China Government Bonds - Yields Curve

COUNTRY • SUMMARY
CHINA

The China 10-Year Government Bond currently offers a yield of 2.133%. This yield reflects the return investors can expect if they hold the bond until maturity. Government bond yields are critical indicators of economic confidence and investor sentiment.

The yield spread between China 10-Year and 2-Year government bonds is 70.3 basis points (bp), reflecting the difference in yields between long-term and short-term debt.
Typically, long-term bonds carry higher yields than short-term ones.
Current observation: Normal Convexity in Long-Term vs Short-Term Maturities.

China Central Bank Rate stands at 3.10%, following the most recent adjustment in October 2024.

According to Standard & Poor's agency, the China credit rating is A+.

The current quotation for China 5-Years Credit Default Swap is 65.93 basis points. Correspondingly, the implied probability of default is 1.10%.

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China Yield Curve

A Yield Curve is a graph that shows the relationship between interest rates (or yields) and different maturities of debt for a specific borrower, often government bonds. It typically plots yields on the y-axis and maturities on the x-axis, ranging from short-term to long-term bonds.

The shape of the yield curve gives investors insights into market expectations for interest rates, economic growth, and inflation. A normal yield curve, where long-term rates are higher than short-term, suggests economic growth, while an inverted curve, where short-term rates are higher, can indicate an upcoming recession.

China Yield Curve
China Government Bonds
6 November 2024

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Residual
Maturity
Annualized Yield Constant Maturity Zero Coupon Price Capital
Growth
of 1 Unit
Last
Update
Last Chg 1M Chg 6M Chg 12M Last Chg 1M Chg 6M Chg 12M
1 year 1.370% -8.1 bp -28.6 bp -94.2 bp 98.65 +0.08 % +0.28 % +0.93 % 1.013 06 Nov
2 years 1.430% -0.1 bp -45.3 bp -92.9 bp 97.20 0.00 % +0.89 % +1.84 % 1.028 06 Nov
3 years 1.509% -14.5 bp -45.5 bp -90.4 bp 95.61 +0.43 % +1.36 % +2.70 % 1.045 06 Nov
5 years 1.771% -8.9 bp -34.7 bp -74.1 bp 91.60 +0.44 % +1.72 % +3.70 % 1.091 06 Nov
7 years 1.979% -12.1 bp -29.8 bp -68.2 bp 87.18 +0.83 % +2.06 % +4.77 % 1.147 06 Nov
10 years 2.133% -2.7 bp -18.5 bp -54.4 bp 80.97 +0.26 % +1.82 % +5.46 % 1.234 06 Nov
15 years 2.050% -6.5 bp -24.2 bp -76.7 bp 73.76 +0.96 % +3.62 % +11.89 % 1.355 05 Nov
20 years 2.323% -8.2 bp -31.2 bp -74.7 bp 63.17 +1.61 % +6.28 % +15.65 % 1.582 06 Nov
30 years 2.293% -16.2 bp -25.6 bp -69.8 bp 50.66 +4.86 % +7.79 % +22.63 % 1.974 06 Nov
Last Update: 6 Nov 2024, 6:15 GMT+0

China Yield History

This table presents the historical values of the yield curve, with data points collected at the end of each year.

By analyzing these values over time, one can observe trends and shifts in economic sentiment and monetary policy that impact investor expectations about future interest rates and economic growth.

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Government Bonds Yield (%)
Spread (bp)
Period 1M 3M 6M 1Y 2Y 3Y 5Y 7Y 10Y 30Y 10Y - 2Y
Nov 2024 n.a. n.a. n.a. 1.370 1.430 1.509 1.771 1.979 2.133 2.293 70.3
Dec 2023 n.a. n.a. n.a. 2.135 2.185 2.279 2.394 2.529 2.592 2.851 40.7
Dec 2022 n.a. n.a. n.a. 2.104 2.294 2.402 2.618 2.805 2.879 3.227 58.5
Dec 2021 n.a. n.a. n.a. 2.175 2.349 2.435 2.572 2.779 2.789 3.348 44.0
Dec 2020 n.a. n.a. n.a. 2.648 2.740 2.809 2.952 3.180 3.203 3.772 46.3
Dec 2019 n.a. n.a. n.a. 2.413 2.668 2.655 2.815 3.064 3.175 3.749 50.7
Dec 2018 n.a. n.a. n.a. 2.575 2.897 2.905 3.014 3.226 3.270 3.745 37.3
Dec 2017 n.a. n.a. n.a. 3.803 3.824 3.837 3.860 3.938 3.915 4.392 9.1
Dec 2016 n.a. n.a. n.a. 2.751 2.798 2.822 2.883 3.035 3.066 3.677 26.8
Dec 2015 n.a. n.a. n.a. 2.329 2.473 2.549 2.713 2.871 2.862 3.649 38.9

China Yield Analysis

Normally, longer-duration interest rates are higher than short-duration. So, the yield curve normally slopes upward as duration increases. For this reason, the spread (i.e. the yield difference) between a longer and a shorter bond should be positive. If not, the yield curve can be flat or inverted.

