ChinaBond-- ChinaBond Valuation

ChinaBond Valuation

Date	Bond Name	Bond Code	Market	Maturity(Yrs)	Full Price(Mid-Day) (Yuan)	Accrued Interest (Mid-Day) (Yuan)	Net Price (Yuan)	YTM (%)	ChinaBond Market Implied Rating
2020-11-23	18云投PPN001	031800388	China Inter-Bank Market	0.5945	100.0016	1.1556	98.8460	4.7909	AA
2020-11-23	20湘高速CP001	042000112	China Inter-Bank Market	0.3178	101.4091	1.7737	99.6354	3.6951	AA＋
2020-11-23	08国投债	088036	China Inter-Bank Market	2.7918	105.0679	1.1223	103.9456	3.8655	AAA
2020-11-23	19乌江能源MTN001	101901412	China Inter-Bank Market	3.9151	101.0759	0.4399	100.6359	4.9944	AA
2020-11-23	20长城华西银行CD045	112088574	China Inter-Bank Market	0.8384	96.7429	0.5798	96.1631	3.9352	AA-
2020-11-23	14渝九龙债	1480461	China Inter-Bank Market	0.7370	20.6141	0.3472	20.2669	4.6465	AA(2)
2020-11-23	16河南债11	1605243	Shanghai Stock Exchange	2.5178	101.7538	1.5719	100.1818	3.1784	AAA
2020-11-23	20靖建01	166888	Shanghai Stock Exchange	4.5014	102.6634	3.2411	99.4223	7.6714	AA-
2020-11-23	20附息国债12	200012	China Inter-Bank Market	29.8079	99.1535	0.7367	98.4168	3.9000
2020-11-23	20进出661	2003661	China Inter-Bank Market	0.0219	99.9611	0.7411	99.2200	1.7749

Date	Bond Name	Bond Code	Bond Property	Market	Maturity(Yrs)	Full Price(Mid-Day) (Yuan)	Accrued Interest (Mid-Day) (Yuan)	Net Price (Yuan)	YTM (%)	Modified Duration	Convexity	BPV	Weighted Average Full Price of Settlement(Yuan)	Weighted Average Net Price of Settlement(Yuan)	YTM on Weighted Average Full Price of Settlement (%)	Modified Duration on Weighted Average Full Price of Settlement	BPV on Weighted Average Full Price of Settlement	Recommendation	Rate Convexity on Weighted Average Full Price of Settlement	Full Price (End Day)(Yuan)	Accrued Interest (End Day) (Yuan)	Residual Principal(Yuan)	Absolute Liquidity Index	Position Percentile	Relative Liquidity Index	Relative Liquidity Reference Value	ChinaBond Market Implied Rating	ISIN
2020-11-23	18云投PPN001	031800388	PPNs	China Inter-Bank Market	0.5945	100.0016	1.1556	98.8460	4.7909	0.58	0.67	0.0058						recommend		100.0095	1.1634	100.0000	0.00	11.44	0.00	0.10	AA	CND1000180T1
2020-11-23	20湘高速CP001	042000112	Commercial Papers	China Inter-Bank Market	0.3178	101.4091	1.7737	99.6354	3.6951	0.31	0.20	0.0032						recommend		101.4162	1.7808	100.0000	0.00	11.44	0.00	0.10	AA＋
2020-11-23	08国投债	088036	Central Government Owned Enterprise Bonds	China Inter-Bank Market	2.7918	105.0679	1.1223	103.9456	3.8655	2.55	9.14	0.0267						recommend		105.0826	1.1371	100.0000	0.00	11.44	0.00	0.10	AAA	CND1000011Z5
2020-11-23	19乌江能源MTN001	101901412	Medium-Term Notes	China Inter-Bank Market	3.9151	101.0759	0.4399	100.6359	4.9944	3.46	15.78	0.0349						recommend		101.0901	0.4541	100.0000	0.00	11.44	0.00	0.10	AA	CND10002K436
2020-11-23	20长城华西银行CD045	112088574	Negotiable Certificates of Deposit	China Inter-Bank Market	0.8384	96.7429	0.5798	96.1631	3.9352	0.83	1.37	0.0080						recommend		96.7527	0.5896	96.4132	0.00	11.44	0.00	0.10	AA-
2020-11-23	14渝九龙债	1480461	Local Government Owned Enterprise Bonds	China Inter-Bank Market	0.7370	20.6141	0.3472	20.2669	4.6465	0.71	1.02	0.0015						recommend		20.6177	0.3508	20.0000	0.03	10.68	2.35	1.00	AA(2)	CND100007VS0
2020-11-23	16河南债11	1605243	Local Government Bonds	Shanghai Stock Exchange	2.5178	101.7538	1.5719	100.1818	3.1784	2.35	7.94	0.0239						recommend		101.7627	1.5809	100.0000	0.00	4.79	0.00	0.10	AAA	CND10000B4D1
2020-11-23	20靖建01	166888	Corporate Bonds	Shanghai Stock Exchange	4.5014	102.6634	3.2411	99.4223	7.6714	2.17	7.00	0.0223						recommend		102.6812	3.2589	100.0000	0.00	4.79	0.00	0.10	AA-	CND10003FJG0
2020-11-23	20附息国债12	200012	Book-Entry Treasury Bonds	China Inter-Bank Market	29.8079	99.1535	0.7367	98.4168	3.9000	17.49	425.11	0.1734	98.5353	97.7985	3.9359	17.45	0.1719	recommend	423.61	99.1640	0.7473	100.0000	1.00	0.00	651.62	1.00		CND10003N750
2020-11-23	20进出661	2003661	Policy Bank Bonds	China Inter-Bank Market	0.0219	99.9611	0.7411	99.2200	1.7749	0.02	0.00	0.0002	99.9584	99.2173	1.8979	0.02	0.0002	recommend	0.00	99.9653	0.7454	99.2250	0.64	6.24	43.86	1.00		CND100038C38

