Chinabond Yield Curve Analytics Report of January 2008 · 2011. 3. 2. · Chinabond Yield Curve Analytics Report of January 2008 Zhang, Yongmin [email protected] +86 10 88088106

Chinabond Yield Curve Analytics

Report of January 2008

Zhang, Yongmin

[email protected]

+86 10 88088106

February 18, 2008

1

2 Chinabond Yield Curve Analytics

Contents

1 Fundamental Highlights 41.1 Breaking News in December 2007 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 41.2 Market Performance Highlights . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4

1.2.1 Money Market Performance . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 41.2.2 Stock Market Performance . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 51.2.3 Bond Market Performance . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 51.2.4 Market Watch . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6

1.3 Forward Expectation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 81.4 CPI Expectation of 2008 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8

1.4.1 History Path Forecast Method . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 81.4.2 Probability and Statistical Forecast Method . . . . . . . . . . . . . . . . . . . . . . . . . . 91.4.3 Probability and History Path Forecast Method . . . . . . . . . . . . . . . . . . . . . . . . 10

2 Macro Analytics 11

3 Money Market Analytics 123.1 Shibor Analytics . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12

3.1.1 Shibor Changes . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 123.1.2 Shibor Spread . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13

3.2 Repo Analytics . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 143.2.1 Repo Changes . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14

3.3 Repo, Shibor vs Central Bank Bill . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15

4 Interest Rate Swap Analytics (7d Repo as Benchmark) 164.1 IRS Changes . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 164.2 IRS Spread . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17

5 CDC Fixed-rate Bond Analytics 185.1 Treasury Bond . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 18

5.1.1 Treasury Bond Changes . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 185.1.2 Treasury Bond Spread . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 19

5.2 Central Bank Bill Analytics . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 205.3 Policy Bank Bond . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 21

5.3.1 Policy Bank Bond Changes . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 215.3.2 Policy Bank Bond Spread . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 22

5.4 Corporate Bond (AAA) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 235.4.1 Corporate Bond (AAA) Changes . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 235.4.2 Corporate Bond (AAA) Spread . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 24

5.5 ABS Bond (AAA) Changes . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 255.6 Commercial Paper (AAA) Analytics . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 26

6 CDC Floating-rate Bond Analytics 276.1 Treasury Floating-rate bond (1y) Changes . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 276.2 Policy bank Floating-rate bond (1y) Changes . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 286.3 Policy bank Floating-rate bond (R07D) Changes . . . . . . . . . . . . . . . . . . . . . . . . . . . 296.4 Policy bank Floating-rate bond (Shibor) Changes . . . . . . . . . . . . . . . . . . . . . . . . . . . 306.5 Corporate Floating-rate bond (1y-AAA) Changes . . . . . . . . . . . . . . . . . . . . . . . . . . . 316.6 ABS (1y-AAA) Changes . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 32

Copyright: Any information and data within this report may be freely distributed and copied. However, it is requested that in any subsequent use of this work,

the CGSDTC and author be given appropriate acknowledgment.

Disclaimer: All data used in this report are from the open source. For data and graphs available from this report, the CGSDTC and author does not warrant or

assume any legal liability or responsibility for the accuracy, completeness, or usefulness of any information, apparatus, product, or process disclosed. The views

and opinions of authors expressed on CGSDTC’s Web sites do not necessarily state or reflect those of the CGSDTC.


7 CDC Fixed-rate Yield Spread Analytics 337.1 Treasury bond vs Policy bank bond spread 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 337.2 Policy bank bond vs Central bank bill spread . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 347.3 Policy bank bond vs Corporate bond (AAA) spread . . . . . . . . . . . . . . . . . . . . . . . . . 357.4 Central bank bill vs Commercial paper(AAA) spread . . . . . . . . . . . . . . . . . . . . . . . . . 36

8 CDC Floating-rate Yield Spread Analytics 378.1 Floating-rate Policy bank bond (1y) vs Floating-rate Corporate bond AAA (1y) Changes . . . . 37

List of Figures

1 Bond Market/Data Source: www.chinabond.com.cn . . . . . . . . . . . . . . . . . . . . . . . . . . 42 Stock Market/Data Source: Wind . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 53 Bond Market/Data Source: www.chinabond.com.cn . . . . . . . . . . . . . . . . . . . . . . . . . . 54 Bond Market/Data Source: www.chinabond.com.cn . . . . . . . . . . . . . . . . . . . . . . . . . . 65 Bond Market/Data Source: www.chinabond.com.cn . . . . . . . . . . . . . . . . . . . . . . . . . . 76 Bond Market/Data Source: Bloomberg . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 77 Market outlook/Data Source: www.chinabond.com.cn . . . . . . . . . . . . . . . . . . . . . . . . 88 CPI expectation with history path method/Data Source: www.chinabond.com.cn . . . . . . . . . 89 CPI expectation with probability method/Data Source: www.chinabond.com.cn . . . . . . . . . . 910 CPI expectation with probability and history path method/Data Source: www.chinabond.com.cn 1011 Macro Analystics 1/Data Source: Wind . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1112 Shibor changes, bps/Data Source: www.shibor.org . . . . . . . . . . . . . . . . . . . . . . . . . . 1213 Shibor Analytics/Data Source: www.shibor.org . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1314 Repo changes,bps/Data Source: www.chinabond.com.cn . . . . . . . . . . . . . . . . . . . . . . . 1415 Repo vs Shibor Analytics/Data Source: www.chinabond.com.cn/www.shibor.org . . . . . . . . . 1516 CNY IRS changes/Data Source: Bloomberg . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1617 CNY IRS Spread, bps/Data Source: Bloomberg . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1718 Treasury bond changes,bps/Data Source: www.chinabond.com.cn . . . . . . . . . . . . . . . . . . 1819 Treasury bond analytics, bps/Data Source: www.chinabond.com.cn . . . . . . . . . . . . . . . . . 1920 Central bank bill analytics/Data Source: www.chinabond.com.cn . . . . . . . . . . . . . . . . . . 2021 Policy bank bond changes, bps/Data Source: www.chinabond.com.cn . . . . . . . . . . . . . . . . 2122 Policy bank bond analytics/Data Source: www.chinabond.com.cn . . . . . . . . . . . . . . . . . . 2223 Corporate bond (AAA) changes, bps/Data Source: www.chinabond.com.cn . . . . . . . . . . . . 2324 Corporate bond (AAA) analytics/Data Source: www.chinabond.com.cn . . . . . . . . . . . . . . 2425 ABS (AAA) analytics/Data Source: www.chinabond.com.cn . . . . . . . . . . . . . . . . . . . . . 2526 Commercial paper (AAA) analytics/Data Source: www.chinabond.com.cn . . . . . . . . . . . . . 2627 Treasury Floating-rate bond(1y) Changes, bps/Data Source: www.chinabond.com.cn . . . . . . . 2728 Policy bank Floating-rate bond (1y) Changes, bps/Data Source: www.chinabond.com.cn . . . . . 2829 Policy bank Floating-rate bond (R07D) Changes, bps/Data Source: www.chinabond.com.cn . . . 2930 Policy bank Floating-rate bond (Shibor) Changes, bps/Data Source: www.chinabond.com.cn . . 3031 Corporate Floating-rate bond (1y-AAA) Changes, bps/Data Source: www.chinabond.com.cn . . 3132 Corporate Floating-rate bond (1y-AAA) Changes, bps/Data Source: www.chinabond.com.cn . . 3233 Policy Bank Bond vs Treasury Bond Spread, bps/Data Source: www.chinabond.com.cn . . . . . 3334 Policy Bank Bond vs Central Bank Bill Spread, bps/Data Source: www.chinabond.com.cn . . . . 3435 Policy Bank Bond vs Corporate Bond (AAA) Spread, bps/Data Source: www.chinabond.com.cn 3536 Central Bank Bill vs Commercial Paper(AAA) Spread, bps/Data Source: www.chinabond.com.cn 3637 Floating-rate Policy bank bond (1y) vs Floating-rate Corporate bond AAA (1y) Spread, bps . . 37







1 Fundamental Highlights

1.1 Breaking News in December 2007

• On January 3, 2008, the information from the third annual central bank meeting indicated that the centralbank of China would provide the direct financing tool — 3 year to 5 year commercial notes.

• On January 9, 2008, The China Insurance Regulatory Commission suggested that the insurance companymay invest no more than 2% of last year total assets on ABS products with credit rating AA or above.

• On January 13, 2008, The People’s Bank of China disclosed the financial data report of December 2007.The report stated that, to the end of November, the M2 surplus was 40340 billions RMB and its growthrate is 16.72%, which is 0.72% higher than that of the central bank whole year control objective and 1.73%lower than that of last month.

• On January 16, 2008, The People’s Bank of China disclosed the financial data report of 2007. The reportstated that, the M2 surplus growth rate of 2007 is 17.5%, the M1 surplus growth rate of 2007 is 21% andthe loans surplus growth rate of 2007 is 16.73%.

• On January 25, 2008, The People’s Bank of China promoted the central reserve rate to 15%.

1.2 Market Performance Highlights

1.2.1 Money Market Performance

Figure 1: Bond Market/Data Source: www.chinabond.com.cn






http://www.chinabond.com.cn/cb/en/marketdata/hqtj_chart.jsp?sLmId=147&yqlx=01&yqYear=2007&yqMonth=12&yqDay=17&yb_id=zyshg_pjll&yb_name=zyshg_pjll&yb_lx=&yb_rq=&syqzqdm=&sPageType=6


1.2.2 Stock Market Performance

To get a big idea of China Stock situation, we use the China Shanghai Exchange stock A index data as follows.

