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
2022-01-27	18南通高新PPN006	031800743	China Inter-Bank Market	1.8712	102.1731	0.6052	101.5679	3.0882	AA
2022-01-27	21鲁宏桥CP002	042100501	China Inter-Bank Market	0.7918	101.2392	0.8287	100.4105	3.3957	AA
2022-01-27	20赣高速MTN004	102002301	China Inter-Bank Market	1.8849	102.4049	0.4315	101.9734	2.6600	AAA
2022-01-27	22交通银行CD019	112206019	China Inter-Bank Market	0.2192	99.4711	0.0664	99.4048	2.3630	AAA
2022-01-27	14南网债	1480135	Shanghai Stock Exchange	2.1397	111.9226	5.0756	106.8470	2.5661	AAA＋
2022-01-27	20临建01	167759	Shanghai Stock Exchange	1.6575	103.6488	1.5925	102.0563	3.3433	AA
2022-01-27	17邳州润城债	1780057	China Inter-Bank Market	2.2247	64.5013	2.6284	61.8729	2.9833	AA(2)
2022-01-27	18广东债31	1805206	Shenzhen Stock Exchange	1.5534	103.7462	1.6568	102.0894	2.3181	AAA
2022-01-27	20抗疫国债02	2000002	Commercial Bank Counter Market	5.3918	102.4046	1.6483	100.7563	2.5564
2022-01-27	21国开美元3	2102039	China Inter-Bank Market	1.8493	99.5385	0.1222	99.4162	1.1153

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	Recommendation	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
2022-01-27	18南通高新PPN006	031800743	PPNs	China Inter-Bank Market	1.8712	102.1731	0.6052	101.5679	3.0882	0.85	1.45	0.0087	recommend	102.1860	0.6181	100.0000	0.00	18.18	0.00	0.10	AA	CND10001V1N1
2022-01-27	21鲁宏桥CP002	042100501	Commercial Papers	China Inter-Bank Market	0.7918	101.2392	0.8287	100.4105	3.3957	0.78	1.21	0.0079	recommend	101.2501	0.8396	100.0000	0.00	18.18	0.00	0.10	AA
2022-01-27	20赣高速MTN004	102002301	Medium-Term Notes	China Inter-Bank Market	1.8849	102.4049	0.4315	101.9734	2.6600	1.80	5.03	0.0184	recommend	102.4152	0.4418	100.0000	0.00	0.00	0.00	1.00	AAA	CND10004G3N3
2022-01-27	22交通银行CD019	112206019	Negotiable Certificates of Deposit	China Inter-Bank Market	0.2192	99.4711	0.0664	99.4048	2.3630	0.22	0.10	0.0022	recommend	99.4778	0.0730	99.4027	0.00	18.18	0.00	0.10	AAA
2022-01-27	14南网债	1480135	Central Government Owned Enterprise Bonds	Shanghai Stock Exchange	2.1397	111.9226	5.0756	106.8470	2.5661	1.93	5.85	0.0216	recommend	111.9388	5.0918	100.0000	0.18	0.97	0.18	0.10	AAA＋	CND1000079R9
2022-01-27	20临建01	167759	Corporate Bonds	Shanghai Stock Exchange	1.6575	103.6488	1.5925	102.0563	3.3433	1.56	3.99	0.0162	recommend	103.6615	1.6052	100.0000	0.00	4.79	0.00	0.10	AA
2022-01-27	17邳州润城债	1780057	Local Government Owned Enterprise Bonds	China Inter-Bank Market	2.2247	64.5013	2.6284	61.8729	2.9833	1.14	3.02	0.0073	recommend	64.5106	2.6377	60.0000	0.00	18.18	0.00	0.10	AA(2)	CND10000H816
2022-01-27	18广东债31	1805206	Local Government Bonds	Shenzhen Stock Exchange	1.5534	103.7462	1.6568	102.0894	2.3181	1.48	3.68	0.0154	recommend	103.7563	1.6670	100.0000	0.00	8.02	0.00	0.10	AAA	CND10001M087
2022-01-27	20抗疫国债02	2000002	Book-Entry Treasury Bonds	Commercial Bank Counter Market	5.3918	102.4046	1.6483	100.7563	2.5564	4.89	29.85	0.0500	recommend	102.4120	1.6557	100.0000	1.00		1.00	1.00		CND100039ZW6
2022-01-27	21国开美元3	2102039	Policy Bank Bonds	China Inter-Bank Market	1.8493	99.5385	0.1222	99.4162	1.1153	1.85	4.37	0.0184	recommend	99.5407	0.1244	100.0000	0.00	18.18	0.00	0.10		CND10004PDF2