Chinabond CCRE Credit Assets Valuation

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Date	Code	Short Name	Maturity(Yrs)	Full Price(Yuan)	Net Price(Yuan)	Accrued Interest(Yuan)	Yield to Maturity(%)	Residue Principal(Yuan)	Recommendation	Remarks
2020-11-23	01800651	18南京银行鑫众2号优先A3	0.8658	12.3832	12.3451	0.0381	4.2271	12.2500	Recommend	Based on the data of underlying assets
2020-11-23	01800651	18南京银行鑫众2号优先A3	3.9534	12.3832	12.3451	0.0381	4.2271	12.2500		Based on the data of underlying assets
2020-11-23	02000056	辽宁振兴银行2019年第一期优先B	1.2301	101.2646	101.1374	0.1271	4.4369	100.0000	Recommend	Based on the data of underlying assets
2020-11-23	02000056	辽宁振兴银行2019年第一期优先B	3.9014	101.2646	101.1374	0.1271	4.4369	100.0000		Based on the data of underlying assets
2020-11-23	02000164	湘信-泰隆小微13号优先C	0.4219	96.5840	96.0597	0.5244	13.6986	100.0000	Recommend	Based on the data of underlying assets
2020-11-23	02000164	湘信-泰隆小微13号优先C	2.6164	96.5840	96.0597	0.5244	13.6986	100.0000		Based on the data of underlying assets
2020-11-23	01900244	中铁金租2019年第一期优先A2	0.0630	100.1806	100.0886	0.0921	3.4426	100.0000	Recommend	Based on the data of underlying assets
2020-11-23	01900244	中铁金租2019年第一期优先A2	1.4986	100.1806	100.0886	0.0921	3.4426	100.0000		Based on the data of underlying assets
2020-11-23	02000162	湘信-泰隆小微13号优先A	0.4219	99.6923	99.2950	0.3973	4.2601	100.0000	Recommend	Based on the data of underlying assets
2020-11-23	02000162	湘信-泰隆小微13号优先A	2.6164	99.6923	99.2950	0.3973	4.2601	100.0000		Based on the data of underlying assets