S h a n g H a i E x c h a n g e S t o c k A I n d e x

4 0 0 0

4 5 0 0

5 0 0 0

5 5 0 0

6 0 0 0

07-08

07-08

07-08

07-09

07-09

07-10

07-10

07-11

07-11

07-12

07-12

08-01

08-01

08-01

Figure 2: Stock Market/Data Source: Wind

1.2.3 Bond Market Performance

For the bond market of China, we use the ChinaBond Treasury Bond Aggregate Index to express her recentlyperformance. On January 2008, the ChinaBond Treasury Bond Aggregate Index has been increasing with aaccelerated speed, which can be concluded from the below table and graph.







http://indices.chinabond.cn/cbweb/index.htm?lx=zs



1.2.4 Market Watch

• Liquidity Performance

– One measurement of excess liquidity is the year to year M2 growth rate adjusted by short timedeposit rate minus the year to year GDP growth rate, which could imply the trends of the capitalmarket. Under the assumption of the GDP of 2007 be 11.4% and CPI of 2007 be 4.8%, to the endof 2007, we can see the excess liquidity level is lower than that of 2006 whole year. For right level ofliquidity, the below data implies that the short time deposit rate should be around 5.32%.

E x c e s s L i q u i d i t y

0

1

2

3

4

5

6

7

8

9

2000 2001 2002 2003 2004 2005 2006 2007

%

m2-gdp-3m CD m2-gdp-6m CD m2-gdp-12m CD m2-gdp-CPI

M a i n I n d i c a t o r s ' T r e n d s

- 5

0

5

1 0

1 5

2 0

2 5

1 9 9 6 1 9 9 7 1 9 9 8 1 9 9 9 2 0 0 0 2 0 0 1 2 0 0 2 2 0 0 3 2 0 0 4 2 0 0 5 2 0 0 6 2 0 0 7

G D P g r o w t h r a t e M 2 g r o w t h r a t e C P I g r o w t h r a t e

3 m C D 6 m C D 1 2 m C D









• Yield Curve Slope Performance

– One well-used foregoing economic indicator is the treasury yield curve slope. From the shape of theyield slope as below, the yield curve is going to be flat, which implies that the short term treasuryyield may reach new high level or the lont term treasury yield may reach new low level within thevery short term (i. e. within 3 months) and drop to normal shape within the middle term (i. e. 6month to 12 month).

Treasury Yield Slope

-1

0

1

2

3

4

5

6

2007-05-08

2007-05-16

2007-05-24

2007-06-01

2007-06-11

2007-06-19

2007-06-27

2007-07-05

2007-07-13

2007-07-23

2007-07-31

2007-08-08

2007-08-16

2007-08-24

2007-09-03

2007-09-11

2007-09-19

2007-09-27

2007-10-10

2007-10-18

2007-10-26

2007-11-05

2007-11-13

2007-11-21

2007-11-29

2007-12-07

2007-12-17

2007-12-25

2008-01-03

2008-01-11

2008-01-21

2008-01-29

tbond10y2msprd tbond10y tbond2mon


– Another well-used foregoing economic indicator is the interest rate swap yield curve slope. From theshape of the yield slope as below, the yield curve is going to be flat, which implies that the shortterm treasury yield will reach new high level within the very short term (i. e. within 3 months) anddrop to normal shape within the middle term (i. e. 6 month to 12 month).

CNY IRS (7dRepo) Curve Slope (%)

0.00

1.00

2.00

3.00

4.00

5.00

6.00

2007-01-04

2007-01-18

2007-02-01

2007-02-15

2007-03-01

2007-03-15

2007-03-29

2007-04-12

2007-04-26

2007-05-10

2007-05-24

2007-06-07

2007-06-21

2007-07-05

2007-07-19

2007-08-02

2007-08-16

2007-08-30

2007-09-13

2007-09-27

2007-10-11

2007-10-25

2007-11-08

2007-11-22

2007-12-06

2007-12-20

2008-01-03

2008-01-17

10y3msprd 10y 3m

Figure 6: Bond Market/Data Source: Bloomberg









1.3 Forward Expectation

Figure 7: Market outlook/Data Source: www.chinabond.com.cn

1.4 CPI Expectation of 2008

1.4.1 History Path Forecast Method

Figure 8: CPI expectation with history path method/Data Source: www.chinabond.com.cn







1.4.2 Probability and Statistical Forecast Method

Figure 9: CPI expectation with probability method/Data Source: www.chinabond.com.cn







1.4.3 Probability and History Path Forecast Method

Figure 10: CPI expectation with probability and history path method/Data Source: www.chinabond.com.cn







2 Macro Analytics

CPI GROWTH RATE

-5

0

5

10

15

20

02-03

02-06

02-09

02-12

03-03

03-06

03-09

03-12

04-03

04-06

04-09

04-12

05-03

05-06

05-09

05-12

06-03

06-06

06-09

06-12

07-03

07-06

07-09

CPI(%) CPI-NON FOOD(%) CPI-FOOD(%)

CPI/PPI

-6

-4

-2

0

2

4

6

8

10

99-01

99-05

99-09

00-01

00-05

00-09

01-01

01-05

01-09

02-01

02-05

02-09

03-01

03-05

03-09

04-01

04-05

04-09

05-01

05-05

05-09

06-01

06-05

06-09

07-01

07-05

07-09

PPI-CPI PPI(%) CPI(%)

M1/M2/LOANS GROWTH RATE

0

5

10

15

20

25

30

01-01

01-04

01-07

01-10

02-01

02-04

02-07

02-10

03-01

03-04

03-07

03-10

04-01

04-04

04-07

04-10

05-01

05-04

05-07

05-10

06-01

06-04

06-07

06-10

07-01

07-04

07-07

07-10

08-01

LOANS SURPLUS GROWTH RATE(%) M1 GROWTH RATE (%) M2 GROWTH RATE (%)

Open Market Operations

-6000

-4000

-2000

0

2000

4000

6000

03-03

03-05

03-07

03-09

03-11

04-01

04-03

04-05

04-07

04-09

04-11

05-01

05-03

05-05

05-07

05-09

05-11

06-01

06-03

06-05

06-07

06-09

06-11

07-01

07-03

07-05

07-07

07-09

07-11

Buy/Sell Operations

Real Estate Investment Growth Rate (%)

0

10

20

30

40

50

60

02-07

03-01

03-08

04-03

04-09

05-04

05-10

06-05

06-11

07-06

08-01

GDP GROWTH RATE (%)

0

2

4

6

8

10

12

14

94-04

95-09

97-01

98-06

99-10

01-02

02-07

03-11

05-04

06-08

08-01

GDP GROWTH RATE (%)

Trade Balance vs Foreign Reserves

-100

-50

0

50

100

150

200

250

300

95-01

95-07

96-01

96-07

97-01

97-07

98-01

98-07

99-01

99-07

00-01

00-07

01-01

01-07

02-01

02-07

03-01

03-07

04-01

04-07

05-01

05-07

06-01

06-07

07-01

07-07

0

2000

4000

6000

8000

10000

12000

14000

16000

18000

Trade Balance (100 Millions USD) Foreign Reserves (100 Millions USD)

FX Rate: RMB/USD

7

7.2

7.4

7.6

7.8

8

8.2

05-07

05-08

05-09

05-10

05-11

05-12

06-01

06-02

06-03

06-04

06-05

06-06

06-07

06-08

06-09

06-10

06-11

06-12

07-01

07-02

07-03

07-04

07-05

07-06

07-07

07-08

07-09

07-10

07-11

07-12

08-01

Figure 11: Macro Analystics 1/Data Source: Wind







3 Money Market Analytics

3.1 Shibor Analytics

3.1.1 Shibor Changes

Shibor Curves, 3m ago, 1m ago, 1w ago, current

0

1

2

3

4

5

6

O/N 1W 2W 1M 3M 6M 9M 1Y

(%)

3m ago 1m ago 1w ago current

Shibor Tenors

0

2

4

6

8

10

12

14

16

07-08

07-08

07-08

07-08

07-08

07-09

07-09

07-09

07-09

07-10

07-10

07-10

07-10

07-10

07-11

07-11

07-11

07-11

07-12

07-12

07-12

07-12

08-01

08-01

08-01

08-01

08-01

Date

(%)

O/N 1W 2W 1M 3M 6M 9M 1Y

Shibor 1 week changes, bps

-250

-200

-150

-100

-50

0

50

O/N 1W 2W 1M 3M 6M 9M 1Y

1 week changes, bps

Shibor 1 month changes, bps

-40

-20

0

20

40

60

80

O/N 1W 2W 1M 3M 6M 9M 1Y

1 month changes, bps


-100

-80

-60

-40

-20

0

20

40

60

80

O/N 1W 2W 1M 3M 6M 9M 1Y



0

20

40

60

80

100

120

140

O/N 1W 2W 1M 3M 6M 9M 1Y


Figure 12: Shibor changes, bps/Data Source: www.shibor.org






http://www.shibor.org/shibor/web/html/index.html


3.1.2 Shibor Spread

Shibor 6m vs 1m and 3m,bps

-600

-500

-400

-300

-200

-100

0

100

200

07-08

07-08

07-08

07-08

07-08

07-09

07-09

07-09

07-09

07-10

07-10

07-10

07-10

07-10

07-11

07-11

07-11

07-11

07-12

07-12

07-12

07-12

08-01

08-01

08-01

08-01

08-01

6m 1m sprd 6m 3m sprd


-500

-400

-300

-200

-100

0

100

200

07-08

07-08

07-08

07-08

07-08

07-09

07-09

07-09

07-09

07-10

07-10

07-10

07-10

07-10

07-11

07-11

07-11

07-11

07-12

07-12

07-12

07-12

08-01

08-01

08-01

08-01

08-01



0

5

1015

20

25

30

3540

45

50

07-08

07-08

07-08

07-08

07-08

07-09

07-09

07-09

07-09

07-10

07-10

07-10

07-10

07-10

07-11

07-11

07-11

07-11

07-12

07-12

07-12

07-12

08-01

08-01

08-01

08-01

08-01



-500

-400

-300

-200

-100

0

100

200

07-08

07-08

07-08

07-08

07-08

07-09

07-09

07-09

07-09

07-10

07-10

07-10

07-10

07-10

07-11

07-11

07-11

07-11

07-12

07-12

07-12

07-12

08-01

08-01

08-01

08-01

08-01


Figure 13: Shibor Analytics/Data Source: www.shibor.org






http://www.shibor.org/shibor/web/html/index.html


3.2 Repo Analytics

3.2.1 Repo Changes

Repo Curves, 3m ago, 1m ago, 1w ago, current

0

1

2

3

4

5

6

O/N 1W 2W 1M 3M

%

3M 1M 1W Current

Repo Tenors

0

2

4

6

8

10

12

14

16

07-08

07-08

07-08

07-08

07-08

07-09

07-09

07-09

07-09

07-10

07-10

07-10

07-10

07-10

07-11

07-11

07-11

07-11

07-12

07-12

07-12

07-12

08-01

08-01

08-01

08-01

08-01

Date(%)

