2008
2008
2008
2008 8 12
2008
………………………………………………………………………………1
…………………………………………………………..3
……………………………………………………………………………3
……………………………………………………………………………3
………………………………………………………………………………..6
……………………………………………………………6
………………………………………………………..6
……………………………………………………………………….6
…………………………………………………………….7
………………………………………………………………………………..7
………………………………………………………………………………..8
……………………………………………………………………………..9
……………………………………………………………………9
……………………………………………………………..11
……………………………………………………………………………26
…………………………………………………………..26
………………………………………………..26
…………………..27
…………………………………………………..27
………………………………………………..27
………………..28
…………………………………………………..28
……………………………………………………………………..28
……………………………………………………29
………………………………………………………..29
………………………………………………………..29
…………………………..29
……………………………………………………………………30
……………………………………………………………………………31
……………………………………………………………………………33
2008
1
: A 420002
B 420102
2008 4 18
734,035,119.74
A 299,888,460.46
B 434,146,659.28
59 A 16
59 A 16
: 300203
022-83865568
022-83865569
lvch@thfund.com.cn 2008
2
154
168 20
: 200041
021-62677777*212004
021-62159217
zhangzhy@cib.com.cn
www.thfund.com.cn
59 A 16
2008
3
1 A
2008 4 18 6 30
1
1,737,201.51
2
1,470,148.09
3
0.0059
4
1,505,523.40
5
0.0050
6
301,677,545.10
7
1.0060
8
0.59%
9
0.60%
10
0.60%
2 B
2008 4 18 6 30
1
2,830,648.21
2
2,446,056.53
3
0.0068
4
2,528,748.46
5
0.0058
6
437,085,858.60
7
1.0068
8
0.67%
9
0.68%
10
0.68%
1 A
- - 2008
4
2008.4.18-2008.6.30 0.60%
0.04%
0.04% 0.05% 0.56% -0.01%
2 B
- -
2008.4.18-2008.6.30 0.68%
0.04%
0.04% 0.05% 0.64% -0.01%
1 A
2008 4 18 2008 6 30
-0.5%
0.0%
0.5%
1.0%
1.5%
2.0%
2.5%
2008 4 18 2008 4 28 2008 5 8 2008 5 18 2008 5 28 2008 6 7 2008 6 17 2008 6 27 A
2 B
2008 4 18 2008 6 30
-0.5%
0.0%
0.5%
1.0%
1.5%
2.0%
2.5%
2008 4 18 2008 4 28 2008 5 8 2008 5 18 2008 5 28 2008 6 7 2008 6 17 2008 6 27 B 2008
5
1. 2008 4 18
2. 6
2008
6
[2004]164 2004 11 8 1
2008 4 — 8
1970 2008
2
2008
7
4 21 2008 10 50bp . CPI
300 29.39 10.33
CPI
2008
8
2008 4 18
2008 8 12
2008
9
1
2008 6 30
:
1,673,315.67
168,314.25
-
717,854,676.80
8,043,216.08
709,811,460.72
-
1,753,557.12
-
110,000,000.00
3
7,317,260.97
-
53,000.00
-
:
838,820,124.81
-
-
-
98,999,731.50
-
-
434,851.82
124,243.38
101,518.67
4
14,802.00
-
51,574.50
-
5
329,999.24 2008
10
:
100,056,721.11
6
734,035,119.74
4,728,283.96
:
738,763,403.70
:
838,820,124.81
420002
1.0060
420102
1.0068
2
2008 4 18 6 30
7,213,945.22
1.
5,735,118.14
290,015.63
5,374,218.17
--
70,884.34
2.
827,181.98
7 138,693.00
8 12,540.00
--
9 675,948.98
--
3. 10 651,645.10
4.
