Note： The three-month Chinabond government bond yield is used by the International Monetary Fund as the RMB-denominated interest rate for the purpose of calculating the SDR interest rate.
The yield curve shown above is produced by China Central Depository & Clearing Co., Ltd. (www.chinabond.cn) to reflect the yield-to-maturity of onshore-traded RMB bonds. The sample bonds for ChinaBond Government Bond Yield Curve are Treasury Coupon Bonds and Treasury Discount Bonds. The sample bonds for ChinaBond Financial Bond of Commercial Bank Yield Curve (AAA) are Negotiable Certificates of Deposit and Commercial Bank Bonds. The sample bonds for ChinaBond CP&Note Yield Curve (AAA) are Super Short-term Commercial Papers, Commercial Papers and Medium-term Notes.
ChinaBond yield curves contain 1,000 yield curves in total, which consist of spot rate curves, forward rate curves and yield-to-maturity curves for debt instruments with different credit ratings. The curves are plotted from the Hermite Interpolation model, and the input data are from market makers’ quotations of the Exchange market and the Inter-bank market, brokers’ quotations, trading and settlement prices, etc. The samples are selected from the newly issued bonds that meet liquidity requirements. ChinaBond yield curves will be updated at the end of each trading day, 17:30 PM Beijing Time.