R01D R07D R14D R01M R03M

Repo 1 week changes, bps

-250

-200

-150

-100

-50

0

50

O/N 1W 2W 1M

1 week changes, bps

Repo 1 month changes, bps

-120

-100

-80

-60

-40

-20

0

20

40

60

O/N 1W 2W 1M



-100

-80

-60

-40

-20

0

20

O/N 1W 2W 1M



0

10

20

30

40

50

60

70

80

O/N 1W 2W 1M


Figure 14: Repo changes,bps/Data Source: www.chinabond.com.cn






http://yield.chinabond.cn/cbweb/index.htm?lx=yc


3.3 Repo, Shibor vs Central Bank Bill

Shibor O/N vs Repo O/N (%)

0123456789

10

2007-08-01

2007-08-08

2007-08-15

2007-08-22

2007-08-29

2007-09-05

2007-09-12

2007-09-19

2007-09-26

2007-10-03

2007-10-10

2007-10-17

2007-10-24

2007-10-31

2007-11-07

2007-11-14

2007-11-21

2007-11-28

2007-12-05

2007-12-12

2007-12-19

2007-12-26

2008-01-02

2008-01-09

2008-01-16

2008-01-23

2008-01-30

O/N Repo O/N Shibor

Repo,Shibor vs Central Bill Current (%)

1.8

2.3

2.8

3.3

3.8

4.3

4.8

5.3

5.8

O/N 1W 2W 1M 3M 6M 9M 1Y

Repo Shibor Central Bill

Shibor 1w vs Repo 1w (%)

0

2

4

6

8

10

12

2007-08-01

2007-08-08

2007-08-15

2007-08-22

2007-08-29

2007-09-05

2007-09-12

2007-09-19

2007-09-26

2007-10-03

2007-10-10

2007-10-17

2007-10-24

2007-10-31

2007-11-07

2007-11-14

2007-11-21

2007-11-28

2007-12-05

2007-12-12

2007-12-19

2007-12-26

2008-01-02

2008-01-09

2008-01-16

2008-01-23

2008-01-30

1W Repo 1W Shibor

Repo,Shibor vs Central Bill 1w ago (%)

1.8

2.3

2.8

3.3

3.8

4.3

4.8

5.3

5.8

O/N 1W 2W 1M 3M 6M 9M 1Y


Shibor 2w vs Repo 2w (%)

02

46

810

1214

16

2007-08-01

2007-08-08

2007-08-15

2007-08-22

2007-08-29

2007-09-05

2007-09-12

2007-09-19

2007-09-26

2007-10-03

2007-10-10

2007-10-17

2007-10-24

2007-10-31

2007-11-07

2007-11-14

2007-11-21

2007-11-28

2007-12-05

2007-12-12

2007-12-19

2007-12-26

2008-01-02

2008-01-09

2008-01-16

2008-01-23

2008-01-30

2W Repo 2W Shibor

Repo,Shibor vs Central Bill 1m ago (%)

2

2.5

3

3.5

4

4.5

5

O/N 1W 2W 1M 3M 6M 9M 1Y


Shibor 1m vs Repo 1m (%)

0123456789

10

2007-08-01

2007-08-08

2007-08-15

2007-08-22

2007-08-29

2007-09-05

2007-09-12

2007-09-19

2007-09-26

2007-10-03

2007-10-10

2007-10-17

2007-10-24

2007-10-31

2007-11-07

2007-11-14

2007-11-21

2007-11-28

2007-12-05

2007-12-12

2007-12-19

2007-12-26

2008-01-02

2008-01-09

2008-01-16

2008-01-23

2008-01-30

1M Repo 1M Shibor

Repo,Shibor vs Central Bill 3m ago (%)

1.8

2.3

2.8

3.3

3.8

4.3

4.8

5.3

O/N 1W 2W 1M 3M 6M 9M 1Y


Figure 15: Repo vs Shibor Analytics/Data Source: www.chinabond.com.cn/www.shibor.org








4 Interest Rate Swap Analytics (7d Repo as Benchmark)

4.1 IRS Changes

CNY IRS(7dRepo) CURVES (%)

2.75

3.25

3.75

4.25

4.75

5.25

3m 6m 9m 1y 2y 3y 4y 5y 6y 7y 8y 9y 10y

08-1-29 08-1-22 07-12-28 07-10-31 07-8-31

CNY IRS(7dRepo) Tenors (%)

2.0000

2.5000

3.0000

3.5000

4.0000

4.5000

5.0000

2007-01-04

2007-01-18

2007-02-01

2007-02-15

2007-03-01

2007-03-15

2007-03-29

2007-04-12

2007-04-26

2007-05-10

2007-05-24

2007-06-07

2007-06-21

2007-07-05

2007-07-19

2007-08-02

2007-08-16

2007-08-30

2007-09-13

2007-09-27

2007-10-11

2007-10-25

2007-11-08

2007-11-22

2007-12-06

2007-12-20

2008-01-03

2008-01-17

3m 6m 9m 1y 2y 3y 4y 5y 6y 7y 8y 9y 10y

CNY IRS (7dRepo) 1W Changes

-45.00

-40.00

-35.00

-30.00

-25.00

-20.00

-15.00

-10.00

-5.00

0.00

3m 6m 9m 1y 2y 3y 4y 5y 6y 7y 8y 9y 10y

1 week changes, bps

CNY IRS (7dRepo) 1M Changes

-70.00

-60.00

-50.00

-40.00

-30.00

-20.00

-10.00

0.00

3m 6m 9m 1y 2y 3y 4y 5y 6y 7y 8y 9y 10y



-100.00

-80.00

-60.00

-40.00

-20.00

0.00

3m 6m 9m 1y 2y 3y 4y 5y 6y 7y 8y 9y 10y



-120.00

-100.00

-80.00

-60.00

-40.00

-20.00

0.00

20.00

40.00

60.00

3m 6m 9m 1y 2y 3y 4y 5y 6y 7y 8y 9y 10y


Figure 16: CNY IRS changes/Data Source: Bloomberg






http://www.bloomberg.com/


4.2 IRS Spread

CNY IRS (7dRepo), 10y vs 3m and 6m Spread (bps)

0.00

50.00

100.00

150.00

200.00

250.00

07-01

07-02

07-03

07-04

07-05

07-06

07-07

07-08

07-09

07-10

07-11

07-12

08-01

IRS10yvs3mSprd IRS10yvs6mSprd

CNY IRS (7dRepo), 2y vs 1y Spread (bps)

0.00

10.00

20.00

30.00

40.00

50.00

60.00

07-01

07-02

07-03

07-04

07-05

07-06

07-07

07-08

07-09

07-10

07-11

07-12

08-01

IRS2yvs1ySprd

CNY IRS (7dRepo), 10y vs 2y and 1y Spread (bps)

0.00

20.00

40.00

60.00

80.00

100.00

120.00

140.00

160.00

180.00

200.00

07-01

07-02

07-03

07-04

07-05

07-06

07-07

07-08

07-09

07-10

07-11

07-12

08-01

IRS10yvs1ySprd IRS10yvs2ySprd


0.00

20.00

40.00

60.00

80.00

100.00

120.00

140.00

160.00

07-01

07-02

07-03

07-04

07-05

07-06

07-07

07-08

07-09

07-10

07-11

07-12

08-01



-20.00

-10.00

0.00

10.00

20.00

30.00

40.00

50.00

60.00

70.00

80.00

07-01

07-02

07-03

07-04

07-05

07-06

07-07

07-08

07-09

07-10

07-11

07-12

08-01


C N Y I R S ( 7 d R e p o ) , 7 y v s 5 y , 2 y a n d 1 y S p r e a d ( b p s )

