|
In order to standardize the warrant investment operation of the Company's funds and protect the legitimate rights and interests of fund share holders, in accordance with the Securities Investment Fund Law, the Measures for the Administration of Securities Investment Fund Operation, the Notice on Issues Related to Securities Investment Fund Investment Warrants in the Share trading Reform and other relevant laws and regulations, as well as the relevant provisions of the CSRC, The Company formulates the following scheme for warrant investment of its funds. This scheme is applicable to the fund products that the Company can invest in warrants according to the requirements of the fund contract.
1、 Investment proportion limit
1. The total amount of warrants purchased by a fund on any trading day shall not exceed 0.5% of the net asset value of the fund on the previous trading day;
2. The market value of all warrants held by a fund shall not exceed 3% of the net asset value of the fund;
3. The same warrant held by all funds managed by the company shall not exceed 10% of the warrant.
China CSRC If there are other provisions, they are not subject to the proportion limit specified in Items 1, 2 and 3 of the preceding paragraph. If the fund investment does not meet the above investment proportion due to factors other than the fund manager, such as fluctuations in the securities market, changes in fund size, and payment of consideration in the split share structure reform, the Company will complete the adjustment within ten trading days.
2、 Investment strategy
The Company's investment in warrants is based on the analysis of the underlying securities and portfolio income risk. Warrants will mainly play the role of locking income and controlling risk in the investment of funds.
The Company priced the warrants based on BS model and binary tree model, and appropriately revised the pricing model and parameters according to market conditions.
The investment strategies used by the Company in portfolio construction and operation mainly include but are not limited to protective bearish strategies, warrants to be covered, double limit strategies, etc.
3、 Information disclosure method
The information disclosure of the Company's fund investment warrants will be carried out in strict accordance with the Law of the People's Republic of China on Securities Investment Funds, the Administrative Measures for Information Disclosure of Securities Investment Funds, the Notice on Issues Related to Securities Investment Fund Investment Warrants in the Share trading Reform, the Fund Contract, this Plan and other relevant provisions. The information disclosure of the Company's fund investment warrants will be announced on at least one media designated by the CSRC.
The Fund Investment Warrants shall disclose the following matters in the regular reports of each fund (including the annual reports, semi annual reports and quarterly reports of the fund) and the updated prospectus:
1. Disclose the total market value of the warrants held by each fund at the end of the period and its proportion in the net asset value of the fund in the quarterly report of the fund and the updated prospectus;
2. Disclose in the Fund's annual report and semi annual report the total market value of the warrants held by each fund at the end of the reporting period and their proportion in the net asset value of the fund, the details of all warrants sorted by the proportion of market value in the net asset value of the fund (including the warrant code, warrant name, quantity, end of the period market value, and the proportion of market value in the net asset value of the fund), and the gains and losses of warrant investment during the reporting period;
3. Other information that should be disclosed in accordance with the provisions of the CSRC for fund investment warrants.
4、 Risk control measures
1. Research control
Study the fundamentals of the underlying securities, including the potential risks and possible future changes of the securities; Through the use of risk indicators, study the risk return of the warrant itself; Study how warrants affect the risk return of funds under different strategies.
2. Decision control
The fund management team needs to put forward a clear strategy for the warrants to be invested and invest within the scope of authorization.
3. Process control
According to the relevant system requirements of the company, the trading and clearing system monitors the investment proportion, market value of positions, liquidity and volatility in the process of warrant investment. The Supervision and Audit Department will monitor the warrant investment.
5、 Risk disclosure
Warrants are a kind of financial derivatives, which have the characteristics of high leverage, high risk and high return, and are risky. The funds under the Manager may invest in warrants, and fund share holders are requested to pay attention to investment risks. The Company can timely revise the warrant investment plan according to changes in laws, regulations and market conditions.
It is hereby announced.
Jutian Fund Management Co., Ltd
August 25, 2005
Sina statement: The content of this article is purely the author's personal view, only for investors' reference, and does not constitute investment advice. Investors operate accordingly at their own risk.
| 
