7 AAA 2

2006-1

7 AAA 2

2006-1 2006-1 2006-1 2006-1 3

...5...10...13...15...19...22...23...24...26...29...42...47...52...55...58...62...63...65...70...72...74...75 4

2006-1 5 2006-1 2006-1 2006-1 2006-1

2006-1 6 2006-1 2006-1 1 a b c d 2

16 30 2006-1 2006-1 2006-1 7

2005 7 31 2006 12 20 6 15 12 15 2007 6 15 2009 12 6 6 15 6 30 12 31 2007 6 30 6 30 1 2 3 4 8

5 6 30 12 31 12 31 6 30 6 30 12 31 6 30 12 31 2007 6 30 6 30 12 31 9

/ / 410 100034 010 66507501 66507541 010 66507542 / 2 100013 010 64482717 64482716 64482720 010 64482693 / 35 C 100032 010 66568776 66568206 010-66568052 66568012 010 66568704 10

1 100818 010 66594912 010 66594853 / 33 / 100032 010 88087972 010 88086356 7 100016 010 64606677 407 64606677 884 010 84583355 118 01 12 100022 010 65677894 65681188 411 11

010 65687317 A2 17 100045 010 68569800 010 68569590 12

1 / / / 1 2006-1 13

14

1999 10 15 25 100 6,640 20 2006 6 2,200.99 433.31 164 294.59 2000 2,714 2006 6 2,103.57 351.61 547.62 62.81 2004 11 1,289 2005 6 1,212 15

1,424 200 86 54 367 2006 6 95.49 1 16

2 3 1,000 1,000 4 2 5 17

2/3 2/3 18

1995 11 20 2001 9 30 2003 4 1 2004 2 12 2005 21 19 2 20 3 19

4 2005 21 2005 116.90 5 2004 ---- 2005 2005 12 15 ABS ----2005 2006 4 25 ----2006 6 20

2003 2004 2005 2 2 2003 2004 2005 142,099.96 124,606.67 129,064.78 67,950.23 85,910.12 82,793.76 1.88 0 90.21 7.35 3.47 8.00 210,059.42 210,520.26 211,956.75 23,749.31 24,296.17 21,146.07 186,310.12 186,224.09 190,810.68 10,231.54 17,963.05 14,220.92 3,128.74 3,715.36 4,927.41 495.6 838.78 929.46 6,607.2 13,408.91 8,364.05 7,433.6 8,118.34 8,444.85 4,847.18 3,160.82 7,130.59 4,854.71 2,501.06 7,564.94 3,061.21 2,501.06 5,068.95 21

1912 2003 2006 6 1 H 2006 7 A RAROC 25 21 22

2005 2006 2005 2006 23

/ / 24

1 2 3 4 / / 25

1 2 3 4 5 2006-1 1 2 3 4 26

1 2 3 4 5 1 2 1 3 1 2 3 4 30 30 27

1 2 1 2 3 28

2004 11 1. 2. 3. 4. 5. 6. 1 45 X P = ( A + B) M 1 + t ( 1 + r)n R 2 2T N P X A 29

B M R T ( ) r t ( ) N 365 2 2006-1 1,525 2,114 60.20 300 369 771 51.96 86.31% 369 1 58.10% 19.43% 2 2 30

2006-1 31 2 21.97% 16.11% 13.34% 3 0.00 20000.00 40000.00 60000.00 80000.00 100000.00 120000.00 0.00% 5.00% 10.00% 15.00% 20.00% 25.00% 3 3 5.00% 33.84% 20.00% 63.08% 4 0.00 100000.00 200000.00 300000.00 400000.00 500000.00 5% 10% 20% 40% 0.00% 20.00% 40.00% 60.00% 80.00% 100.00% 4 4 42.15% 31.24% 9.94% 5

2006-1 32 0.00 50000.00 100000.00 150000.00 200000.00 250000.00 0.00% 5.00% 10.00% 15.00% 20.00% 25.00% 30.00% 35.00% 40.00% 45.00% 5 5 87.25% 48.75% 38.50% 12.75% 6 6.97% 93.03% 6 6 39.35 56.48% 17.26 33.21% 7

250000.00 200000.00 150000.00 100000.00 50000.00 0.00 50.00% 45.00% 40.00% 35.00% 30.00% 25.00% 20.00% 15.00% 10.00% 5.00% 0.00% 7 7 23.56 93.03% 1.76 6.97% 8 6.97% 93.03% 8 1 2005 7 25 9 30 33

1 1,525 2,114 300 369 51.96 86.31% 2 2005 7 27 8 12 800 398 2005 8 16 9 30 400 200 398 2,000 3, 3 34

