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
2021-02-25	17深装总装PPN001	031754002	China Inter-Bank Market	0.8603	101.1734	1.0340	100.1394	7.1540	AA-
2021-02-25	20福建阳光CP001	042000247	China Inter-Bank Market	0.2329	104.6170	4.9863	99.6307	7.7288	AA-
2021-02-25	20中建材集MTN002A	102000555	China Inter-Bank Market	4.0932	101.4709	3.1558	98.3150	3.9322	AAA-
2021-02-25	20大连银行CD293	112075164	China Inter-Bank Market	0.8027	97.1969	0.7038	96.4931	3.5434	AA
2021-02-25	13国开202	1302202	China Inter-Bank Market	7.2673	89.1197	1.2394	87.8803	5.1075
2021-02-25	14中国有色债01	1480396	China Inter-Bank Market	3.3616	110.8553	3.9897	106.8656	4.0168	AA＋
2021-02-25	17陕西债04	1705097	Shenzhen Stock Exchange	3.2082	106.8190	3.3730	103.4460	3.1112	AAA
2021-02-25	20桂冠02	175223	Shanghai Stock Exchange	2.5918	101.3599	1.3471	100.0128	3.8299	AA＋
2021-02-25	17邳州经发债	1780295	Shanghai Stock Exchange	3.5644	81.8069	2.3210	79.4859	6.9815	AA-
2021-02-25	20贴现国债43	209943	China Inter-Bank Market	0.0301	99.9550	1.2055	98.7496	1.4931

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	Spread Duration	Spread Convexity	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	Spread Duration on Weighted Average Full Price of Settlement	Spread Convexity on Weighted Average Full Price of Settlement	Recommendation	Rate Duration	Rate Convexity	Rate Convexity on Weighted Average Full Price of Settlement	Full Price (End Day)(Yuan)	Accrued Interest (End Day) (Yuan)	Residual Principal(Yuan)	Spread Yield(%)	Absolute Liquidity Index	Position Percentile	Relative Liquidity Index	Relative Liquidity Reference Value	ChinaBond Market Implied Rating	ISIN
2021-02-25	17深装总装PPN001	031754002	PPNs	China Inter-Bank Market	0.8603	101.1734	1.0340	100.1394	7.1540	0.81	1.31	0.0082										recommend				101.1937	1.0542	100.0000		0.00	9.45	0.00	0.10	AA-	CND100018RX5
2021-02-25	20福建阳光CP001	042000247	Commercial Papers	China Inter-Bank Market	0.2329	104.6170	4.9863	99.6307	7.7288	0.23	0.10	0.0024										recommend				104.6349	5.0041	100.0000		0.00	9.45	0.00	0.10	AA-	CND100037T55
2021-02-25	20中建材集MTN002A	102000555	Medium-Term Notes	China Inter-Bank Market	4.0932	101.4709	3.1558	98.3150	3.9322	3.62	17.43	0.0367										recommend				101.4804	3.1654	100.0000		0.00	4.70	0.00	0.82	AAA-	CND100032RW8
2021-02-25	20大连银行CD293	112075164	Negotiable Certificates of Deposit	China Inter-Bank Market	0.8027	97.1969	0.7038	96.4931	3.5434	0.79	1.25	0.0077										recommend				97.2067	0.7136	96.4320		0.00	9.45	0.00	0.10	AA
2021-02-25	13国开202	1302202	Policy Bank Bonds	China Inter-Bank Market	7.2673	89.1197	1.2394	87.8803	5.1075			0.0524	6.25	45.60						6.25	45.60	recommend	-0.38	-2.45		89.1282	1.2479	100.0000	3.6075
2021-02-25	14中国有色债01	1480396	Central Government Owned Enterprise Bonds	China Inter-Bank Market	3.3616	110.8553	3.9897	106.8656	4.0168	2.92	11.94	0.0324			110.6509	106.6612	4.0800	2.92	0.0323			recommend			11.92	110.8725	4.0068	100.0000		0.03	9.25	5.48	1.00	AA＋	CND100007PB8
2021-02-25	17陕西债04	1705097	Local Government Bonds	Shenzhen Stock Exchange	3.2082	106.8190	3.3730	103.4460	3.1112	2.89	11.59	0.0308										recommend				106.8306	3.3847	100.0000		0.00	7.64	0.00	0.10	AAA	CND10000HB64
2021-02-25	20桂冠02	175223	Corporate Bonds	Shanghai Stock Exchange	2.5918	101.3599	1.3471	100.0128	3.8299	0.58	0.67	0.0059										recommend				101.3690	1.3562	100.0000		0.00	4.29	0.00	0.10	AA＋
2021-02-25	17邳州经发债	1780295	Local Government Owned Enterprise Bonds	Shanghai Stock Exchange	3.5644	81.8069	2.3210	79.4859	6.9815	1.78	5.93	0.0146										recommend				81.8215	2.3356	80.0000		0.05	2.38	0.05	0.10	AA-	CND10000JB21
2021-02-25	20贴现国债43	209943	Book-Entry Treasury Bonds	China Inter-Bank Market	0.0301	99.9550	1.2055	98.7496	1.4931	0.03	0.00	0.0003			99.9577	98.7522	1.4056	0.03	0.0003			recommend			0.00	99.9621	1.2125	98.7170		0.21	6.71	38.63	1.00		CND10003L6D1

