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Chinabond Yield Curve Analytics
Report of January 2008
Zhang, Yongmin
+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.
3 Chinabond Yield Curve Analytics
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
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.
4 Chinabond Yield Curve Analytics
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
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.
5 Chinabond Yield Curve Analytics
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.
Figure 3: Bond Market/Data Source: www.chinabond.com.cn
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.
6 Chinabond Yield Curve Analytics
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
Figure 4: Bond Market/Data Source: www.chinabond.com.cn
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 Chinabond Yield Curve Analytics
• 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
Figure 5: Bond Market/Data Source: www.chinabond.com.cn
– 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
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.
8 Chinabond Yield Curve Analytics
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
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.
9 Chinabond Yield Curve Analytics
1.4.2 Probability and Statistical Forecast Method
Figure 9: CPI expectation with probability method/Data Source: www.chinabond.com.cn
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.
10 Chinabond Yield Curve Analytics
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
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.
11 Chinabond Yield Curve Analytics
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
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.
12 Chinabond Yield Curve Analytics
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
Shibor 3 month changes, bps
-100
-80
-60
-40
-20
0
20
40
60
80
O/N 1W 2W 1M 3M 6M 9M 1Y
3 month changes, bps
Shibor 6 month changes, bps
0
20
40
60
80
100
120
140
O/N 1W 2W 1M 3M 6M 9M 1Y
6 month changes, bps
Figure 12: Shibor changes, bps/Data Source: www.shibor.org
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.
13 Chinabond Yield Curve Analytics
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
Shibor 12m vs 1m and 3m,bps
-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
12m 1m sprd 12m 3m sprd
Shibor 12m vs 3m and 6m,bps
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
12m 3m sprd 12m 6m sprd
Shibor 12m vs 1m and 9m,bps
-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
12m 9m sprd 12m 1m sprd
Figure 13: Shibor Analytics/Data Source: www.shibor.org
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.
14 Chinabond Yield Curve Analytics
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
1 month changes, bps
Repo 3 month changes, bps
-100
-80
-60
-40
-20
0
20
O/N 1W 2W 1M
3 month changes, bps
Repo 6 month changes, bps
0
10
20
30
40
50
60
70
80
O/N 1W 2W 1M
6 month changes, bps
Figure 14: Repo changes,bps/Data Source: www.chinabond.com.cn
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.
15 Chinabond Yield Curve Analytics
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
Repo Shibor Central Bill
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
Repo Shibor Central Bill
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
Repo Shibor Central Bill
Figure 15: Repo vs Shibor Analytics/Data Source: www.chinabond.com.cn/www.shibor.org
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.
16 Chinabond Yield Curve Analytics
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
1 month changes, bps
CNY IRS (7dRepo) 3M Changes
-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
3 month changes, bps
CNY IRS (7dRepo) 6M Changes
-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
6 month changes, bps
Figure 16: CNY IRS changes/Data Source: Bloomberg
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.
17 Chinabond Yield Curve Analytics
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
CNY IRS (7dRepo), 5y vs 2y and 1y Spread (bps)
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
IRS5yvs1ySprd IRS5yvs2ySprd
CNY IRS (7dRepo), 10y vs 5y and 7y Spread (bps)
-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
IRS10yvs5ySprd IRS10yvs7ySprd
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
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.
18 Chinabond Yield Curve Analytics
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
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.
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
.
20 Chinabond Yield Curve Analytics
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
Central Bank Bill 3m changes,bps
-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
Central Bank Bill 6m changes,bps
-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
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.
21 Chinabond Yield Curve Analytics
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
Policy Bank Bond 3m 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
Policy Bank 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 21: Policy bank bond changes, bps/Data Source: www.chinabond.com.cn
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.
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
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
.
23 Chinabond Yield Curve Analytics
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
Corporate Bond (AAA) 3m 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
Corporate Bond (AAA) 6m 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
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.