-50.00

0.00

50.00

100.00

150.00

200.00

07-01

07-02

07-03

07-04

07-05

07-06

07-07

07-08

07-09

07-10

07-11

07-12

08-01

IRS7yvs1ySprd IRS7yvs2ySprd IRS7yvs5ySprd

Figure 17: CNY IRS Spread, bps/Data Source: Bloomberg






http://www.bloomberg.com/


5 CDC Fixed-rate Bond Analytics

5.1 Treasury Bond

5.1.1 Treasury Bond Changes

Treasury Bond 1w changes,bps

-15

-10

-5

0

5

10

0 0.17 0.25 0.5 0.75 1 2 3 5 7 10 15 20 30

1w changes,bps

Treasury Bond 1m changes,bps

-40

-35

-30-25

-20

-15

-10

-50

5

10

0 0.17 0.25 0.5 0.75 1 2 3 5 7 10 15 20 30

1m changes,bps

T r e a s u r y B o n d 3 m c h a n g e s , b p s

- 1 2 0

- 1 0 0

- 8 0

- 6 0

- 4 0

- 2 0

0

2 0

4 0

0 0 . 1 7 0 . 2 5 0 . 5 0 . 7 5 1 2 3 5 7 1 0 1 5 2 0 3 0

3 m c h a n g e s , b p s

Treasury Bond 6m changes,bps

-60

-40

-20

0

20

40

60

80

100

0 0.17 0.25 0.5 0.75 1 2 3 5 7 10 15 20 30

6m changes,bps

Figure 18: Treasury bond changes,bps/Data Source: www.chinabond.com.cn







19

Chin

abond

Yield

Curv

eA

naly

tics

5.1

.2Tre

asu

ryB

ond

Spre

ad

Treasury

Bond

10y

vs

2m

and

3m

sprd

-100

-50 0

50

100

150

200

250

2007-08-01

2007-08-08

2007-08-15

2007-08-22

2007-08-29

2007-09-05

2007-09-12

2007-09-19

2007-09-26

2007-10-08

2007-10-15

2007-10-22

2007-10-29

2007-11-05

2007-11-12

2007-11-19

2007-11-26

2007-12-03

2007-12-10

2007-12-17

2007-12-24

2007-12-29

2008-01-08

2008-01-15

2008-01-22

2008-01-29

Date

bps

tbond10y2msprd

tbond10y3msprd

Treasury

Bond

10y

vs

1y

and

2y

sprd

0

20

40

60

80

100

120

140

160

2007-08-01

2007-08-08

2007-08-15

2007-08-22

2007-08-29

2007-09-05

2007-09-12

2007-09-19

2007-09-26

2007-10-08

2007-10-15

2007-10-22

2007-10-29

2007-11-05

2007-11-12

2007-11-19

2007-11-26

2007-12-03

2007-12-10

2007-12-17

2007-12-24

2007-12-29

2008-01-08

2008-01-15

2008-01-22

2008-01-29

Date

bps

tbond10y1ysprd

tbond10y2ysprd

Treasury

Bond

5y

vs

1y,

2y

and

3y

sprd

0

20

40

60

80

100

120

2007-08-01

2007-08-07

2007-08-13

2007-08-17

2007-08-23

2007-08-29

2007-09-04

2007-09-10

2007-09-14

2007-09-20

2007-09-26

2007-09-30

2007-10-11

2007-10-17

2007-10-23

2007-10-29

2007-11-02

2007-11-08

2007-11-14

2007-11-20

2007-11-26

2007-11-30

2007-12-06

2007-12-12

2007-12-18

2007-12-24

2007-12-28

2008-01-04

2008-01-10

2008-01-16

2008-01-22

2008-01-28

Date

bps

tbond5y1ysprd

tbond5y2ysprd

tbond5y3ysprd

Treasury

Bond

10y

vs

5y

and

7y

sprd

0

10

20

30

40

50

60

70

80

2007-08-01

2007-08-08

2007-08-15

2007-08-22

2007-08-29

2007-09-05

2007-09-12

2007-09-19

2007-09-26

2007-10-08

2007-10-15

2007-10-22

2007-10-29

2007-11-05

2007-11-12

2007-11-19

2007-11-26

2007-12-03

2007-12-10

2007-12-17

2007-12-24

2007-12-29

2008-01-08

2008-01-15

2008-01-22

2008-01-29

Date

bps

tbond10y5ysprd

tbond10y7ysprd

Treasury

Bond

7y

vs

1y,

2y

and

5y

sprd

0

20

40

60

80

100

120

140

160

180

2007-08-01

2007-08-08

2007-08-15

2007-08-22

2007-08-29

2007-09-05

2007-09-12

2007-09-19

2007-09-26

2007-10-08

2007-10-15

2007-10-22

2007-10-29

2007-11-05

2007-11-12

2007-11-19

2007-11-26

2007-12-03

2007-12-10

2007-12-17

2007-12-24

2007-12-29

2008-01-08

2008-01-15

2008-01-22

2008-01-29

Date

bps

tbond7y1ysprd

tbond7y2ysprd

tbond7y5ysprd

Treasury

Bond

15y

vs

5y,

7y

and

10y

sprd

0

10

20

30

40

50

60

70

80

90

2007-08-01

2007-08-08

2007-08-15

2007-08-22

2007-08-29

2007-09-05

2007-09-12

2007-09-19

2007-09-26

2007-10-08

2007-10-15

2007-10-22

2007-10-29

2007-11-05

2007-11-12

2007-11-19

2007-11-26

2007-12-03

2007-12-10

2007-12-17

2007-12-24

2007-12-29

2008-01-08

2008-01-15

2008-01-22

2008-01-29

Date

bps

tbond15y5ysprd

tbond15y7ysprd

tbond15y10ysprd

Treasury

Bond

20y

vs

7y,

10y

and

15y

sprd

0

10

20

30

40

50

60

70

2007-08-01

2007-08-08

2007-08-15

2007-08-22

2007-08-29

2007-09-05

2007-09-12

2007-09-19

2007-09-26

2007-10-08

2007-10-15

2007-10-22

2007-10-29

2007-11-05

2007-11-12

2007-11-19

2007-11-26

2007-12-03

2007-12-10

2007-12-17

2007-12-24

2007-12-29

2008-01-08

2008-01-15

2008-01-22

2008-01-29

Date

bps

tbond20y7ysprd

tbond20y10ysprd

tbond20y15ysprd

Treasury

Bond

30y

vs

10y,

15y

and

20y

sprd

0

10

20

30

40

50

60

2007-08-01

2007-08-07

2007-08-13

2007-08-17

2007-08-23

2007-08-29

2007-09-04

2007-09-10

2007-09-14

2007-09-20

2007-09-26

2007-09-30

2007-10-11

2007-10-17

2007-10-23

2007-10-29

2007-11-02

2007-11-08

2007-11-14

2007-11-20

2007-11-26

2007-11-30

2007-12-06

2007-12-12

2007-12-18

2007-12-24

2007-12-28

2008-01-04

2008-01-10

2008-01-16

2008-01-22

2008-01-28

Date

bps

tbond30y10ysprd

tbond30y15ysprd

tbond30y20ysprd

Fig

ure

19:Trea

sury

bond

analy

tics,bps/

Data

Source:

ww

w.ch

inabond.co

m.cn

Copyrig

ht:

Any

info

rm

atio

nand

data

within

this

report

may

be

freely

dis

trib

uted

and

copie

d.

However,it

isrequested

that

inany

subsequent

use

ofthis

work,

the

CG

SD

TC

and

author

be

giv

en

appropria

te

acknow

ledgm

ent.

Dis

cla

imer:

All

data

used

inthis

report

are

from

the

open

source.

For

data

and

graphs

availa

ble

from

this

report,the

CG

SD

TC

and

author

does

not

warrant

or

assum

eany

legallia

bilit

yor

responsib

ility

for

the

accuracy,com

ple

teness,or

usefu

lness

ofany

info

rm

atio

n,apparatus,product,or

process

dis

clo

sed.

The

vie

ws

and

opin

ions

ofauthors

expressed

on

CG

SD

TC

’sW

eb

sites

do

not

necessarily

state

or

refle

ct

those

ofthe

CG

SD

TC

.