--
2,646,095.50
1
996,538.98
2
284,725.43
3
234,325.57
4 11 7,931.62
5
1,035,386.16
1,035,386.16
6 12 87,187.74
4,567,849.72
3
1 A
2008 4 18 2008 6 30
2008
11
286,902,133.47 --
286,902,133.47
-- 1,737,201.51 1,737,201.51
12,986,326.99 51,883.13 13,038,210.12
12,986,326.99 51,883.13 13,038,210.12
-- -- 0.00
-- -- 0.00
299,888,460.46 1,789,084.64 301,677,545.10
2 B
2008 4 18 2008 6 30
398,125,174.05 --
398,125,174.05
-- 2,830,648.21 2,830,648.21
36,021,485.23 108,551.11 36,130,036.34
36,021,485.23 108,551.11 36,130,036.34
-- -- 0.00
-- -- 0.00
434,146,659.28 2,939,199.32 437,085,858.60
2008 2 14 [2008]237 2008 3 17 2008 4 16 3840 684,977,572.50 A 420002 286,871,897.24 286,871,897.24 B 420102 398,105,675.26 398,105,675.26 49,735.02 A 30,236.23 30,236.23 B 19,498.792008
12
19,498.79 685,027,307.52
685,027,307.52 2008 4 18
2006 2 15 ( )
2007 5 15 2008
(1)
1 1 12 31 2008 4 18 2008 6 30
(2)
(3)
( )
2008
13
(4)
(i)
1
2
FV=C+(P-C) (Dl-Dr) Dl
FV
C
P
Dl
Dr 2008
14
3
4 1 3
5
(ii)
1
2 ( )
3
4
5 2008
15
6 1 5
7
(iii)
1
2
3 1 2
4
(iv)
2008
16
(5)
(i)
1
/( )
2
( )
3 /( )
3
( ) /( )
(ii)
(iii)
2008
17
(6) /( )
/( )
/( )
/( )
/( )
(7)
0.7%
0.2%
A 0.4%
(8)
(9)
/( )
,
2008
18
/( )
(10)
1 A B
2 , 12 , 1 90% 3
3 A B
4
5
6
7
8
9
[2002]128 [2004]78 [2005]11 ( ) [2005]102 [2005]107 [2008] [2008] 1
1
2 2004 1 1
3 2004 1 12008
19
20% 2005
6 13 50
4
5 2008 4 24 0.3% 2008 4 24 0.1%
( )
1
2008-06-30
5,870,394.02 8,043,216.08 2,172,822.06
711,035,250.80 709,811,460.72 -1,223,790.08
34,383,608.88 33,467,460.72 -916,148.16
676,651,641.92 676,344,000.00 -307,641.92
716,905,644.82 717,854,676.80 949,031.98
2
2008-06-30
2,050,944.00 1,753,557.12 -297,386.88
3
2008 6 30
20,858.05
68.13
7,296,334.79
7,317,260.97
4
2008 6 30
1,778.94
9,979.06
3,044.00
14,802.00
5
2008 6 30 2008
20
250,000.00
79,999.24
329,999.24
6
2008 4 18 6 30 2008 4 18 6 30 A B
286,871,897.24398,105,675.26
30,236.23 19,498.79
2008 4 18
:
12,986,326.99 36,021,485.23
:
-- --
299,888,460.46434,146,659.28
7 /( )
2008 4 18 6 30
343,643.00
204,950.00
138,693.00
8 /( )
2008 4 18 6 30
397,263,134.24
394,987,460.00
2,263,134.24
12,540.00
9
2008 4 18 6 30
1,625,808.73
949,859.75
675,948.98
10 /( )
2008 4 18 6 30
949,031.98
2,172,822.06
-1,223,790.08
-297,386.88
-297,386.88
651,645.10
11
2008 4 18 6 30
2,756.62
5,175.00
7,931.62
12
2008
21
2008 4 18 6 30
59,999.43
19,999.81
7,188.50
87,187.74
1
1
2
3
4
5
2
0.70%
0.70%/
996,538.98
3
0.20%
0.20%/
284,725.43
4
A 0.40%
0.40%/
210,559.26
5
2008 6 30 1,673,315.67 260,783.29
6 2008
22
150,450,000.00 - 207,744.66
40,244,109.59
- - -
40,244,109.59 150,450,000.00
207,744.66
7
2008 6 30
2008 6 30
1 2008 6 30
002238
2008.5.12 2008.08.26
6.98 12.25
39,463 275,451.74 483,421.75
002239
2008.5.14 2008.08.22
9.33 8.98
26,180 244,259.40 235,096.40
002240
2008.5.13 2008.08.23
15.70 12.19
61,118 959,552.60 745,028.42
002242
2008.5.16 2008.08.28
22.54 40.44
47,488 1,070,379.52 1,920,414.72
002243
2008.5.16 2008.08.28
7.78 8.02
22,870 177,928.60 183,417.40
002245
2008.5.26 2008.09.05
16.38 16.02
10,566 173,071.08 169,267.32
002246
2008.5.27 2008.09.05
6.95 8.22
37,754 262,390.30 310,337.88
002247
2008.5.28 2008.09.12
16.05 14.65
13,026 209,067.30 190,830.90
002248
2008.6.3 2008.09.12
9.80 10.97
18,001 176,409.80 197,470.97
002249
2008.6.5
2008.09.19 25.60 24.21
20,042 513,075.20 485,216.82
002251
2008.6.6
2008.09.19 26.08 48.55
21,510 560,980.80 1,044,310.50
002252
2008.6.11
2008.09.23 12.81 24.87
27,141 347,676.21 674,996.67
002253
2008.6.11
2008.09.23 14.75 21.11