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
CorpBondAAA10y1ysprd
CorpBondAAA10y2ysprd
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
CorpBondAAA10y5ysprd
CorpBondAAA10y7ysprd
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
CorpBondAAA15y5ysprd
CorpBondAAA15y7ysprd
CorpBondAAA15y10ysprd
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
CorpBondAAA20y7ysprd
CorpBondAAA20y10ysprd
CorpBondAAA20y15ysprd
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
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
.
25 Chinabond Yield Curve Analytics
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
ABS (AAA) 3m 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
ABS (AAA) 6m 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
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.
26 Chinabond Yield Curve Analytics
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
Commercial Paper (AAA) 12m vs 3m and 6m sprd
-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
cpAAA12m3msprd cpAAA12m6msprd
CP (AAA) 3m changes,bps
-140
-120
-100
-80
-60-40
-20
0
20
40
60
1 2 3 4 5 6 7 8 9
3m changes,bps
Commercial Paper (AAA) 12m vs 2m and 3m sprd
-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
cpAAA12m2msprd cpAAA12m3msprd
CP (AAA) 6m changes,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
Commercial Paper (AAA) 12m vs 6m and 9m sprd
-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
cpAAA12m6msprd cpAAA12m9msprd
Figure 26: Commercial paper (AAA) analytics/Data Source: www.chinabond.com.cn
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.
27 Chinabond Yield Curve Analytics
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
Treasury bond(1y) 3m changes,bps
-140
-120
-100
-80
-60
-40
-20
0
0 0.5 1 2 3 5 6
3m changes,bps
Treasury bond(1y) 6m 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
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.
28 Chinabond Yield Curve Analytics
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
Policy Bank Bond(1y) 3m changes,bps
-160
-140
-120
-100
-80
-60
-40
-20
0
20
40
1 2 3 4 5 6 7 8
3m changes,bps
Policy Bank Bond(1y) 6m 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
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.
29 Chinabond Yield Curve Analytics
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
Policy Bank Bond(R07D) 3m changes,bps
0
5
10
15
20
25
30
35
40
45
50
0 0.5 1 2 3 5
3m changes,bps
Policy Bank Bond(R07D) 6m 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
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.
30 Chinabond Yield Curve Analytics
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
Policy Bank Bond(Shibor) 3m changes,bps
-160
-140
-120
-100
-80
-60
-40
-20
0
0 0.5 1 2 3 4 5
3m changes,bps
Policy Bank Bond(Shibor) 6m 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
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.
31 Chinabond Yield Curve Analytics
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
Corporate Bond (1y-AAA) 3m changes,bps
-100
-80
-60
-40
-20
0
20
40
60
80
0 0.5 1 2 3 5 7 10
3m changes,bps
Corporate Bond (1y-AAA) 6m 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
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.
32 Chinabond Yield Curve Analytics
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
ABS (1y-AAA) 3m changes,bps
-150
-100
-50
0
50
100
0 0.5 1 2 3 5 7 10
3m changes,bps
ABS (1y-AAA) 6m 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
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.
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
fbondtbondsprd5yfbondtbondsprd7y
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
fbondtbondsprd10yfbondtbondsprd15y
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
fbondtbondsprd20yfbondtbondsprd30y
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
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
.
34 Chinabond Yield Curve Analytics
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
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.
35 Chinabond Yield Curve Analytics
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
Policy Bank Bond vs Corporate Bond (AAA) Sprd, 5y and 7y
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
fbondCorpbondAAAsprd5y fbondCorpbondAAAsprd7y
Policy Bank Bond vs Corporate Bond (AAA) Sprd, 10y and 15y
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
fbondCorpbondAAAsprd10y fbondCorpbondAAAsprd15y
Figure 35: Policy Bank Bond vs Corporate Bond (AAA) Spread, bps/Data Source: www.chinabond.com.cn
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.
36 Chinabond Yield Curve Analytics
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
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.
37 Chinabond Yield Curve Analytics
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
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.