4 2006 11 10 11 20 2006 10 31 2 1 { )} C = min D (1 i Gi R C Di i ij 35

Gi i Rij i j 2 Historical Scenarios Worst-case Scenarios 36

3 1 a b b1 b2 37

b3 2 35 1999 2003 20% 2000 2005 a b 4 1 38

119,644.10 19.87% 10.53 20.26% 82,642.47 13.4% 4 4 119,644.10 19.87% 105,275.67 20.26% 76,228.73 14.67% 7,326.69 1.41% 21,720.25 4.18% 2 119,644.10 27,812.95 22,756.05 19,870.70 16,257.85 18,120.61 14,825.95 5 5: 27,812.95 22,756.05 19,870.70 16,257.85 18,120.61 14,825.95 39

3 AAA 6 7 6: 99.75% 84,542.37 80% 119,644.10 7: 19,954.83 16,326.68 15,773.49 12,905.58 10,769.98 8,811.805 7 1.15 4 SAS a. 59.48% 20.90% 80.38% 19.62% 9 40

19.62% 20.90% 59.48% 9 b. 5% 48.69% 10% 65.07% 10 100% 80% 60% 40% 20% 0% 5% 10% 15% 20% 30% 10 41

11 1 2 3 1 1 2 3 4 42

5 6 7 2 2006 10 31 114,033,395.93 3 1 2 3 4 1 2 3 1 1 50% 2 3 2 43

.1. 1.1. 4 50% 1 T 5 T-5 2 T 1 T-1 9 3 T 14 4 T 3 T 3 5 T 1 1 2 3 4 a b c d 10 44

2006-1 45 e 5 6 7 8 a b c 9 10 11.1. 1.1. 4.1. 6.1. 9 12 1 1 2 600 3.1. 1.1. 4.1. 6.1. 7 4

.1. 1.1. 4.1. 6.1. 7 9 5 2 1.1. 6 2.1. 6.1. 9 3 3 1.1. 1.1. 4 2 46

2006-1 47 1 70,000 2 35,000 2009 12 21 1.1. 1.1. 4.1. 6.1. 1.1. 4.1. 6 2.1. 1.1. 4.1. 6.1. 9.1. 1.1. 4.1. 6.1. 9

3 2 4 4 1 2 2011 12 21 8 8 70,000 AAA 2006 12 21 2009 12 21 100 48

2006 12 21 365 6 15 12 15 2007 6 15 2009 12 6 6 15 6 30 12 31 2007 6 30 6 30 2006 12 18 2006 12 20 2006-1 49

50

51

1 2 3 2006-1 1 2 20% 3 4 7 5 50% 52

6 5 7 30 www.chinabond.com.cn www.chinamoney.com.cn 8 9 10 7 75% 1 2 53

50% 10 www.chinabond.com.cn www.chinamoney.com.cn 54

1 2 3 4 1 2 3 4 5 1.1. 1.1. 4.1. 6.1. 1.1. 55

2006-1 56 4.1. 6 2.1. 1.1. 4.1. 6.1. 9.1. 1.1. 4.1. 6.1. 9 3 2 4 4 1 2 1

2 5 2 2 2 5 4% 1 2 2 57

/ 7 3.5 1 2 1 2006 10 31 114,033,395.93 1 2 600 58

2006-1 59 3.1. 1.1. 4.1. 6.1. 7 4.1. 1.1. 4.1. 6.1. 7.1. 9 5 2 1 2 3 1.1. 6 2.1. 6.1. 9 3 1 50% 2

2006-1 60 3 3 1 2 3 1.1. 1.1. 4 2.1. 1.1. 4 50% 1.1. 1.1. 4.1. 6.1. 1.1. 4.1. 6 2

.1. 1.1. 4.1. 6.1. 9.1. 1.1. 4.1. 6.1. 9 3 2 4 4 1 2 61

62

2006-1 2006-1 1 2 3 4 5 1 2 3 63

1 2 3 4 5 6 64

1 1 a b 2 a 65

b c / 2 1 66

2 3 1 1 a 93.03% b 86.31% 2 67

a b c 2 1 68

2 3 69

2006-1 1 15 2 70

1 2 3 4 5 71

1 2006 10 31 2006-1 AAA 2 1 38.5% 93.03% 2 3 4 3 1 2 72

1 7 31 10 2 3 73

2006-1 74

2006 11 21 [2006]382 2006 12 11 [2006] 25 2 1 2 3 4 2006-1 5 2006-1 6 2006-1 7 2006-1 www.chinabond.com.cn 75