11,905 175,598.75 251,314.552008
23
002254
2008.6.16
2008.09.25 18.59 27.41
27,798 516,764.82 761,943.18
002255
2008.6.16
2008.09.25 10.46 19.64
19,865 207,787.90 390,148.60
2008 6 30 98,999,731.50
0801047 08 47 2008.07.02 99.86 100,000.00 9,986,000.00
( )
1
2
,
3
,
4
1
2
3
80% 20% 5% 2008 6 30 2008
24
2008 6 30
-
8,043,216.08 1.0887%
-
709,811,460.72 96.0810%
-
1,753,557.12 0.2374%
719,608,233.92 97.4071%
5
VaR
2008
25
6
1
5% 10%
2
2008 6 30 1 1 5 5
1,673,315.67 - - -1,673,315.67
168,314.25 - - -168,314.25
-----
-687,390,206.5222,421,254.208,043,216.08717,854,676.80
- - -1,753,557.121,753,557.12
- - -110,000,000.00110,000,000.00
- - - 7,317,260.97 7,317,260.97
- - -53,000.0053,000.00
1,841,629.92687,390,206.5222,421,254.20127,167,034.17838,820,124.81
98,999,731.50 - - - 98,999,731.50
-----
- - -434,851.82434,851.82
- - -124,243.38124,243.38
- - -101,518.67101,518.67
- - -14,802.0014,802.00
- --51,574.5051,574.50
- --329,999.24329,999.24
98,999,731.50 - -1,056,989.61100,056,721.11
-97,158,101.58687,390,206.5222,421,254.20126,110,044.56738,763,403.702008
26
% 8,043,216.08 0.96%
8,043,216.08 0.96%
709,811,460.72 84.62%
709,811,460.72 84.62%
--
1,753,557.12 0.21%
--
--
1,841,629.92 0.22%
117,370,260.97 13.99%
838,820,124.81 100.00%
%
A
0.00 0.00%
B
0.00 0.00%
C
6,094,901.96 0.83%
C0
0.00 0.00%
C1
235,096.40 0.03%
C2
745,028.42 0.10%
C3
0.00 0.00%
C4
1,255,698.46 0.17%
C5
0.00 0.00%
C6
0.00 0.00%
C7
2,993,251.11 0.41%
C8
674,996.67 0.09%
C99
190,830.90 0.03%
D
0.00 0.00%
E
0.00 0.00%
F
0.00 0.00%
G
251,314.55 0.03%
H
1,044,310.50 0.14%
I
0.00 0.00%
J
0.00 0.00%
K
169,267.32 0.02%2008
27
L
483,421.75 0.07%
M
0.00 0.00%
8,043,216.08 1.09%
( )
1 002242
47,488 1,920,414.72 0.2599%
2 002251
21,510 1,044,310.50 0.1414%
3 002254
27,798 761,943.18 0.1031%
4 002240
61,118 745,028.42 0.1008%
5 002252
27,141 674,996.67 0.0914%
6 002249
20,042 485,216.82 0.0657%
7 002238
39,463 483,421.75 0.0654%
8 002255
19,865 390,148.60 0.0528%
9 002246
37,754 310,337.88 0.0420%
10 002253
11,905 251,314.55 0.0340%
11 002239
26,180 235,096.40 0.0318%
12 002248
18,001 197,470.97 0.0267%
13 002247
13,026 190,830.90 0.0258%
14 002243
22,870 183,417.40 0.0248%
15 002245
10,566 169,267.32 0.0229%
2%
2%
6,075,344.02 343,643.00
1
--
2
495,525,000.00 67.08%
3
140,607,000.00 19.03%
140,607,000.00 19.03%
4
6,617,606.52 0.89%
5
40,212,000.00 5.44%2008
28
6
26,849,854.20 3.64%
709,811,460.72 96.08%
( ) 1 0801047 08 47 4,000,000 399,440,000.00 54.07%
2 080403 08 03 900,000 90,252,000.00 12.22%
3 070410 07 10 500,000 50,355,000.00 6.82%
4 0801043 08 43 500,000 48,045,000.00 6.50%
5 0801046 08 46 500,000 48,040,000.00 6.50%
1
-
2
110,000,000.00
3
-
4
7,317,260.97
5
53,000.00
6
-
7
-
117,370,260.97
,
( )
1 580022 CWB1 405,423 949,859.75
2 580024 CWB1 1,464,960 2,050,944.00
2008
29
1. A
3,631 82,591.15 2.B
443 980,015.03
1. A
299,888,460.46
71,716,259.93 23.91%
228,172,200.53 76.09%
2. B
434,146,659.28
409,143,322.66 94.24%
25,003,336.62 5.76%
A B A B
369,541.64 49,258.36 0.12% 0.01%
2008
30
A B
286,902,133.47 398,125,174.05
12,986,326.9936,021,485.23
-- --
299,888,460.46434,146,659.28
2008
31
2008 5 30
1 279.20 15.69%
1 1,499.74 84.31%
343,643.00 100% -- --
-- --1,625,808.73 100%
343,643.00 100%1,625,808.73 100%
6,658,861.80 27.22% -- --
17,803,802.70 72.78% 200,000,000.00 100%
24,462,664.50 100% 200,000,000.00 100%
2008 3 17 2008
32
2008 3 18
2008 3 19
2008 3 19
2008 3 25
2008 4 19
2008 4 21
2008 4 28
2008 5 24
2008 5 30
2008
33
59 A 16
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