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
2020-09-18	16滨湖建设PPN001	031671031	China Inter-Bank Market	0.9726	100.7818	0.1452	100.6366	4.6094	AA(2)
2020-09-18	20晋煤CP003	042000079	China Inter-Bank Market	0.4712	101.1090	1.4277	99.6813	3.3392	AA
2020-09-18	19盘江投资MTN002	101901304	China Inter-Bank Market	2.0219	106.1610	6.1525	100.0085	6.5874	AA-
2020-09-18	20中信银行CD178	112008178	China Inter-Bank Market	0.1644	99.5644	0.2239	99.3405	2.6615	AAA-
2020-09-18	15附息国债23	150023	Commercial Bank Counter Market	5.0738	101.4221	1.2744	100.1477	2.9581
2020-09-18	19华远02	151307	Shanghai Stock Exchange	1.5151	103.3439	3.1521	100.1919	6.3277	AA
2020-09-18	20湖南07	160647	Shanghai Stock Exchange	14.3234	98.3713	0.6447	97.7266	3.8577	AAA
2020-09-18	17包头建投债01	1780184	China Inter-Bank Market	3.8548	82.8799	0.6099	82.2700	3.9461	AA
2020-09-18	18龙源绿色债01	1880071	China Inter-Bank Market	4.5945	104.6476	1.9585	102.6891	4.0347	AAA-
2020-09-18	19国开15	190215	China Inter-Bank Market	9.0055	101.0622	3.4311	97.6310	3.7650

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
2020-09-18	16滨湖建设PPN001	031671031	PPNs	China Inter-Bank Market	0.9726	100.7818	0.1452	100.6366	4.6094	0.93	1.73	0.0094						recommend		100.7964	0.1597	100.0000	0.00	11.92	0.00	0.10	AA(2)	CND100013CW0
2020-09-18	20晋煤CP003	042000079	Commercial Papers	China Inter-Bank Market	0.4712	101.1090	1.4277	99.6813	3.3392	0.46	0.43	0.0047						recommend		101.1164	1.4351	100.0000	0.00	11.92	0.00	0.10	AA
2020-09-18	19盘江投资MTN002	101901304	Medium-Term Notes	China Inter-Bank Market	2.0219	106.1610	6.1525	100.0085	6.5874	0.91	1.72	0.0096						recommend		106.1782	6.1697	100.0000	0.00	11.92	0.00	0.10	AA-
2020-09-18	20中信银行CD178	112008178	Negotiable Certificates of Deposit	China Inter-Bank Market	0.1644	99.5644	0.2239	99.3405	2.6615	0.16	0.05	0.0016						recommend		99.5714	0.2309	99.3564	0.00	11.92	0.00	0.10	AAA-	CND10003LYF9
2020-09-18	15附息国债23	150023	Book-Entry Treasury Bonds	Commercial Bank Counter Market	5.0738	101.4221	1.2744	100.1477	2.9581	4.62	24.79	0.0468						recommend		101.4303	1.2826	100.0000	1.00		1.00	1.00		CND100008YC6
2020-09-18	19华远02	151307	Corporate Bonds	Shanghai Stock Exchange	1.5151	103.3439	3.1521	100.1919	6.3277	1.37	3.21	0.0141						recommend		103.3617	3.1699	100.0000	0.00	5.05	0.00	0.10	AA
2020-09-18	20湖南07	160647	Local Government Bonds	Shanghai Stock Exchange	14.3234	98.3713	0.6447	97.7266	3.8577	10.95	145.91	0.1078						recommend		98.3812	0.6546	100.0000	0.00	5.05	0.00	0.10	AAA	CND10002KZG8
2020-09-18	17包头建投债01	1780184	Local Government Owned Enterprise Bonds	China Inter-Bank Market	3.8548	82.8799	0.6099	82.2700	3.9461	2.16	7.91	0.0179						recommend		82.8914	0.6214	80.0000	0.00	11.92	0.00	0.10	AA	CND10000HV11
2020-09-18	18龙源绿色债01	1880071	Central Government Owned Enterprise Bonds	China Inter-Bank Market	4.5945	104.6476	1.9585	102.6891	4.0347	2.37	8.11	0.0248						recommend		104.6608	1.9717	100.0000	0.04	10.52	1.62	1.00	AAA-	CND10000LT35
2020-09-18	19国开15	190215	Policy Bank Bonds	China Inter-Bank Market	9.0055	101.0622	3.4311	97.6310	3.7650	7.33	67.47	0.0741	100.7164	97.2852	3.8118	7.33	0.0738	recommend	67.38	101.0716	3.4406	100.0000	1.00	0.00	229.62	1.00		CND10002GGR3

