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In order to standardize the warrant investment operation of the funds managed by the Company and ensure the legitimate rights and interests of fund holders, in accordance with the Law of the People's Republic of China on Securities Investment Funds, the Measures for the Administration of the Operation of Securities Investment Funds, the Notice of the CSRC on Relevant Issues of Securities Investment Fund Investment Warrants in the Share trading Reform and other laws and regulations as well as the provisions of relevant fund contracts, The CITIC Classic Allocation Securities Investment Fund and CITIC Dividend Selection Stock Securities Investment Fund managed by our company will probably use fund assets for warrant investment, and the relevant warrant investment plan is hereby announced as follows:
1、 Investment proportion limit
The Company's use of fund assets for warrant investment will follow the following proportion restrictions:
（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 same fund manager shall not exceed 10% of the warrant.
If the CSRC has other provisions, it shall not be subject to the above proportion restrictions.
Due to fluctuations in the securities market, changes in fund size Non tradable shares If the fund warrant investment does not meet the above investment proportion due to factors other than the fund manager such as payment of consideration during the reform, the Company will complete the adjustment within ten trading days.
2、 Investment strategy
On the premise of effective risk management, the Company will carefully invest in warrants based on active investment and asset and portfolio characteristics through fundamental research on underlying securities of warrants, combined with a variety of option pricing models, and on the basis of determining the reasonable value of warrants.
Main investment strategies include but are not limited to:
1. On the basis of the value and trend judgment of the underlying securities, use the leverage of warrants to make trend investment;
2. Take advantage of the limited loss of warrants and use warrants as a portfolio management tool;
3. Use warrant portfolio technology to build a new return on investment model.
3、 Information disclosure method
The Company will disclose the information related to fund warrant investment in the Fund's quarterly report, semi annual report, annual report and other regular reports in accordance with the Securities Investment Fund Law, the Administrative Measures for the Operation of Securities Investment Funds, the Administrative Measures for Information Disclosure of Securities Investment Funds, the Fund Contract and other relevant provisions.
In the periodic report, when disclosing the asset portfolio, the total market value of the warrant investment at the end of the period and its proportion in the net asset value of the fund shall be shown in a table. The semi annual report and annual report will also disclose the details of all warrants in order of the proportion of the market value at the end of the period to the net fund value.
If the CSRC has other new rules, relevant information shall be disclosed according to the new rules.
4、 Risk control measures
The Company has established and improved risk control measures including legal compliance review, investment authorization, investment decision-making, transaction execution, performance evaluation and other links in accordance with the Securities Investment Fund Law, the Measures for the Operation and Management of Securities Investment Funds, the provisions of the CSRC and the Exchange on warrant investment and the fund contracts of the Company's funds. It mainly includes:
1. The Supervision and Audit Department is responsible for reviewing the compliance of warrant investment, and inspecting and supervising the whole process of warrant investment;
2. The Investment Management Committee shall carry out strict authorization management on warrant investment;
3. The quantitative analysis team of the R&D Department is responsible for dynamically calculating the reasonable value of the warrants, and the industry researchers closely track and evaluate the underlying of the warrants shares On the basis of reference to the above research results, the fund manager, in combination with the investment style and actual portfolio of the Fund, makes prudent decisions within the investment proportion limit;
4. The trading room shall review the warrant investment order, and if any violation or abnormality is found, the execution of the order can be suspended and immediately reported to the company leader.
5. The performance evaluation team of the R&D Department regularly or irregularly monitors, analyzes and evaluates the risks of warrant investment, issues risk evaluation and management reports, and feeds them back to the company's leaders and investment decision makers.
5、 Investment risk disclosure
Warrant is a high-risk, high-yield financial derivative product with leverage effect, which has certain systemic risk, price fluctuation risk, liquidity risk, credit risk, etc., and will also change the risk return characteristics of fund investment to a certain extent. Although the Fund Manager will invest in warrants based on the principle of full prudence and effective risk management, However, it is still necessary to remind the unit holders to pay special attention to the risk of net value fluctuation that may be caused by fund investment warrants.
6、 The Company undertakes not to obtain illegitimate interests through insider information, manipulate the price of warrants or underlying securities, use warrant investment for benefit transmission, or conduct any act that damages the interests of fund share holders in the process of using fund assets for warrant investment.
If the CSRC has other new regulations on the investment warrants of securities investment funds, the Company will make corresponding adjustments to the investment plan according to the new regulations.
It is hereby announced.
CITIC Fund Management Co., Ltd
March 30, 2006
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.
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