Новые ОФЗ в юанях: построение кривой доходностей

Деньги и кредит. 2026. Т. 85. № 2. С. 82–100.

Makushkin M.

The paper considers the problem of estimating the coupon-free yield curve of Russian bonds in yuan. The relevance of the topic is explained by the increased popularity of yuan-denominated bonds in the Russian market since 2022, as well as the recent appearance of the first federal loan bonds (OFZ) in yuan. Given that the number of available government bonds in yuan is limited (only two issues are in circulation), the paper proposes a model for assessing the CDS spread that combines data on both new OFZs in yuan and yuan corporate bonds. This is achieved by adding an additional parameter to the traditional Nelson–Siegel CDS model, which accounts for the credit risk of corporate bonds. As a result, the model generates two CDS spreads: a risk‑free local CDS in yuan and a corporate CDS. The model was additionally tested using data on dollar‑denominated substitute bonds and showed results comparable in quality to the classic approach to assessing CDS based on the simple Nelson–Siegel model. The study’s conclusions may be useful to both investors and issuers of yuan‑denominated debt.

Keywords: корпоративные облигации, yield curve, corporate bonds, Nelson-Siegel model, модель Нельсона-Зигеля, кривая бескупонных доходностей, ОФЗ, Russian sovereign bonds, yuan bonds, облигации в юанях

Publication based on the results of: Models and methods for identifying patterns in global and national financial markets (2025)