The curve convexity is measured considering some key bond durations (usually 2 years and 10 years, but also other maturities).

Internal Spread on Key Maturities:
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2Y vs 1Y 6.0 bp Yield Curve is flat in Short-Term Maturities
5Y vs 2Y 34.1 bp Normal Convexity in Mid-Term vs Short-Term Maturities
10Y vs 2Y 70.3 bp Normal Convexity in Long-Term vs Short-Term Maturities
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Residual
Maturity
Yield Spread vs Spread vs
Central Bank
Rate (3.10%)
1 year 2 years 5 years 10 years
30 years 2.293% -80.7bp
10 years 2.133%
-96.7bp
5 years 1.771%
-132.9bp
2 years 1.430%
-167.0bp
1 year 1.370%
-173.0bp

China Credit Ratings

A credit rating is an assessment of the creditworthiness of a borrower (in general terms or with respect to a particular debt or financial obligation).

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Rating Agency Rating Outlook Last Update Action
Standard & Poor's A+ - 21 Sep 2017 rating downgrade
Moody's Investors Service A1 negative 5 Dec 2023 outlook downgrade
Fitch Ratings A+ negative 9 Apr 2024 outlook downgrade
DBRS A - 10 Nov 2023 rating downgrade

China Interest Rates

A bank rate is the interest rate at which a nation's central bank lends money to domestic banks, often in the form of very short-term loans.

Interest Rates Value
Central Bank Rate 3.10%

China Credit Default Swaps

The term credit default swap (CDS) refers to a financial derivative that allows an investor to swap or offset their credit risk with that of another investor. To swap the risk of default, the lender buys a CDS from another investor who agrees to reimburse the lender in the case the borrower defaults.

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Credit Default Swap CDS Value Var % 1W Var % 1M Var % 1Y Implied PD(*)
5 Years CDS 65.93 +4.34 % +7.03 % -10.37 % 1.10 %
(*) Implied probability of default, calculated on the hypothesis of a 40% recovery rate.
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China 10Y Bond Yield Spread

The China 10Y Government Bond has a 2.133% yield.

A positive spread, marked by , means that the 10Y Bond Yield is higher than the corresponding foreign bond. Instead, a negative spread is marked by a green circle .

Click on the values in "Current Spread" column, for the historical series of the spread.
Click on the "Compare" button, for a report with the full comparison between the two countries, with all the available data.
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China 10Y vs Current Spread Chg 1M Chg 6M Chg 12M Compare
Countries
vs Japan 10Y 115.5 bp -10.1 bp -26.9 bp -64.8 bp
vs Germany 10Y -27.7 bp -22.2 bp -13.0 bp -20.9 bp
vs Spain 10Y -98.9 bp -17.6 bp -7.6 bp +14.0 bp
vs France 10Y -102.0 bp -18.6 bp -36.2 bp -35.2 bp
vs Canada 10Y -126.3 bp -22.4 bp +6.0 bp -9.1 bp
vs Italy 10Y -155.1 bp -20.1 bp -8.1 bp +34.6 bp
vs United States 10Y -235.2 bp -51.3 bp -18.5 bp -37.7 bp
vs United Kingdom 10Y -246.7 bp -48.9 bp -56.4 bp -76.3 bp
vs Australia 10Y -256.6 bp -66.4 bp -46.1 bp -47.9 bp
vs India 10Y -477.8 bp -10.9 bp +1.2 bp -15.0 bp
vs Brazil 10Y -1063.2 bp -46.2 bp -154.7 bp -178.8 bp
vs Russia 10Y -1446.9 bp -47.9 bp -223.7 bp -516.1 bp

China Government Bonds Prices

Price Simulation: bonds with a face value of 100, with different coupon rates.

The highlighted column refers to the zero coupon bond.
Click on for a forecast of the yield.
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Residual
Maturity
Yield Bond Price - with different Coupon Rates Fx
0% 1% 3% 5% 7% 9%
30 years 2.293% 50.66 72.17 115.21 158.25 201.29 244.33
20 years 2.323% 63.17 79.03 110.73 142.44 174.14 205.85
15 years 2.050% 73.76 86.56 112.16 137.76 163.37 188.97
10 years 2.133% 80.97 89.89 107.73 125.57 143.42 161.26
7 years 1.979% 87.18 93.66 106.61 119.57 132.52 145.48
5 years 1.771% 91.60 96.34 105.83 115.32 124.81 134.30
3 years 1.509% 95.61 98.52 104.34 110.16 115.99 121.81
2 years 1.430% 97.20 99.16 103.07 106.99 110.91 114.82
1 year 1.370% 98.65 99.64 101.61 103.58 105.55 107.53
Maturity Date 100.00 100.00 100.00 100.00 100.00 100.00
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