5.2 Central Bank Bill Analytics

Central Bank Bill 1w changes,bps

-200

-150

-100

-50

0

50

0 0.02 0.04 0.08 0.17 0.25 0.5 0.75 1 2 3

1w changes,bps

Central Bank Bill 9m vs 1m and 2m sprd

-600

-500

-400

-300

-200

-100

0

100

200

2007-08-01

2007-08-08

2007-08-15

2007-08-22

2007-08-29

2007-09-05

2007-09-12

2007-09-19

2007-09-26

2007-10-08

2007-10-15

2007-10-22

2007-10-29

2007-11-05

2007-11-12

2007-11-19

2007-11-26

2007-12-03

2007-12-10

2007-12-17

2007-12-24

2007-12-29

2008-01-08

2008-01-15

2008-01-22

2008-01-29

Date

bps

cbill9m1msprd cbill9m2msprd

Central Bank Bill 1m changes,bps

-40

-30

-20

-10

0

10

20

30

1 2 3 4 5 6 7 8 9 10 11

1m changes,bps

Central Bank Bill 12m vs 3m and 6m sprd

-150

-100

-50

0

50

100

2007-08-01

2007-08-08

2007-08-15

2007-08-22

2007-08-29

2007-09-05

2007-09-12

2007-09-19

2007-09-26

2007-10-08

2007-10-15

2007-10-22

2007-10-29

2007-11-05

2007-11-12

2007-11-19

2007-11-26

2007-12-03

2007-12-10

2007-12-17

2007-12-24

2007-12-29

2008-01-08

2008-01-15

2008-01-22

2008-01-29

Date

bps

cbill12m3msprd cbill12m6msprd


-120

-100

-80

-60

-40

-20

0

20

40

60

1 2 3 4 5 6 7 8 9 10 11

3m changes,bps

Central Bank Bill 3y vs 2m and 3m sprd

-250

-200

-150

-100

-50

0

50

100

150

200

2007-08-01

2007-08-08

2007-08-15

2007-08-22

2007-08-29

2007-09-05

2007-09-12

2007-09-19

2007-09-26

2007-10-08

2007-10-15

2007-10-22

2007-10-29

2007-11-05

2007-11-12

2007-11-19

2007-11-26

2007-12-03

2007-12-10

2007-12-17

2007-12-24

2007-12-29

2008-01-08

2008-01-15

2008-01-22

2008-01-29

Date

bps

cbill3y2msprd cbill3y3msprd


-10

0

10

20

3040

50

60

70

80

90

1 2 3 4 5 6 7 8 9 10 11

6m changes,bps

Central Bank Bill 3y vs 1y and 2y sprd

0

10

20

30

40

50

60

70

2007-08-01

2007-08-07

2007-08-13

2007-08-17

2007-08-23

2007-08-29

2007-09-04

2007-09-10

2007-09-14

2007-09-20

2007-09-26

2007-09-30

2007-10-11

2007-10-17

2007-10-23

2007-10-29

2007-11-02

2007-11-08

2007-11-14

2007-11-20

2007-11-26

2007-11-30

2007-12-06

2007-12-12

2007-12-18

2007-12-24

2007-12-28

2008-01-04

2008-01-10

2008-01-16

2008-01-22

2008-01-28

Date

bps

cbill3y1ysprd cbill3y2ysprd

Figure 20: Central bank bill analytics/Data Source: www.chinabond.com.cn








5.3 Policy Bank Bond

5.3.1 Policy Bank Bond Changes

Policy Bank Bond 1w changes,bps

-14

-12

-10-8

-6

-4

-2

02

4

6

0 0.17 0.25 0.5 0.75 1 2 3 5 7 10 15 20 30

1w changes,bps

Policy Bank Bond 1m changes,bps

-40

-30

-20

-10

0

10

20

30

0 0.17 0.25 0.5 0.75 1 2 3 5 7 10 15 20 30

1m changes,bps


-120

-100

-80

-60

-40

-20

0

20

40

60

0 0.17 0.25 0.5 0.75 1 2 3 5 7 10 15 20 30

3m changes,bps


-60

-40

-20

0

20

40

60

80

100

0 0.17 0.25 0.5 0.75 1 2 3 5 7 10 15 20 30

6m changes,bps

Figure 21: Policy bank bond changes, bps/Data Source: www.chinabond.com.cn







22

Chin

abond

Yield

Curv

eA

naly

tics

5.3

.2Polic

yB

ank

Bond

Spre

ad

Policy

Bank

Bond

10y

vs

2m

and

3m

sprd

-200

-150

-100

-50 0

50

100

150

200

250

2007-08-01

2007-08-08

2007-08-15

2007-08-22

2007-08-29

2007-09-05

2007-09-12

2007-09-19

2007-09-26

2007-10-08

2007-10-15

2007-10-22

2007-10-29

2007-11-05

2007-11-12

2007-11-19

2007-11-26

2007-12-03

2007-12-10

2007-12-17

2007-12-24

2007-12-29

2008-01-08

2008-01-15

2008-01-22

2008-01-29

Date

bps

fbond10y2msprd

fbond10y3msprd

Policy

Bank

Bond

10y

vs

1y

and

2y

sprd

0

20

40

60

80

100

120

140

160

2007-08-01

2007-08-08

2007-08-15

2007-08-22

2007-08-29

2007-09-05

2007-09-12

2007-09-19

2007-09-26

2007-10-08

2007-10-15

2007-10-22

2007-10-29

2007-11-05

2007-11-12

2007-11-19

2007-11-26

2007-12-03

2007-12-10

2007-12-17

2007-12-24

2007-12-29

2008-01-08

2008-01-15

2008-01-22

2008-01-29

Date

bps

fbond10y1ysprd

fbond10y2ysprd

Policy

Bank

Bond

5y

vs

1y,

2y

and

3y

sprd

0

20

40

60

80

100

120

2007-08-01

2007-08-07

2007-08-13

2007-08-17

2007-08-23

2007-08-29

2007-09-04

2007-09-10

2007-09-14

2007-09-20

2007-09-26

2007-09-30

2007-10-11

2007-10-17

2007-10-23

2007-10-29

2007-11-02

2007-11-08

2007-11-14

2007-11-20

2007-11-26

2007-11-30

2007-12-06

2007-12-12

2007-12-18

2007-12-24

2007-12-28

2008-01-04

2008-01-10

2008-01-16

2008-01-22

2008-01-28

Date

bps

fbond5y1ysprd

fbond5y2ysprd

fbond5y3ysprd

Policy

Bank

Bond

10y

vs

5y

and

7y

sprd

0

10

20

30

40

50

60

70

2007-08-01

2007-08-08

2007-08-15

2007-08-22

2007-08-29

2007-09-05

2007-09-12

2007-09-19

2007-09-26

2007-10-08

2007-10-15

2007-10-22

2007-10-29

2007-11-05

2007-11-12

2007-11-19

2007-11-26

2007-12-03

2007-12-10

2007-12-17

2007-12-24

2007-12-29

2008-01-08

2008-01-15

2008-01-22

2008-01-29

Date

bps

fbond10y5ysprd

fbond10y7ysprd

Policy

Bank

Bond

7y

vs

1y,

2y

and

5y

sprd

0

20

40

60

80

100

120

140

2007-08-01

2007-08-08

2007-08-15

2007-08-22

2007-08-29

2007-09-05

2007-09-12

2007-09-19

2007-09-26

2007-10-08

2007-10-15

2007-10-22

2007-10-29

2007-11-05

2007-11-12

2007-11-19

2007-11-26

2007-12-03

2007-12-10

2007-12-17

2007-12-24

2007-12-29

2008-01-08

2008-01-15

2008-01-22

2008-01-29

Date

bps

fbond7y1ysprd

fbond7y2ysprd

fbond7y5ysprd

Policy

Bank

Bond

15y

vs

5y,

7y

and

10y

sprd

0

10

20

30

40

50

60

70

80

2007-08-01

2007-08-08

2007-08-15

2007-08-22

2007-08-29

2007-09-05

2007-09-12

2007-09-19

2007-09-26

2007-10-08

2007-10-15

2007-10-22

2007-10-29

2007-11-05

2007-11-12

2007-11-19

2007-11-26

2007-12-03

2007-12-10

2007-12-17

2007-12-24

2007-12-29

2008-01-08

2008-01-15

2008-01-22

2008-01-29

Date

bps

fbond15y5ysprd

fbond15y7ysprd

fbond15y10ysprd

Policy

Bank

Bond

20y

vs

7y,

10y

and

15y

sprd

0

10

20

30

40

50

60

70

2007-08-01

2007-08-08

2007-08-15

2007-08-22

2007-08-29

2007-09-05

2007-09-12

2007-09-19

2007-09-26

2007-10-08

2007-10-15

2007-10-22

2007-10-29

2007-11-05

2007-11-12

2007-11-19

2007-11-26

2007-12-03

2007-12-10

2007-12-17

2007-12-24

2007-12-29

2008-01-08

2008-01-15

2008-01-22

2008-01-29

Date

bps

fbond20y7ysprd

fbond20y10ysprd

fbond20y15ysprd

Policy

Bank

Bond

30y

vs

10y,

15y

and

20y

sprd

0 5

10

15

20

25

30

35

40

45

50

2007-08-01

2007-08-07

2007-08-13

2007-08-17

2007-08-23

2007-08-29

2007-09-04

2007-09-10

2007-09-14

2007-09-20

2007-09-26

2007-09-30

2007-10-11

2007-10-17

2007-10-23

2007-10-29

2007-11-02

2007-11-08

2007-11-14

2007-11-20

2007-11-26

2007-11-30

2007-12-06

2007-12-12

2007-12-18

2007-12-24

2007-12-28

2008-01-04

2008-01-10

2008-01-16

2008-01-22

2008-01-28

Date

bps

fbond30y10ysprd

fbond30y15ysprd

fbond30y20ysprd

Fig

ure

22:Policy

bank

bond

analy

tics/D

ata

Source:

ww

w.ch

inabond.co

m.cn

Copyrig

ht:

Any

info

rm

atio

nand

data

within

this

report

may

be

freely

dis

trib

uted

and

copie

d.

However,it

isrequested

that

inany

subsequent

use

ofthis

work,

the

CG

SD

TC

and

author

be

giv

en

appropria

te

acknow

ledgm

ent.

Dis

cla

imer:

All

data

used

inthis

report

are

from

the

open

source.

For

data

and

graphs

availa

ble

from

this

report,the

CG

SD

TC

and

author

does

not

warrant

or

assum

eany

legallia

bilit

yor

responsib

ility

for

the

accuracy,com

ple

teness,or

usefu

lness

ofany

info

rm

atio


process

dis

clo

sed.

The

vie

ws

and

opin

ions

ofauthors

expressed

on

CG

SD

TC

’sW

eb

sites

do

not

necessarily

state

or

refle

ct

those

ofthe

CG

SD

TC

.



