2009 6 24
1.
2.
3.
4
5.. 2010 6 23 2010 6 30
3
4
5
6
1.
7
8
9
10
11
12
580 31
13
021-5234 1668
021-5234 1670
80%-100% 5% 10 10
14
1 Target Duration Management
1
15
2
Macaulay Duration
3
-16
2
,
1
10
2
10
3
17
1
1
2
3
4
5
6
7
8
2
a 10%
b 10%
c 40%
d 0.5% 3% 10%
e 1 5%
f 20%
g 10%
h 10%
i
j 80%
k
18
10
6
2001 12 31 www.chinabond.com.cn
1
2
3
4
1
19
%
1
--
--
2
457,679,537.86 90.95
457,679,537.86 90.95
--
3
--
4
--
--
5
20,317,321.40 4.04
6
25,227,839.58 5.01
7
503,224,698.84 100.00
2010 6 30
1
--
2
127,952,000.0026.46
3
131,026,000.0027.09
131,026,000.00 27.09
4
110,173,705.7022.78
5
60,306,000.00 12.47
6
28,221,832.165.84
7
--
8
457,679,537.8694.64
20
2010 6 30
( )
1 080416 08 16 500,000 50,910,000.00 10.53
2 050413 05 13 500,000 50,035,000.00 10.35
3 0901036 09 36 500,000 49,085,000.00 10.15
4 0901040 09 40 500,000 49,085,000.00 10.15
5 070415 07 15 300,00030,081,000.00 6.22
250,000.00
10,295,170.55
-
10,568,848.28
4,113,820.75
-
-
-
25,227,839.58
( )
(%)
1 110003
2,416,280.10 0.5021
2 110004
1,241.50 0.00
3 110007
2,851,550.00 0.59
4 110008
2,147,002.20 0.44
5 125709
11,903,026.80 2.46
6 125960
1,030.86 0.00
5
6
A
2009/06/24-2009/12/31 1.20% 0.04% -1.58% 0.05% 2.78% -0.01%
2010/01/01-2010/6/30 1.58% 0.05% 2.01% 0.08% -0.43% -0.03%
B
2009/06/24-2009/12/31 0.90% 0.03% -1.58% 0.05% 2.48% -0.02%
2010/01/01-2010/6/30 1.49% 0.04% 2.01% 0.08% -0.52% -0.04%
22
23
24