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
2020-09-18	02000024	20徽商银行第1期优先A	1.3123	43.5494	43.5003	0.0491	3.6555	43.0700	Recommend	Based on the data of underlying assets
2020-09-18	02000024	20徽商银行第1期优先A	4.3425	43.5494	43.5003	0.0491	3.6555	43.0700		Based on the data of underlying assets
2020-09-18	01900369	19南京银行鑫众7号优先A3	1.9753	102.3799	102.2320	0.1479	3.9103	100.0000	Recommend	Based on the data of underlying assets
2020-09-18	01900369	19南京银行鑫众7号优先A3	5.0274	102.3799	102.2320	0.1479	3.9103	100.0000		Based on the data of underlying assets
2020-09-18	02000135	润泰小微12号优先B	0.5178	99.8972	99.3060	0.5912	4.0336	100.0000	Recommend	Based on the data of underlying assets
2020-09-18	02000135	润泰小微12号优先B	2.7699	99.8972	99.3060	0.5912	4.0336	100.0000		Based on the data of underlying assets
2020-09-18	02000140	永赢租赁2020年第2期	2.0027	102.2256	100.4857	1.7398	4.3349	100.0000	Recommend	Based on the data of underlying assets
2020-09-18	02000140	永赢租赁2020年第2期	4.0055	102.2256	100.4857	1.7398	4.3349	100.0000		Based on the data of underlying assets
2020-09-18	02000137	润泰小微12号优先D	0.5178	97.9366	96.6632	1.2734	12.9638	100.0000	Recommend	Based on the data of underlying assets
2020-09-18	02000137	润泰小微12号优先D	2.7699	97.9366	96.6632	1.2734	12.9638	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
2020-09-18	02000024	20徽商银行第1期优先A	徽商银行股份有限公司	5.2000	AAA	1.3123	Based on Expected Maturity Date	43.5494	43.5003	0.0491	3.6555	43.0700	Recommend	Based on the data of underlying assets
2020-09-18	02000024	20徽商银行第1期优先A	徽商银行股份有限公司	5.2000	AAA	4.3425	Based on Final Maturity Date	43.5494	43.5003	0.0491	3.6555	43.0700		Based on the data of underlying assets
2020-09-18	01900369	19南京银行鑫众7号优先A3	南京银行股份有限公司	6.0000	AAA	1.9753	Based on Expected Maturity Date	102.3799	102.2320	0.1479	3.9103	100.0000	Recommend	Based on the data of underlying assets
2020-09-18	01900369	19南京银行鑫众7号优先A3	南京银行股份有限公司	6.0000	AAA	5.0274	Based on Final Maturity Date	102.3799	102.2320	0.1479	3.9103	100.0000		Based on the data of underlying assets
2020-09-18	02000135	润泰小微12号优先B	浙江泰隆商业银行股份有限公司	2.6000	AA+	0.5178	Based on Expected Maturity Date	99.8972	99.3060	0.5912	4.0336	100.0000	Recommend	Based on the data of underlying assets
2020-09-18	02000135	润泰小微12号优先B	浙江泰隆商业银行股份有限公司	2.6000	AA+	2.7699	Based on Final Maturity Date	99.8972	99.3060	0.5912	4.0336	100.0000		Based on the data of underlying assets
2020-09-18	02000140	永赢租赁2020年第2期	永赢金融租赁有限公司	5.0400		2.0027	Based on Expected Maturity Date	102.2256	100.4857	1.7398	4.3349	100.0000	Recommend	Based on the data of underlying assets
2020-09-18	02000140	永赢租赁2020年第2期	永赢金融租赁有限公司	5.0400		4.0055	Based on Final Maturity Date	102.2256	100.4857	1.7398	4.3349	100.0000		Based on the data of underlying assets
2020-09-18	02000137	润泰小微12号优先D	浙江泰隆商业银行股份有限公司	5.6000		0.5178	Based on Expected Maturity Date	97.9366	96.6632	1.2734	12.9638	100.0000	Recommend	Based on the data of underlying assets
2020-09-18	02000137	润泰小微12号优先D	浙江泰隆商业银行股份有限公司	5.6000		2.7699	Based on Final Maturity Date	97.9366	96.6632	1.2734	12.9638	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
2020-09-18	10919000023	3.3288	102.8935	1.5189	101.3746	5.9683	Recommend
2020-09-18	10919000023	5.3315	102.3969	1.5189	100.8780	6.2440
2020-09-18	10919000123	3.5836	100.1567	1.2192	98.9376	5.5175	Recommend
2020-09-18	10919000123	8.5863	97.2456	1.2192	96.0265	5.8817
2020-09-18	10919000135	1.6027	101.0454	0.0592	100.9862	6.7114	Recommend
2020-09-18	10919000135	5.6055	99.0021	0.0592	98.9430	7.6389
2020-09-18	10919000204	3.7589	103.0663	1.5720	101.4943	6.0523	Recommend
2020-09-18	10919000204	8.7616	102.6887	1.5720	101.1167	6.4495
2020-09-18	10914000090	4.2137	111.8032	5.9063	105.8968	5.6571	Recommend
2020-09-18	10917000042	6.4959	99.4111	0.0000	99.4111	5.1515	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
2020-09-18	10919000023	3.3288	102.8935	1.5189	101.3746	5.9683	102.9108	1.5362	Recommend
2020-09-18	10919000023	5.3315	102.3969	1.5189	100.8780	6.2440	102.4142	1.5362
2020-09-18	10919000123	3.5836	100.1567	1.2192	98.9376	5.5175	100.1704	1.2329	Recommend
2020-09-18	10919000123	8.5863	97.2456	1.2192	96.0265	5.8817	97.2593	1.2329
2020-09-18	10919000135	1.6027	101.0454	0.0592	100.9862	6.7114	101.0652	0.0789	Recommend
2020-09-18	10919000135	5.6055	99.0021	0.0592	98.9430	7.6389	99.0219	0.0789
2020-09-18	10919000204	3.7589	103.0663	1.5720	101.4943	6.0523	103.0840	1.5897	Recommend
2020-09-18	10919000204	8.7616	102.6887	1.5720	101.1167	6.4495	102.7064	1.5897
2020-09-18	10914000090	4.2137	111.8032	5.9063	105.8968	5.6571	111.8236	5.9268	Recommend
2020-09-18	10917000042	6.4959	99.4111	0.0000	99.4111	5.1515	99.4246	0.0136	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.

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