5.4 Corporate Bond (AAA)

5.4.1 Corporate Bond (AAA) Changes

Corporate Bond (AAA) 1w changes,bps

-15

-10

-5

0

5

10

0 0.5 1 2 3 5 7 10 15 20 30

1w changes,bps

Corporate Bond (AAA) 1m changes,bps

-20

-10

0

10

20

30

40

50

60

0 0.5 1 2 3 5 7 10 15 20 30

1m changes,bps


-100

-80

-60

-40

-20

0

20

40

60

80

100

0 0.5 1 2 3 5 7 10 15 20 30

3m changes,bps


-40

-20

0

20

40

60

80

100

120

140

160

0 0.5 1 2 3 5 7 10 15 20 30

6m changes,bps

Figure 23: Corporate bond (AAA) changes, bps/Data Source: www.chinabond.com.cn







24

Chin

abond

Yield

Curv

eA

naly

tics

5.4

.2C

orp

ora

teB

ond

(AA

A)

Spre

ad

Corporate

Bond

(AAA)

10y

vs

6m

and

1y

sprd

80

100

120

140

160

180

200

220

2007-08-01

2007-08-08

2007-08-15

2007-08-22

2007-08-29

2007-09-05

2007-09-12

2007-09-19

2007-09-26

2007-10-08

2007-10-15

2007-10-22

2007-10-29

2007-11-05

2007-11-12

2007-11-19

2007-11-26

2007-12-03

2007-12-10

2007-12-17

2007-12-24

2007-12-29

2008-01-08

2008-01-15

2008-01-22

2008-01-29

Date

bps

CorpBondAAA10y6msprd

CorpBondAAA10y1ysprd

Corporate

Bond

(AAA)

10y

vs

1y

and

2y

sprd

45

65

85

105

125

145

165

185

2007-08-01

2007-08-08

2007-08-15

2007-08-22

2007-08-29

2007-09-05

2007-09-12

2007-09-19

2007-09-26

2007-10-08

2007-10-15

2007-10-22

2007-10-29

2007-11-05

2007-11-12

2007-11-19

2007-11-26

2007-12-03

2007-12-10

2007-12-17

2007-12-24

2007-12-29

2008-01-08

2008-01-15

2008-01-22

2008-01-29

Date

bps



Corporate

Bond

(AAA)

5y

vs

1y,

2y

and

3y

sprd

0

20

40

60

80

100

120

140

160

180

2007-08-01

2007-08-07

2007-08-13

2007-08-17

2007-08-23

2007-08-29

2007-09-04

2007-09-10

2007-09-14

2007-09-20

2007-09-26

2007-09-30

2007-10-11

2007-10-17

2007-10-23

2007-10-29

2007-11-02

2007-11-08

2007-11-14

2007-11-20

2007-11-26

2007-11-30

2007-12-06

2007-12-12

2007-12-18

2007-12-24

2007-12-28

2008-01-04

2008-01-10

2008-01-16

2008-01-22

2008-01-28

Date

bps

CorpBondAAA5y1ysprd

CorpBondAAA5y2ysprd

CorpBondAAA5y3ysprd

Corporate

Bond

(AAA)

10y

vs

5y

and

7y

sprd

0 5

10

15

20

25

30

35

40

45

50

2007-08-01

2007-08-08

2007-08-15

2007-08-22

2007-08-29

2007-09-05

2007-09-12

2007-09-19

2007-09-26

2007-10-08

2007-10-15

2007-10-22

2007-10-29

2007-11-05

2007-11-12

2007-11-19

2007-11-26

2007-12-03

2007-12-10

2007-12-17

2007-12-24

2007-12-29

2008-01-08

2008-01-15

2008-01-22

2008-01-29

Date

bps



Corporate

Bond

(AAA)

7y

vs

1y,

2y

and

5y

sprd

0

20

40

60

80

100

120

140

160

180

200

2007-08-01

2007-08-08

2007-08-15

2007-08-22

2007-08-29

2007-09-05

2007-09-12

2007-09-19

2007-09-26

2007-10-08

2007-10-15

2007-10-22

2007-10-29

2007-11-05

2007-11-12

2007-11-19

2007-11-26

2007-12-03

2007-12-10

2007-12-17

2007-12-24

2007-12-29

2008-01-08

2008-01-15

2008-01-22

2008-01-29

Date

bps

CorpBondAAA7y1ysprd

CorpBondAAA7y2ysprd

CorpBondAAA7y5ysprd

Corporate

Bond

(AAA)

15y

vs

5y,

7y

and

10y

sprd

0

10

20

30

40

50

60

2007-08-01

2007-08-08

2007-08-15

2007-08-22

2007-08-29

2007-09-05

2007-09-12

2007-09-19

2007-09-26

2007-10-08

2007-10-15

2007-10-22

2007-10-29

2007-11-05

2007-11-12

2007-11-19

2007-11-26

2007-12-03

2007-12-10

2007-12-17

2007-12-24

2007-12-29

2008-01-08

2008-01-15

2008-01-22

2008-01-29

Date

bps




Corporate

Bond

(AAA)

20y

vs

7y,

10y

and

15y

sprd

0 5

10

15

20

25

30

35

40

45

2007-08-01

2007-08-08

2007-08-15

2007-08-22

2007-08-29

2007-09-05

2007-09-12

2007-09-19

2007-09-26

2007-10-08

2007-10-15

2007-10-22

2007-10-29

2007-11-05

2007-11-12

2007-11-19

2007-11-26

2007-12-03

2007-12-10

2007-12-17

2007-12-24

2007-12-29

2008-01-08

2008-01-15

2008-01-22

2008-01-29

Date

bps




Policy

Bank

Bond

30y

vs

10y,

15y

and

20y

sprd

0 5

10

15

20

25

30

35

40

45

50

2007-08-01

2007-08-07

2007-08-13

2007-08-17

2007-08-23

2007-08-29

2007-09-04

2007-09-10

2007-09-14

2007-09-20

2007-09-26

2007-09-30

2007-10-11

2007-10-17

2007-10-23

2007-10-29

2007-11-02

2007-11-08

2007-11-14

2007-11-20

2007-11-26

2007-11-30

2007-12-06

2007-12-12

2007-12-18

2007-12-24

2007-12-28

2008-01-04

2008-01-10

2008-01-16

2008-01-22

2008-01-28

Date

bps

fbond30y10ysprd

fbond30y15ysprd

fbond30y20ysprd

Fig

ure

24:C

orp

ora

tebond

(AA

A)

analy

tics/D

ata

Source:

ww

w.ch

inabond.co

m.cn

Copyrig

ht:

Any

info

rm

atio

nand

data

within

this

report

may

be

freely

dis

trib

uted

and

copie

d.

However,it

isrequested

that

inany

subsequent

use

ofthis

work,

the

CG

SD

TC

and

author

be

giv

en

appropria

te

acknow

ledgm

ent.

Dis

cla

imer:

All

data

used

inthis

report

are

from

the

open

source.

For

data

and

graphs

availa

ble

from

this

report,the

CG

SD

TC

and

author

does

not

warrant

or

assum

eany

legallia

bilit

yor

responsib

ility

for

the

accuracy,com

ple

teness,or

usefu

lness

ofany

info

rm

atio


process

dis

clo

sed.

The

vie

ws

and

opin

ions

ofauthors

expressed

on

CG

SD

TC

’sW

eb

sites

do

not

necessarily

state

or

refle

ct

those

ofthe

CG

SD

TC

.



5.5 ABS Bond (AAA) Changes

ABS (AAA) 1w changes,bps

-20

-10

0

10

20

30

40

50

0 0.5 1 2 3 5 7 10 15 20 30

1w changes,bps

ABS (AAA) 1m changes,bps

-20

-10

0

10

20

30

40

50

60

0 0.5 1 2 3 5 7 10 15 20 30

1m changes,bps


-80

-60

-40

-20

0

20

40

60

80

100

0 0.5 1 2 3 5 7 10 15 20 30

3m changes,bps


0

50

100

150

200

250

0 0.5 1 2 3 5 7 10 15 20 30

6m changes,bps

Figure 25: ABS (AAA) analytics/Data Source: www.chinabond.com.cn








5.6 Commercial Paper (AAA) Analytics

CP (AAA) 1w changes,bps

-250

-200

-150

-100

-50

0

1 2 3 4 5 6 7 8 9

1w changes,bps

Commercial Paper (AAA) 9m vs 1m and 2m sprd

-600

-500

-400

-300

-200

-100

0

100

200

2007-08-01

2007-08-08

2007-08-15

2007-08-22

2007-08-29

2007-09-05

2007-09-12

2007-09-19

2007-09-26

2007-10-08

2007-10-15

2007-10-22

2007-10-29

2007-11-05

2007-11-12

2007-11-19

2007-11-26

2007-12-03

2007-12-10

2007-12-17

2007-12-24

2007-12-29

2008-01-08

2008-01-15

2008-01-22

2008-01-29

Date

bps

cpAAA9m1msprd cpAAA9m2msprd

CP (AAA) 1m changes,bps

-60

-50

-40

-30

-20

-10

0

10

20

0 0.02 0.04 0.08 0.17 0.25 0.5 0.75 1

1m changes,bps


-150

-100

-50

0

50

100

150

2007-08-01

2007-08-08

2007-08-15

2007-08-22

2007-08-29

2007-09-05

2007-09-12

2007-09-19

2007-09-26

2007-10-08

2007-10-15

2007-10-22

2007-10-29

2007-11-05

2007-11-12

2007-11-19

2007-11-26

2007-12-03

2007-12-10

2007-12-17

2007-12-24

2007-12-29

2008-01-08

2008-01-15

2008-01-22

2008-01-29

Date

bps



-140

-120

-100

-80

-60-40

-20

0

20

40

60

1 2 3 4 5 6 7 8 9

3m changes,bps


-300

-250

-200

-150

-100

-50

0

50

100

150

2007-08-01

2007-08-08

2007-08-15

2007-08-22

2007-08-29

2007-09-05

2007-09-12

2007-09-19

2007-09-26

2007-10-08

2007-10-15

2007-10-22

2007-10-29

2007-11-05

2007-11-12

2007-11-19

2007-11-26

2007-12-03

2007-12-10

2007-12-17

2007-12-24

2007-12-29

2008-01-08

2008-01-15

2008-01-22

2008-01-29

Date

bps



-100

-50

0

50

100150

200

250

300

350

400

0 0.02 0.04 0.08 0.17 0.25 0.5 0.75 1

6m changes,bps


-10

0

10

20

30

40

50

60

70

2007-08-01

2007-08-08

2007-08-15

2007-08-22

2007-08-29

2007-09-05

2007-09-12

2007-09-19

2007-09-26

2007-10-08

2007-10-15

2007-10-22

2007-10-29

2007-11-05

2007-11-12

2007-11-19

2007-11-26

2007-12-03

2007-12-10

2007-12-17

2007-12-24

2007-12-29

2008-01-08

2008-01-15

2008-01-22

2008-01-29

Date

bps


Figure 26: Commercial paper (AAA) analytics/Data Source: www.chinabond.com.cn








6 CDC Floating-rate Bond Analytics

6.1 Treasury Floating-rate bond (1y) Changes

Treasury bond(1y) 1w changes,bps

-25

-20

-15

-10

-5

0

5

10

0 0.5 1 2 3 5 6

1w changes,bps

Treasury bond(1y) 1m changes,bps

-45

-40

-35

-30

-25

-20

-15

-10

-5

0

0 0.5 1 2 3 5 6

1m changes,bps


-140

-120

-100

-80

-60

-40

-20

0

0 0.5 1 2 3 5 6

3m changes,bps


-180

-160

-140

-120

-100

-80

-60

-40

-20

0

0 0.5 1 2 3 5 6

6m changes,bps

Figure 27: Treasury Floating-rate bond(1y) Changes, bps/Data Source: www.chinabond.com.cn