Date	Code	Short Name	Originator	Coupon Rate(%)	Asset Credit Rating	Maturity(Yrs)	Maturity Type	Full Price(Yuan)	Net Price(Yuan)	Accrued Interest(Yuan)	Yield to Maturity(%)	Residue Principal(Yuan)	Recommendation	Remarks
2020-11-23	01800651	18南京银行鑫众2号优先A3	南京银行股份有限公司	6.3000	AAA	0.8658	Based on Expected Maturity Date	12.3832	12.3451	0.0381	4.2271	12.2500	Recommend	Based on the data of underlying assets
2020-11-23	01800651	18南京银行鑫众2号优先A3	南京银行股份有限公司	6.3000	AAA	3.9534	Based on Final Maturity Date	12.3832	12.3451	0.0381	4.2271	12.2500		Based on the data of underlying assets
2020-11-23	02000056	辽宁振兴银行2019年第一期优先B	辽宁振兴银行股份有限公司	5.8000	AA+	1.2301	Based on Expected Maturity Date	101.2646	101.1374	0.1271	4.4369	100.0000	Recommend	Based on the data of underlying assets
2020-11-23	02000056	辽宁振兴银行2019年第一期优先B	辽宁振兴银行股份有限公司	5.8000	AA+	3.9014	Based on Final Maturity Date	101.2646	101.1374	0.1271	4.4369	100.0000		Based on the data of underlying assets
2020-11-23	02000164	湘信-泰隆小微13号优先C	浙江泰隆商业银行股份有限公司	3.3000	BBB	0.4219	Based on Expected Maturity Date	96.5840	96.0597	0.5244	13.6986	100.0000	Recommend	Based on the data of underlying assets
2020-11-23	02000164	湘信-泰隆小微13号优先C	浙江泰隆商业银行股份有限公司	3.3000	BBB	2.6164	Based on Final Maturity Date	96.5840	96.0597	0.5244	13.6986	100.0000		Based on the data of underlying assets
2020-11-23	01900244	中铁金租2019年第一期优先A2	中铁建金融租赁有限公司	4.8000	AAA	0.0630	Based on Expected Maturity Date	100.1806	100.0886	0.0921	3.4426	100.0000	Recommend	Based on the data of underlying assets
2020-11-23	01900244	中铁金租2019年第一期优先A2	中铁建金融租赁有限公司	4.8000	AAA	1.4986	Based on Final Maturity Date	100.1806	100.0886	0.0921	3.4426	100.0000		Based on the data of underlying assets
2020-11-23	02000162	湘信-泰隆小微13号优先A	浙江泰隆商业银行股份有限公司	2.5000	AAA	0.4219	Based on Expected Maturity Date	99.6923	99.2950	0.3973	4.2601	100.0000	Recommend	Based on the data of underlying assets
2020-11-23	02000162	湘信-泰隆小微13号优先A	浙江泰隆商业银行股份有限公司	2.5000	AAA	2.6164	Based on Final Maturity Date	99.6923	99.2950	0.3973	4.2601	100.0000		Based on the data of underlying assets

Insurance Asset Management Products Valuation

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Date	Code	Maturity(Yrs)	Full Price(Mid-Day)(Yuan)	Accrued Interest(Mid-Day)(Yuan)	Net Price(Yuan)	YTM (%)	Recommendation
2020-11-23	10919000001	3.1123	106.6771	1.1711	105.5061	6.2769	Recommend
2020-11-23	10919000001	6.1151	107.6046	1.1711	106.4336	6.5444
2020-11-23	10919000036	3.1671	99.7093	0.9874	98.7219	7.4498	Recommend
2020-11-23	10919000036	5.1699	98.0365	0.9874	97.0491	7.7026
2020-11-23	10919000061	0.0767	101.1893	1.1112	100.0782	5.3552	Recommend
2020-11-23	10919000061	1.0767	101.2966	1.1112	100.1854	6.2381
2020-11-23	10919000079	3.2658	103.0187	1.0978	101.9210	5.7579	Recommend
2020-11-23	10919000079	8.2712	102.8495	1.0978	101.7518	6.0779
2020-11-23	10919000149	1.3041	100.3673	0.9804	99.3870	6.3160	Recommend
2020-11-23	10919000149	4.3068	97.8494	0.9804	96.8690	6.6766

Date	Code	Maturity(Yrs)	Full Price(Mid-Day)(Yuan)	Accrued Interest(Mid-Day)(Yuan)	Net Price(Yuan)	YTM (%)	Full Price(End Day)(Yuan)	Accrued Interest(End Day)(Yuan)	Recommendation
2020-11-23	10919000001	3.1123	106.6771	1.1711	105.5061	6.2769	106.7001	1.1940	Recommend
2020-11-23	10919000001	6.1151	107.6046	1.1711	106.4336	6.5444	107.6276	1.1940
2020-11-23	10919000036	3.1671	99.7093	0.9874	98.7219	7.4498	99.7280	1.0060	Recommend
2020-11-23	10919000036	5.1699	98.0365	0.9874	97.0491	7.7026	98.0552	1.0060
2020-11-23	10919000061	0.0767	101.1893	1.1112	100.0782	5.3552	101.2069	1.1288	Recommend
2020-11-23	10919000061	1.0767	101.2966	1.1112	100.1854	6.2381	101.3142	1.1288
2020-11-23	10919000079	3.2658	103.0187	1.0978	101.9210	5.7579	103.0361	1.1152	Recommend
2020-11-23	10919000079	8.2712	102.8495	1.0978	101.7518	6.0779	102.8669	1.1152
2020-11-23	10919000149	1.3041	100.3673	0.9804	99.3870	6.3160	100.3829	0.9959	Recommend
2020-11-23	10919000149	4.3068	97.8494	0.9804	96.8690	6.6766	97.8650	0.9959

The above Insurance Asset Management Products Valuation is compiled and released by ChinaBond Pricing Center CO.,LTD and Zhongbao Insurance Asset Registration And Exchange CO.,LTD jointly.

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