129,203.70 63,505.52
242,620.73 76,980.36
69,320.20 21,994.40
3,516.58 4,593.85
6.4.7.7 55,770.89 12,632.78
- -
19,192.65 2,721.00
- -
- -
6.4.7.8 49,991.75 210,402.69
146,728,152.94 36,392,578.10
- -
6.4.7.9 420,601,654.45 127,792,659.22
6.4.7.10 2,235,356.69 1,520,588.32
422,837,011.14 129,313,247.54
569,565,164.08 165,705,825.64
2016 6 30 420,601,654.45 A 410,182,756.01
C 10,418,898.44 A 1.005 C 1.004
6.2
2016 1 1 2016 6 30
2016 1 1
2016 6 30
2015 1 1
2015 6 30
4,251,900.73 4,266,157.62
1.
6,600,631.00 2,282,957.06
6.4.7.11 101,833.94 21,492.02
6,484,074.54 2,224,763.40
- -
14,722.52 36,701.64
- -
2. “- ”
-511,099.11 11,478,404.04
6.4.7.12 - 2,793,770.85
- -
6.4.7.13 -511,099.11 8,677,504.11
- -
- - 2016
16 41
6.4.7.14 - -
6.4.7.15 - 7,129.08
3. “- ”
6.4.7.16 -1,866,396.53 -9,503,346.00
4. “ ”
- -
5. “- ” 6.4.7.17 28,765.37 8,142.52
2,207,519.36 1,040,786.69
1
1,123,168.02 302,234.58
2
320,905.14 86,352.66
3
24,055.83 66,906.87
4 6.4.7.18 103,232.60 101,711.06
5
553,565.55 355,927.76
553,565.55 355,927.76
6 6.4.7.19 82,592.22 127,653.76
“- ”
2,044,381.37 3,225,370.93
- -
“- ”
2,044,381.37 3,225,370.93
6.3
2016 1 1 2016 6 30
2016 1 1 2016 6 30
127,792,659.22 1,520,588.32 129,313,247.54
- 2,044,381.37 2,044,381.37
“- ”
292,808,995.23 2,079,171.40 294,888,166.63
1. 405,614,195.29 2,337,551.27 407,951,746.56
2. -112,805,200.06 -258,379.87 -113,063,579.93
“- ”
- -3,408,784.40 -3,408,784.40
420,601,654.45 2,235,356.69 422,837,011.14 2016
17 41
2015 1 1 2015 6 30
150,032,678.06 9,024,500.46 159,057,178.52
- 3,225,370.93 3,225,370.93
“- ”
-116,240,325.13 -7,965,128.98 -124,205,454.11
1. 7,891,317.01 676,488.84 8,567,805.85
2. -124,131,642.14 -8,641,617.82 -132,773,259.96
“- ”
- -1,511,933.36 -1,511,933.36
33,792,352.93 2,772,809.05 36,565,161.98
6.1 6.4
6.4
6.4.1
( “ ”) (
“ ”) [2012]1465
2012 12 26 2013 1 24
5,570,155,991.22 (2013) 005
2013
2 4 5,571,208,398.03
1,052,406.81
2016
18 41
A
C A C A
C
(
)
( )
80%
20%
5% 2015 10 10 “ ” “
”
2016 08 26
6.4.2
2006 2 15
( “ ”)
XBRL 3 < > ( “
”)
6.4.4
6.4.3
2016
19 41
2016 2016
6 30 2016
6.4.4
6.4.5
6.4.5.1
6.4.5.2
6.4.5.3
6.4.6
[2002]128
[2004]78 [2008]1
[2012]85
[2015]101
[2016]36 [2016]46
[2016]70
(1)
2016 5 1
2016 5 1
(2)
(3)
20% 1 ( 1 )2016
20 41
1 1 ( 1 ) 50%
1 2015 9 8 25%
2015 9 8
50% 20%
(4)
0.1%
6.4.7
6.4.7.1
2016 6 30
4,057,296.34
-
-
4,057,296.34