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
2021-02-25	02000018	中铁金租2019年第二期优先A2类	0.6384	100.9583	100.8158	0.1425	3.9510	100.0000	Recommend	Based on the data of underlying assets
2021-02-25	02000018	中铁金租2019年第二期优先A2类	4.5973	100.9583	100.8158	0.1425	3.9510	100.0000		Based on the data of underlying assets
2021-02-25	02000002	苏金1号2019年第一期优先02级	0.6329	101.5848	100.8733	0.7115	3.9502	100.0000	Recommend	Based on the data of underlying assets
2021-02-25	02000002	苏金1号2019年第一期优先02级	4.3644	101.5848	100.8733	0.7115	3.9502	100.0000		Based on the data of underlying assets
2021-02-25	02000376	2020年紫金信托-鑫众10号优先A2	0.6411	83.8497	83.7671	0.0825	4.0766	83.6693	Recommend	Based on the data of underlying assets
2021-02-25	02000376	2020年紫金信托-鑫众10号优先A2	5.4630	83.8497	83.7671	0.0825	4.0766	83.6693		Based on the data of underlying assets
2021-02-25	01800602	18南京银行鑫众1号优先A3	0.5589	4.8823	4.8651	0.0172	3.6699	4.8400	Recommend	Based on the data of underlying assets
2021-02-25	01800602	18南京银行鑫众1号优先A3	3.5616	4.8823	4.8651	0.0172	3.6699	4.8400		Based on the data of underlying assets
2021-02-25	01900035	19南京银行鑫众4号优先A3	0.8603	8.2089	8.1818	0.0271	3.8315	8.1200	Recommend	Based on the data of underlying assets
2021-02-25	01900035	19南京银行鑫众4号优先A3	3.8822	8.2089	8.1818	0.0271	3.8315	8.1200		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
2021-02-25	02000018	中铁金租2019年第二期优先A2类	中铁建金融租赁有限公司	5.2000	AAA	0.6384	Based on Expected Maturity Date	100.9583	100.8158	0.1425	3.9510	100.0000	Recommend	Based on the data of underlying assets
2021-02-25	02000018	中铁金租2019年第二期优先A2类	中铁建金融租赁有限公司	5.2000	AAA	4.5973	Based on Final Maturity Date	100.9583	100.8158	0.1425	3.9510	100.0000		Based on the data of underlying assets
2021-02-25	02000002	苏金1号2019年第一期优先02级	苏州金融租赁股份有限公司	5.3000	AAA	0.6329	Based on Expected Maturity Date	101.5848	100.8733	0.7115	3.9502	100.0000	Recommend	Based on the data of underlying assets
2021-02-25	02000002	苏金1号2019年第一期优先02级	苏州金融租赁股份有限公司	5.3000	AAA	4.3644	Based on Final Maturity Date	101.5848	100.8733	0.7115	3.9502	100.0000		Based on the data of underlying assets
2021-02-25	02000376	2020年紫金信托-鑫众10号优先A2	南京银行股份有限公司	4.5000	AAA	0.6411	Based on Expected Maturity Date	83.8497	83.7671	0.0825	4.0766	83.6693	Recommend	Based on the data of underlying assets
2021-02-25	02000376	2020年紫金信托-鑫众10号优先A2	南京银行股份有限公司	4.5000	AAA	5.4630	Based on Final Maturity Date	83.8497	83.7671	0.0825	4.0766	83.6693		Based on the data of underlying assets
2021-02-25	01800602	18南京银行鑫众1号优先A3	南京银行股份有限公司	6.5000	AAA	0.5589	Based on Expected Maturity Date	4.8823	4.8651	0.0172	3.6699	4.8400	Recommend	Based on the data of underlying assets
2021-02-25	01800602	18南京银行鑫众1号优先A3	南京银行股份有限公司	6.5000	AAA	3.5616	Based on Final Maturity Date	4.8823	4.8651	0.0172	3.6699	4.8400		Based on the data of underlying assets
2021-02-25	01900035	19南京银行鑫众4号优先A3	南京银行股份有限公司	6.1000	AAA	0.8603	Based on Expected Maturity Date	8.2089	8.1818	0.0271	3.8315	8.1200	Recommend	Based on the data of underlying assets
2021-02-25	01900035	19南京银行鑫众4号优先A3	南京银行股份有限公司	6.1000	AAA	3.8822	Based on Final Maturity Date	8.2089	8.1818	0.0271	3.8315	8.1200		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
2021-02-25	10919000011	2.8767	103.1211	1.2719	101.8492	5.8661	Recommend
2021-02-25	10919000011	7.8822	101.8813	1.2719	100.6094	6.4973
2021-02-25	10919000061	0.8192	102.0311	1.1770	100.8541	5.3416	Recommend
2021-02-25	10919000115	3.1068	106.8078	1.2658	105.5421	5.1516	Recommend
2021-02-25	10919000115	0.1041	101.5794	1.2658	100.3137	4.0203
2021-02-25	10919000228	6.3781	103.4005	0.9855	102.4150	5.0969	Recommend
2021-02-25	10919000228	8.3808	102.7561	0.9855	101.7706	5.2862
2021-02-25	10913000042	1.8329	41.4638	0.6315	40.8323	5.1665	Recommend
2021-02-25	10915000086	1.2164	76.6672	0.8449	75.8223	5.0373	Recommend
2021-02-25	10917000016	6.8466	105.2051	0.8433	104.3618	4.7302	Recommend

