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Skillschina-nav-tieout

china-nav-tieout

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Updated 10-15 23:43

About this skill

china-nav-tieout

Purpose

Perform A-share Portfolio NAV Accounting — comprehensive NAV reconciliation and valuation for Chinese investment portfolios.

Data Sources

Tier 0 — Wind (most comprehensive paid data)

  • Coverage: A-shares/Hong Kong and US stocks/funds/indices/bonds/macroeconomics/research reports/analysis (44 tools)
  • MCP service:wind-mcp(requires WIND_API_KEY key, starting with ak_ )
  • Advantages: widest full-market coverage, most comprehensive data, includes research reports and quantitative analysis
  • Key application:https://aifinmarket.wind.com.cn/#/home

Tier 1 — Tonghuashun iFind (paid precise data) / AkShare MCP (Tier-2 free alternative)

get_quote(ticker)                     → Latest prices for holdings
get_fund_data(fund_code)              → Fund NAV data
get_index_data("000001")              → Benchmark data

Secondary Sources

  • Fund company — fund NAV calculations
  • Custodian bank — custody valuations
  • Wind / Choice — portfolio analytics
  • Exchange — closing prices

Workflow

Step 1: Gather Portfolio Holdings

Holdings snapshot:

Security Ticker Type Quantity Market Value Cost Unrealized P/L
Cash
Receivables
Payables
Total NAV

Step 2: Value Each Holding

Valuation methodology:

Security Type Valuation Method Source
A-share listed stocks Closing price (收盘价) Exchange
A-share suspended stocks Last closing / 估值 AMAC guidelines
Funds (ETF/LOF) NAV / market price Fund company
Bonds ChinaBond valuation / closing price ChinaBond/Exchange
Reverse repo Principal + interest Calculated
Deposits Principal + interest Bank
Derivatives Mark-to-market Exchange/Counterparty

A-share valuation rules:

  • Listed stocks: closing price
  • Suspended stocks:
    • <1 month: last closing
    • 1-3 months: AMAC guidelines

    • 3 months: independent valuation

  • Limit-up/limit-down stocks: Ceiling/floor price

Step 3: Calculate NAV

NAV calculation:

Component Amount Notes
Market value of securities ¥XX
Cash and cash equivalents ¥XX
Accrued income ¥XX Dividends, interest
Receivables ¥XX
Other assets ¥XX
Gross Assets ¥XX
Payables ¥XX
Accrued expenses ¥XX Management fees, etc.
Other liabilities ¥XX
Total Liabilities ¥XX
Net Assets ¥XX
Shares outstanding XX units
NAV per share/unit ¥X.XXXX

Step 4: Income Accruals

Accrued income:

Type Security Amount Ex-date Pay-date
Cash dividends
Stock dividends
Bond interest
Fund distributions
Reverse repo interest
Total accrued income

Step 5: Expense Accruals

Accrued expenses:

Type Amount Calculation Basis
Management fee (Management fee) ¥XX AUM × annual rate × days/365
Custodian fee (Custodian fee) ¥XX AUM × annual rate × days/365
Trading commission (Trading commission) ¥XX Actual trades
Taxes (Taxes) ¥XX
Other expenses ¥XX
Total accrued expenses

Step 6: Reconciliation

Reconciliation checklist:

Item Portfolio System Custodian Difference Resolved
Securities holdings
Cash balance
Accrued income
Accrued expenses
Total NAV

Common reconciling items:

  • Trade date vs settlement date differences
  • Trades in transit
  • Dividends pending
  • Accrual timing differences

Step 7: Performance Calculation

Performance metrics:

Metric Period Return Annualized
Portfolio return X.XX% X.XX%
Benchmark return X.XX% X.XX%
Active return X.XX% X.XX%
Volatility X.XX% X.XX%
Sharpe ratio X.XX
Max drawdown X.XX%
Best period X.XX%
Worst period X.XX%

Step 8: Compliance Checks

Fund compliance (China):

Check Requirement Status
Investment scope Within mandate
Investment ratio Per fund contract
Concentration Single stock limit
Liquidity Liquid assets ratio
Leverage ratio Leverage limits
Related-party transactions Within limits
Valuation method Per regulations

Step 9: Reporting

NAV report format:

【净值报告】[Fund Name] [Date]
报告日期: YYYY年MM月DD日
单位净值: ¥X.XXXX
累计净值: ¥X.XXXX
日涨跌幅: +/-X.XX%

资产组合:
  股票投资: ¥XX亿 (XX%)
  债券投资: ¥XX亿 (XX%)
  现金及等价物: ¥XX亿 (XX%)
  其他: ¥XX亿 (XX%)
  合计: ¥XX亿

净值计算人: _________
复核人: _________

China-Specific Considerations

Fund Types

Type Regulation Valuation
Public fund (Public fund) CSRC Daily NAV
Private fund (Private fund) AMAC Weekly/Monthly
Securities firm asset management CSRC Per contract
Trust plans CBIRC Per contract
Insurance asset management CBIRC Per contract

Valuation Standards

Standard Source
Fund accounting Ministry of Finance / CSRC
Valuation guidelines AMAC
Securities investment funds Fund contract
Custody agreement Custodian bank

Common Issues

Issue Resolution
Valuation of suspended stocks AMAC guidelines
Foreign exchange conversion PBOC rate
Fee accrual Per fund contract
Dividend handling Ex-dividend adjustment

Quality Checks

Before finalizing:

  • All holdings priced correctly
  • Income and expenses accrued
  • Reconciliation complete
  • Performance calculated accurately
  • Compliance verified
  • Documentation complete
  • Sign-offs obtained

Data Source Mode Switch: Set env var IFIND_DATA_SOURCE_MODE to control data source preference.

  • ifind-only (strict): Use iFind only, error if unavailable
  • ifind-fallback (default): iFind preferred, fallback to AkShare
  • akshare-only: Skip iFind, use AkShare only
  • wind-only: Wind only, error if unavailable
  • wind-fallback: Wind first, fallback to iFind → AkShare