6.4.7.2
2016 6 30
- - -
-
- - -
329,252,276.60 328,255,464.72 -996,811.88
218,275,616.87 218,118,900.00 -156,716.87
547,527,893.47 546,374,364.72 -1,153,528.75
- - -
- - -
- - -
547,527,893.47 546,374,364.72 -1,153,528.75
6.4.7.3 /
2016
21 41
6.4.7.4
6.4.7.5
2016 6 30
1,793.34
-
-
1,931.30
9,810,518.79
-
12,000.07
-
7.30
9,826,250.80
6.4.7.6
6.4.7.7
2016 6 30
52,354.14
3,416.75
55,770.89
6.4.7.8
2016 6 30
-
265.71
49,726.04
49,991.75
6.4.7.9
2016
22 41
A
2016 1 1 2016 6 30
114,744,274.56 114,744,274.56
400,313,257.29 400,313,257.29
“- ” -104,874,775.84 -104,874,775.84
410,182,756.01 410,182,756.01
C
2016 1 1 2016 6 30
13,048,384.66 13,048,384.66
5,300,938.00 5,300,938.00
“- ” -7,930,424.22 -7,930,424.22
10,418,898.44 10,418,898.44
6.4.7.10
A
7,371,847.95 -5,977,810.78 1,394,037.17
3,794,888.93 -1,800,866.47 1,994,022.46
17,751,691.17 -15,673,129.62 2,078,561.55
23,812,518.83 -21,518,244.54 2,294,274.29
-6,060,827.66 5,845,114.92 -215,712.74
-3,273,129.03 - -3,273,129.03
25,645,299.02 -23,451,806.87 2,193,492.15
C
2016
23 41
799,758.65 -673,207.50 126,551.15
115,888.97 -65,530.06 50,358.91
-147,658.88 148,268.73 609.85
310,917.34 -267,640.36 43,276.98
-458,576.22 415,909.09 -42,667.13
-135,655.37 - -135,655.37
632,333.37 -590,468.83 41,864.54
6.4.7.11
2016 1 1 2016 6 30
73,110.25
0.00
-
16,599.55
12,124.14
101,833.94
6.4.7.12
6.4.7.13
2016 1 1 2016 6 30
306,892,917.93
302,375,958.28
5,028,058.76
-511,099.11
6.4.7.14
6.4.7.15
2016
24 41
6.4.7.16
2016 1 1 2016 6 30
1. -1,866,396.53
—— -
—— -1,866,396.53
—— -
—— -
—— -
—— -
2. -
—— -
3. -
-1,866,396.53
6.4.7.17
2016 1 1 2016 6 30
24,953.15
1,989.55
1,822.67
28,765.37
1.
25%
2.
25%
6.4.7.18
2016 1 1 2016 6 30
96,165.10
7,067.50
103,232.60
6.4.7.19
2016 1 1 2016 6 30 2016
25 41
29,835.26
19,890.78
14,666.18
18,000.00
200.00
82,592.22
6.4.8
6.4.8.1
6.4.8.2
2016 7 12 2016 2 2016 7 14
A 10
0.04 C 10 0.03
6.4.9
6.4.9.1
2016 3 15 “ ”
6.4.9.2
(" ")
6.4.10
6.4.10.1
6.4.10.2
2016
26 41
6.4.10.2.1
2016 1 1 2016 6
30
2015 1 1 2015 6
30
1,123,168.02 302,234.58
41,503.68 105,574.63
0.7%
X 0.7% /
6.4.10.2.2
2016 1 1 2016 6
30
2015 1 1 2015 6
30
320,905.14 86,352.66
0.2%
X 0.2% /
6.4.10.2.3
2016 1 1 2016 6 30
A
C
-
9.08
9.08
-
23,202.67
23,202.67
-
23,211.75
23,211.75
2015 1 1 2015 6 30
A
C
- 55.78 55.78 2016
27 41
- 65,845.04 65,845.04
- 65,900.82 65,900.82
1.