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
2022-01-27	02100121	2021年上海信托-鑫众11号优先A4	1.8877	101.4519	101.2739	0.1781	5.7553	100.0000	Recommend	Based on the data of underlying assets
2022-01-27	02100121	2021年上海信托-鑫众11号优先A4	5.0329	101.4519	101.2739	0.1781	5.7553	100.0000		Based on the data of underlying assets
2022-01-27	2021000336	渤海银行渤通2号	0.5534	101.3502	100.0187	1.3315	3.9627	100.0000	Recommend	Based on the data of underlying assets
2022-01-27	2021000336	渤海银行渤通2号	3.5562	101.3691	100.0376	1.3315	3.9627	100.0000		Based on the data of underlying assets
2022-01-27	02100119	2021年上海信托-鑫众11号优先A2	0.1342	31.0595	31.0234	0.0361	3.5140	31.0002	Recommend	Based on the data of underlying assets
2022-01-27	02100119	2021年上海信托-鑫众11号优先A2	5.0329	31.0595	31.0234	0.0361	3.5140	31.0002		Based on the data of underlying assets
2022-01-27	2021000137	粤财信托·杭联1号	0.1288	100.4534	100.1573	0.2962	3.5299	100.0000	Recommend	Based on the data of underlying assets
2022-01-27	2021000137	粤财信托·杭联1号	3.1315	100.4534	100.1573	0.2962	3.5299	100.0000		Based on the data of underlying assets
2022-01-27	02000194	华融·中关村银行消费信贷财产权信托优先A3	0.7589	103.3127	101.8703	1.4425	3.3434	100.0000	Recommend	Based on the data of underlying assets
2022-01-27	02000194	华融·中关村银行消费信贷财产权信托优先A3	2.7616	103.3127	101.8703	1.4425	3.3434	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
2022-01-27	02100121	2021年上海信托-鑫众11号优先A4	南京银行股份有限公司	6.5000	AAA	1.8877	Based on Expected Maturity Date	101.4519	101.2739	0.1781	5.7553	100.0000	Recommend	Based on the data of underlying assets
2022-01-27	02100121	2021年上海信托-鑫众11号优先A4	南京银行股份有限公司	6.5000	AAA	5.0329	Based on Final Maturity Date	101.4519	101.2739	0.1781	5.7553	100.0000		Based on the data of underlying assets
2022-01-27	2021000336	渤海银行渤通2号	渤海银行股份有限公司	4.0500		0.5534	Based on Expected Maturity Date	101.3502	100.0187	1.3315	3.9627	100.0000	Recommend	Based on the data of underlying assets
2022-01-27	2021000336	渤海银行渤通2号	渤海银行股份有限公司	4.0500		3.5562	Based on Final Maturity Date	101.3691	100.0376	1.3315	3.9627	100.0000		Based on the data of underlying assets
2022-01-27	02100119	2021年上海信托-鑫众11号优先A2	南京银行股份有限公司	4.2500	AAA	0.1342	Based on Expected Maturity Date	31.0595	31.0234	0.0361	3.5140	31.0002	Recommend	Based on the data of underlying assets
2022-01-27	02100119	2021年上海信托-鑫众11号优先A2	南京银行股份有限公司	4.2500	AAA	5.0329	Based on Final Maturity Date	31.0595	31.0234	0.0361	3.5140	31.0002		Based on the data of underlying assets
2022-01-27	2021000137	粤财信托·杭联1号	杭州联合农村商业银行股份有限公司	4.7000		0.1288	Based on Expected Maturity Date	100.4534	100.1573	0.2962	3.5299	100.0000	Recommend	Based on the data of underlying assets
2022-01-27	2021000137	粤财信托·杭联1号	杭州联合农村商业银行股份有限公司	4.7000		3.1315	Based on Final Maturity Date	100.4534	100.1573	0.2962	3.5299	100.0000		Based on the data of underlying assets
2022-01-27	02000194	华融·中关村银行消费信贷财产权信托优先A3	北京中关村银行股份有限公司	5.8500	AAA	0.7589	Based on Expected Maturity Date	103.3127	101.8703	1.4425	3.3434	100.0000	Recommend	Based on the data of underlying assets
2022-01-27	02000194	华融·中关村银行消费信贷财产权信托优先A3	北京中关村银行股份有限公司	5.8500	AAA	2.7616	Based on Final Maturity Date	103.3127	101.8703	1.4425	3.3434	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
2022-01-27	10917000066	0.7589	101.2821	0.7027	100.5794	5.9108	Recommend
2022-01-27	10917000066	2.7616	101.2732	0.7027	100.5704	6.5127
2022-01-27	10919000331	2.6493	102.8060	0.6101	102.1959	4.8888	Recommend
2022-01-27	10919000331	4.6493	105.0062	0.6101	104.3961	4.7199
2022-01-27	10921000822	1.7918	99.8632	0.2422	99.6211	5.5303	Recommend
2022-01-27	10921000822	3.7945	99.9500	0.2422	99.7078	5.3873
2022-01-27	10921001112	4.9452	101.0568	0.2972	100.7596	4.8390	Recommend
2022-01-27	10921001112	9.9452	99.9285	0.2972	99.6314	5.0669
2022-01-27	10922000009	2.9589	101.1528	0.2192	100.9336	4.7382	Recommend
2022-01-27	10922000009	4.9589	102.3209	0.2192	102.1018	4.5991

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
2022-01-27	10917000066	0.7589	101.2821	0.7027	100.5794	5.9108	101.3006	0.7212	Recommend
2022-01-27	10917000066	2.7616	101.2732	0.7027	100.5704	6.5127	101.2917	0.7212
2022-01-27	10919000331	2.6493	102.8060	0.6101	102.1959	4.8888	102.8221	0.6262	Recommend
2022-01-27	10919000331	4.6493	105.0062	0.6101	104.3961	4.7199	105.0223	0.6262
2022-01-27	10921000822	1.7918	99.8632	0.2422	99.6211	5.5303	99.8775	0.2564	Recommend
2022-01-27	10921000822	3.7945	99.9500	0.2422	99.7078	5.3873	99.9642	0.2564
2022-01-27	10921001112	4.9452	101.0568	0.2972	100.7596	4.8390	101.0703	0.3107	Recommend
2022-01-27	10921001112	9.9452	99.9285	0.2972	99.6314	5.0669	99.9420	0.3107
2022-01-27	10922000009	2.9589	101.1528	0.2192	100.9336	4.7382	101.1665	0.2329	Recommend
2022-01-27	10922000009	4.9589	102.3209	0.2192	102.1018	4.5991	102.3346	0.2329

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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