6.2 Policy bank Floating-rate bond (1y) Changes

Policy Bank Bond(1y) 1w changes,bps

-12

-10

-8

-6

-4

-2

0

2

4

6

0 0.5 1 2 3 5 7 10

1w changes,bps

Policy Bank Bond(1y) 1m changes,bps

-35

-30

-25

-20

-15

-10

-5

0

5

10

15

0 0.5 1 2 3 5 7 10

1m changes,bps


-160

-140

-120

-100

-80

-60

-40

-20

0

20

40

1 2 3 4 5 6 7 8

3m changes,bps


-200

-150

-100

-50

0

50

0 0.5 1 2 3 5 7 10

6m changes,bps

Figure 28: Policy bank Floating-rate bond (1y) Changes, bps/Data Source: www.chinabond.com.cn








6.3 Policy bank Floating-rate bond (R07D) Changes

Policy Bank Bond(R07D) 1w changes,bps

-70

-60

-50

-40

-30

-20

-10

0

10

20

0 0.5 1 2 3 5

1w changes,bps

Policy Bank Bond(R07D) 1m changes,bps

-160

-140

-120

-100

-80

-60

-40

-20

0

20

0 0.5 1 2 3 5

1m changes,bps


0

5

10

15

20

25

30

35

40

45

50

0 0.5 1 2 3 5

3m changes,bps


-250

-200

-150

-100

-50

0

50

100

0 0.5 1 2 3 5

6m changes,bps

Figure 29: Policy bank Floating-rate bond (R07D) Changes, bps/Data Source: www.chinabond.com.cn








6.4 Policy bank Floating-rate bond (Shibor) Changes

Policy Bank Bond(Shibor) 1w changes,bps

-8

-6

-4

-2

0

2

4

6

1 2 3 4 5 6 7

1w changes,bps

Policy Bank Bond(Shibor) 1m changes,bps

-45

-40

-35

-30

-25

-20

-15

-10

-5

0

1 2 3 4 5 6 7

1m changes,bps


-160

-140

-120

-100

-80

-60

-40

-20

0

0 0.5 1 2 3 4 5

3m changes,bps


-250

-200

-150

-100

-50

0

50

0 0.5 1 2 3 4 5

6m changes,bps

Figure 30: Policy bank Floating-rate bond (Shibor) Changes, bps/Data Source: www.chinabond.com.cn








6.5 Corporate Floating-rate bond (1y-AAA) Changes

Corporate Bond (1y-AAA) 1w changes,bps

-20

-15

-10

-5

0

5

10

15

20

0 0.5 1 2 3 5 7 10

1w changes,bps

Corporate Bond (1y-AAA) 1m changes,bps

-20

-15

-10

-5

0

5

10

15

20

0 0.5 1 2 3 5 7 10

1m changes,bps


-100

-80

-60

-40

-20

0

20

40

60

80

0 0.5 1 2 3 5 7 10

3m changes,bps


-120

-100

-80

-60

-40

-20

0

20

40

60

80

0 0.5 1 2 3 5 7 10

6m changes,bps

Figure 31: Corporate Floating-rate bond (1y-AAA) Changes, bps/Data Source: www.chinabond.com.cn








6.6 ABS (1y-AAA) Changes

ABS (1y-AAA) 1w changes,bps

-15

-10

-5

0

5

10

15

20

25

30

0 0.5 1 2 3 5 7 10

1w changes,bps

ABS (1y-AAA) 1m changes,bps

-80

-60

-40

-20

0

20

40

60

80

0 0.5 1 2 3 5 7 10

1m changes,bps


-150

-100

-50

0

50

100

0 0.5 1 2 3 5 7 10

3m changes,bps


-150

-100

-50

0

50

100

150

200

250

300

0 0.5 1 2 3 5 7 10

6m changes,bps

Figure 32: Corporate Floating-rate bond (1y-AAA) Changes, bps/Data Source: www.chinabond.com.cn







33

Chin

abond

Yield

Curv

eA

naly

tics

7C

DC

Fix

ed-ra

teY

ield

Spre

ad

Analy

tics

7.1

Tre

asu

rybond

vs

Polic

ybank

bond

spre

ad

1

PolicyBank

Bondvs

TreasuryBond

Sprd,2m

and3m

0 20 40 60 80100120140160180200

2007-08-01

2007-08-08

2007-08-15

2007-08-22

2007-08-29

2007-09-05

2007-09-12

2007-09-19

2007-09-26

2007-10-08

2007-10-15

2007-10-22

2007-10-29

2007-11-05

2007-11-12

2007-11-19

2007-11-26

2007-12-03

2007-12-10

2007-12-17

2007-12-24

2007-12-29

2008-01-08

2008-01-15

2008-01-22

2008-01-29

bps

fbondtbondsprd2monfbondtbondsprd3mon

PolicyBank

Bondvs

TreasuryBond

Sprd,6m

and1y

0 10 20 30 40 50 60 70 80

2007-08-01

2007-08-08

2007-08-15

2007-08-22

2007-08-29

2007-09-05

2007-09-12

2007-09-19

2007-09-26

2007-10-08

2007-10-15

2007-10-22

2007-10-29

2007-11-05

2007-11-12

2007-11-19

2007-11-26

2007-12-03

2007-12-10

2007-12-17

2007-12-24

2007-12-29

2008-01-08

2008-01-15

2008-01-22

2008-01-29

bps

fbondtbondsprd6monfbondtbondsprd1y

PolicyBank

Bondvs

TreasuryBond

Sprd,2y

and3y

15 25 35 45 55 65 75

2007-08-01

2007-08-08

2007-08-15

2007-08-22

2007-08-29

2007-09-05

2007-09-12

2007-09-19

2007-09-26

2007-10-08

2007-10-15

2007-10-22

2007-10-29

2007-11-05

2007-11-12

2007-11-19

2007-11-26

2007-12-03

2007-12-10

2007-12-17

2007-12-24

2007-12-29

2008-01-08

2008-01-15

2008-01-22

2008-01-29

bps

fbondtbondsprd2yfbondtbondsprd3y

PolicyBank

Bondvs

TreasuryBond

Sprd,5y

and7y

20 30 40 50 60 70 80 90

100

2007-08-01

2007-08-08

2007-08-15

2007-08-22

2007-08-29

2007-09-05

2007-09-12

2007-09-19

2007-09-26

2007-10-08

2007-10-15

2007-10-22

2007-10-29

2007-11-05

2007-11-12

2007-11-19

2007-11-26

2007-12-03

2007-12-10

2007-12-17

2007-12-24

2007-12-29

2008-01-08

2008-01-15

2008-01-22

2008-01-29

bps


PolicyBank

Bondvs

TreasuryBond

Sprd,10y

and15y

20 30 40 50 60 70 80 90

2007-08-01

2007-08-08

2007-08-15

2007-08-22

2007-08-29

2007-09-05

2007-09-12

2007-09-19

2007-09-26

2007-10-08

2007-10-15

2007-10-22

2007-10-29

2007-11-05

2007-11-12

2007-11-19

2007-11-26

2007-12-03

2007-12-10

2007-12-17

2007-12-24

2007-12-29

2008-01-08

2008-01-15

2008-01-22

2008-01-29

bps


PolicyBank

Bondvs

TreasuryBond

Sprd,20y

and30y

25 30 35 40 45 50 55 60 65 70 75

2007-08-01

2007-08-08

2007-08-15

2007-08-22

2007-08-29

2007-09-05

2007-09-12

2007-09-19

2007-09-26

2007-10-08

2007-10-15

2007-10-22

2007-10-29

2007-11-05

2007-11-12

2007-11-19

2007-11-26

2007-12-03

2007-12-10

2007-12-17

2007-12-24

2007-12-29

2008-01-08

2008-01-15

2008-01-22

2008-01-29

bps


Fig

ure

33:Policy

Bank

Bond

vs

Trea

sury

Bond

Sprea

d,bps/

Data

Source:

ww

w.ch

inabond.co

m.cn

Copyrig

ht:

Any

info

rm

atio

nand

data

within

this

report

may

be

freely

dis

trib

uted

and

copie

d.

However,it

isrequested

that

inany

subsequent

use

ofthis

work,

the

CG

SD

TC

and

author

be

giv

en

appropria

te

acknow

ledgm

ent.

Dis

cla

imer:

All

data

used

inthis

report

are

from

the

open

source.

For

data

and

graphs

availa

ble

from

this

report,the

CG

SD

TC

and

author

does

not

warrant

or

assum

eany

legallia

bilit

yor

responsib

ility

for

the

accuracy,com

ple

teness,or

usefu

lness

ofany

info

rm

atio


process

dis

clo

sed.

The

vie

ws

and

opin

ions

ofauthors

expressed

on

CG

SD

TC

’sW

eb

sites

do

not

necessarily

state

or

refle

ct

those

ofthe

CG

SD

TC

.