C
2. C 0.4%
C X 0.4%/
6.4.10.3 ( )
6.4.10.4
6.4.10.4.1
6.4.10.4.2
6.4.10.5
2016 1 1 2016 6 30
2015 1 1 2015 6 30
4,057,296.34 73,110.25 250,685.21 11,856.84
6.4.10.6
6.4.10.7
6.4.11
2016
28 41
2016/1/14 2016/1/14 0.070
797,389.91
5,808.92 803,198.83
2016/4/14 2016/4/14 0.060
2,465,035.70
4,894.50 2,469,930.20
0.130 3,262,425.61 10,703.42 3,273,129.03
2016/1/14 2016/1/14 0.050
73,981.51
4,020.37 78,001.88
2016/4/14 2016/4/14 0.050
53,609.66
4,043.83 57,653.49
0.100 127,591.17 8,064.20 135,655.37
6.4.12 2016 6 30
6.4.12.1 /
6.4.12.2
6.4.12.3
6.4.12.3.1
6.4.12.3.2
2016 6 30
140,000,000.00 2016 7 1
6.4.13
2016
29 41
6.4.13.1
6.4.13.2
2016
30 41
6.4.13.2.1
2016 6 30
2015 12 31
A-1 10,052,000.00
30,101,000.00
A-1 - -
133,499,900.00
30,092,000.00
143,551,900.00
60,193,000.00
AAA AA+ AA
6.4.13.2.2
2016 6 30
2015 12 31
AAA 102,066,788.40
5,906,796.60
AAA 300,755,676.32
42,640,595.86
- 17,717,688.10
402,822,464.72
66,265,080.56
6.4.13.3
2016
31 41
10%
10%
6.4.12
6.4.13.4
6.4.13.4.1
6.4.13.4.1.1
2016
32 41
2016
33 41
6.4.13.4.1.2
2016 6 30
2015 12 31
1. 25 298 65
2. 25 294 64
6.4.13.4.2
6.4.13.4.3
“ ”
2016
34 41
80% 20%
5%
VaR(Value at Risk)
2016 6 30
6.4.14
7
7.1
%
1
- -
- -
2
546,374,364.72 95.93
546,374,364.72 95.93
- -
3
- -
4
- -
5
- -
- -
6
8,348,935.72 1.47
7
14,841,863.64 2.61
8
569,565,164.08 100.00
2016
35 41
7.2
7.3
7.4
7.5
( )
1
23,490,900.00 5.56
2
- -
3
- -
- -
4
304,764,564.72 72.08
5
120,061,000.00 28.39
6
98,057,900.00 23.19
7
- -
8
- -
9
- -
10
546,374,364.72 129.22
7.6
( )
( )
1 112330 16 01 110,000 11,187,000.00 2.65
2 136290 16 01 110,000 11,063,800.00 2.62 2016
36 41
3 122383 15 01 100,000 10,426,000.00 2.47
4 1282537 12 MTN2 100,000 10,316,000.00 2.44
5 1382214 13 MTN2 100,000 10,288,000.00 2.43
7.7
7.8
7.9
7.10
7.11
7.12
7.12.1
7.12.2
7.12.3
1
16,174.33
2
4,996,679.50
3
-
4
9,826,250.80
5
2,759.01
6
-
7
- 2016
37 41
8
-
9
14,841,863.64
7.12.4
7.12.5
7.12.6
8
8.1
( )
A
310 1,323,170.18 397,417,050.92 96.89% 12,765,705.09 3.11%
C
282 36,946.45 5,960.00 0.06% 10,412,938.44 99.94%
592 710,475.77 397,423,010.92 94.49% 23,178,643.53 5.51%
8.2
A 0.00 0.0000%
C 0.00 0.0000%
0.00 0.0000%
8.3
2016
38 41
A 0
C 0
0
A 0
C 0
0
9
A C
2013 2 4
866,006,070.86 4,705,202,327.17
114,744,274.56 13,048,384.66
400,313,257.29 5,300,938.00
104,874,775.84 7,930,424.22
- -
410,182,756.01 10,418,898.44
10
10.1
10.2
2016 2 3 2016 2 2
10.3
10.4
10.5
2016
39 41
10.6
10.7
10.7.1
1 - - 74,820.86 79.81% -
1 - - 18,925.13 20.19% -
1.
2.
1 ,
2 ,
3 ,
4 , ,
5 , ,
3.
1
2
4. 2016
10.7.2
2016
40 41
370,326,650.62 78.27% 3,150,000,000.00 87.13% - -
102,820,322.12 21.73% 465,250,000.00 12.87% - -
10.8
1.
2016 1 9
2.
2016 1 12
3.
2016 2 3
4.
2016 4 12
11
12
12.1
1
2
3
4
5
6
12.2
2016
41 41
12.3
www.cifm.com