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
2021-02-25	10919000011	2.8767	103.1211	1.2719	101.8492	5.8661	103.1388	1.2896	Recommend
2021-02-25	10919000011	7.8822	101.8813	1.2719	100.6094	6.4973	101.8990	1.2896
2021-02-25	10919000061	0.8192	102.0311	1.1770	100.8541	5.3416	102.0489	1.1948	Recommend
2021-02-25	10919000115	3.1068	106.8078	1.2658	105.5421	5.1516	106.8270	1.2849	Recommend
2021-02-25	10919000115	0.1041	101.5794	1.2658	100.3137	4.0203	101.5986	1.2849
2021-02-25	10919000228	6.3781	103.4005	0.9855	102.4150	5.0969	103.4154	1.0004	Recommend
2021-02-25	10919000228	8.3808	102.7561	0.9855	101.7706	5.2862	102.7710	1.0004
2021-02-25	10913000042	1.8329	41.4638	0.6315	40.8323	5.1665	41.4711	0.6388	Recommend
2021-02-25	10915000086	1.2164	76.6672	0.8449	75.8223	5.0373	76.6800	0.8577	Recommend
2021-02-25	10917000016	6.8466	105.2051	0.8433	104.3618	4.7302	105.2199	0.8581	Recommend

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.

Legislation

Any institution or individual who intends to use ChinaBond Pricing Data Products to develop deductive products, or use index data as benchmark, as well as to develop the passive investment products, ETF products and derivatives, shall apply to ChinaBond Pricing Center Co., Ltd separately in writing. Contact information: Wang Han(021-60813514/wanghana@chinabond.com.cn),Dong Jingyu(021-60813513/dongjy@chinabond.com.cn）.

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