7.2 Policy bank bond vs Central bank bill spread

Policy Bank Bond vs Central Bank Bill Sprd, O/N and 2m

-40

-20

0

20

40

60

80

100

120

2007

-08-

01

2007

-08-

08

2007

-08-

15

2007

-08-

22

2007

-08-

29

2007

-09-

05

2007

-09-

12

2007

-09-

19

2007

-09-

26

2007

-10-

08

2007

-10-

15

2007

-10-

22

2007

-10-

29

2007

-11-

05

2007

-11-

12

2007

-11-

19

2007

-11-

26

2007

-12-

03

2007

-12-

10

2007

-12-

17

2007

-12-

24

2007

-12-

29

2008

-01-

08

2008

-01-

15

2008

-01-

22

2008

-01-

29

bps

fbondcbillsprdon fbondcbillsprd2mon

Policy Bank Bond vs Central Bank Bill Sprd, 3m and 6m

-15

-5

5

15

25

35

45

2007

-08-

01

2007

-08-

08

2007

-08-

15

2007

-08-

22

2007

-08-

29

2007

-09-

05

2007

-09-

12

2007

-09-

19

2007

-09-

26

2007

-10-

08

2007

-10-

15

2007

-10-

22

2007

-10-

29

2007

-11-

05

2007

-11-

12

2007

-11-

19

2007

-11-

26

2007

-12-

03

2007

-12-

10

2007

-12-

17

2007

-12-

24

2007

-12-

29

2008

-01-

08

2008

-01-

15

2008

-01-

22

2008

-01-

29

bps

fbondcbillsprd3mon fbondcbillsprd6mon

Policy Bank Bond vs Central Bank Bill Sprd, 9m and 1y

-15-10-505

101520253035

2007

-08-

01

2007

-08-

08

2007

-08-

15

2007

-08-

22

2007

-08-

29

2007

-09-

05

2007

-09-

12

2007

-09-

19

2007

-09-

26

2007

-10-

08

2007

-10-

15

2007

-10-

22

2007

-10-

29

2007

-11-

05

2007

-11-

12

2007

-11-

19

2007

-11-

26

2007

-12-

03

2007

-12-

10

2007

-12-

17

2007

-12-

24

2007

-12-

29

2008

-01-

08

2008

-01-

15

2008

-01-

22

2008

-01-

29

bps

fbondcbillsprd9mon fbondcbillsprd1y

Policy Bank Bond vs Central Bank Bill Sprd, 2y and 3y

-15

-5

5

15

25

35

45

2007

-08-

01

2007

-08-

08

2007

-08-

15

2007

-08-

22

2007

-08-

29

2007

-09-

05

2007

-09-

12

2007

-09-

19

2007

-09-

26

2007

-10-

08

2007

-10-

15

2007

-10-

22

2007

-10-

29

2007

-11-

05

2007

-11-

12

2007

-11-

19

2007

-11-

26

2007

-12-

03

2007

-12-

10

2007

-12-

17

2007

-12-

24

2007

-12-

29

2008

-01-

08

2008

-01-

15

2008

-01-

22

2008

-01-

29

bps

fbondcbillsprd2y fbondcbillsprd3y

Figure 34: Policy Bank Bond vs Central Bank Bill Spread, bps/Data Source: www.chinabond.com.cn








7.3 Policy bank bond vs Corporate bond (AAA) spread

Policy Bank Bond vs Corporate Bond (AAA) Sprd, 6m and 1y

0

10

20

30

40

50

60

70

80

2007

-08-

01

2007

-08-

08

2007

-08-

15

2007

-08-

22

2007

-08-

29

2007

-09-

05

2007

-09-

12

2007

-09-

19

2007

-09-

26

2007

-10-

08

2007

-10-

15

2007

-10-

22

2007

-10-

29

2007

-11-

05

2007

-11-

12

2007

-11-

19

2007

-11-

26

2007

-12-

03

2007

-12-

10

2007

-12-

17

2007

-12-

24

2007

-12-

29

2008

-01-

08

2008

-01-

15

2008

-01-

22

2008

-01-

29

bps

fbondCorpbondAAAsprd6mon fbondCorpbondAAAsprd1y

Policy Bank Bond vs Corporate Bond (AAA) Sprd, 2y and 3y

0

10

20

30

40

50

60

70

80

2007

-08-

01

2007

-08-

08

2007

-08-

15

2007

-08-

22

2007

-08-

29

2007

-09-

05

2007

-09-

12

2007

-09-

19

2007

-09-

26

2007

-10-

08

2007

-10-

15

2007

-10-

22

2007

-10-

29

2007

-11-

05

2007

-11-

12

2007

-11-

19

2007

-11-

26

2007

-12-

03

2007

-12-

10

2007

-12-

17

2007

-12-

24

2007

-12-

29

2008

-01-

08

2008

-01-

15

2008

-01-

22

2008

-01-

29

bps

fbondCorpbondAAAsprd2y fbondCorpbondAAAsprd3y


60

65

70

75

80

85

90

95

100

2007

-08-

01

2007

-08-

08

2007

-08-

15

2007

-08-

22

2007

-08-

29

2007

-09-

05

2007

-09-

12

2007

-09-

19

2007

-09-

26

2007

-10-

08

2007

-10-

15

2007

-10-

22

2007

-10-

29

2007

-11-

05

2007

-11-

12

2007

-11-

19

2007

-11-

26

2007

-12-

03

2007

-12-

10

2007

-12-

17

2007

-12-

24

2007

-12-

29

2008

-01-

08

2008

-01-

15

2008

-01-

22

2008

-01-

29

bps



3540455055606570758085

2007

-08-

01

2007

-08-

08

2007

-08-

15

2007

-08-

22

2007

-08-

29

2007

-09-

05

2007

-09-

12

2007

-09-

19

2007

-09-

26

2007

-10-

08

2007

-10-

15

2007

-10-

22

2007

-10-

29

2007

-11-

05

2007

-11-

12

2007

-11-

19

2007

-11-

26

2007

-12-

03

2007

-12-

10

2007

-12-

17

2007

-12-

24

2007

-12-

29

2008

-01-

08

2008

-01-

15

2008

-01-

22

2008

-01-

29

bps


Figure 35: Policy Bank Bond vs Corporate Bond (AAA) Spread, bps/Data Source: www.chinabond.com.cn








7.4 Central bank bill vs Commercial paper(AAA) spread

CP (AAA) vs Central Bank Bill Sprd, 1w and 2w

-100

-50

0

50

100

150

200

2007

-08-

01

2007

-08-

08

2007

-08-

15

2007

-08-

22

2007

-08-

29

2007

-09-

05

2007

-09-

12

2007

-09-

19

2007

-09-

26

2007

-10-

08

2007

-10-

15

2007

-10-

22

2007

-10-

29

2007

-11-

05

2007

-11-

12

2007

-11-

19

2007

-11-

26

2007

-12-

03

2007

-12-

10

2007

-12-

17

2007

-12-

24

2007

-12-

29

2008

-01-

08

2008

-01-

15

2008

-01-

22

2008

-01-

29

bps

cpAAAcbillsprd1w cpAAAcbillsprd2w

CP (AAA) vs Central Bank Bill Sprd, 1m and 2m

-40

-20

0

20

40

60

80

100

120

2007

-08-

01

2007

-08-

08

2007

-08-

15

2007

-08-

22

2007

-08-

29

2007

-09-

05

2007

-09-

12

2007

-09-

19

2007

-09-

26

2007

-10-

08

2007

-10-

15

2007

-10-

22

2007

-10-

29

2007

-11-

05

2007

-11-

12

2007

-11-

19

2007

-11-

26

2007

-12-

03

2007

-12-

10

2007

-12-

17

2007

-12-

24

2007

-12-

29

2008

-01-

08

2008

-01-

15

2008

-01-

22

2008

-01-

29

bps

cpAAAcbillsprd1m cpAAAcbillsprd2mon

CP (AAA) vs Central Bank Bill Sprd, 3m and 6m

0

20

40

60

80

100

120

140

2007

-08-

01

2007

-08-

08

2007

-08-

15

2007

-08-

22

2007

-08-

29

2007

-09-

05

2007

-09-

12

2007

-09-

19

2007

-09-

26

2007

-10-

08

2007

-10-

15

2007

-10-

22

2007

-10-

29

2007

-11-

05

2007

-11-

12

2007

-11-

19

2007

-11-

26

2007

-12-

03

2007

-12-

10

2007

-12-

17

2007

-12-

24

2007

-12-

29

2008

-01-

08

2008

-01-

15

2008

-01-

22

2008

-01-

29

bps

cpAAAcbillsprd3mon cpAAAcbillsprd6mon

CP (AAA) vs Central Bank Bill Sprd, 9m and 1y

10

30

50

70

90

110

130

2007

-08-

01

2007

-08-

08

2007

-08-

15

2007

-08-

22

2007

-08-

29

2007

-09-

05

2007

-09-

12

2007

-09-

19

2007

-09-

26

2007

-10-

08

2007

-10-

15

2007

-10-

22

2007

-10-

29

2007

-11-

05

2007

-11-

12

2007

-11-

19

2007

-11-

26

2007

-12-

03

2007

-12-

10

2007

-12-

17

2007

-12-

24

2007

-12-

29

2008

-01-

08

2008

-01-

15

2008

-01-

22

2008

-01-

29

bps

cpAAAcbillsprd9mon cpAAAcbillsprd1y

Figure 36: Central Bank Bill vs Commercial Paper(AAA) Spread, bps/Data Source: www.chinabond.com.cn








8 CDC Floating-rate Yield Spread Analytics

8.1 Floating-rate Policy bank bond (1y) vs Floating-rate Corporate bond AAA(1y) Changes

Figure 37: Floating-rate Policy bank bond (1y) vs Floating-rate Corporate bond AAA (1y) Spread, bps







Documents

Chinabond Yield Curve Analytics Report of January 2008 · 2011. 3. 2. · Chinabond Yield Curve Analytics Report of January 2008 Zhang, Yongmin [email protected] +86 10 88088106