Market Maps

Fixed Income Insights

MONTHLY REPORT – SEPTEMBER 2023 | CHINA EDITION FOR PROFESSIONAL INVESTORS ONLY

Chinese bond yields fall, and curve flattens, on growth challenges

Chinese bond yields fell on lower policy rates and weaker growth expectations. More home-buyers are made
eligible for favourable mortgage rates, as real estate sales and investments continue to fall. Chinese dollar
HY bond losses deepened as default concerns remain. Chinese yuan weakened, alongside global peers.

Macroeconomic backdrop − PBoC cuts rates again as net exports slow, inflation falls and loan growth falters
China’s international trade reported sharp declines. Lower inflation and slower growth prospects resulted in another rate cut
after June. Increases in money supply and loan growth lose momentum. (page 2)

Chinese bonds − Onshore bond yields fell further in August with lower rates, and 10s/2s yield curve flattened
Chinese government bond yields fell sharply YTD, as did corporates. The Chinese 10s/2s yield curve flattened on lower
growth expectations, while the US curve dis-inverted. (page 3)

Chinese and Asian bonds − Asian curves flattest in four years, sovereign spreads vs US mainly negative
Asian 10s/2s yield curves stayed near four-year lows, led by Korea and India. Asian spreads are positive only in India,
Indonesia and Philippines. Chinese spreads versus G7 fell to new lows relative to October levels. (page 4)

Performance − A stronger US dollar drove losses in APAC bonds in US dollar terms, particularly in Australasia
Developed Asian Pacific bonds lost most in August and year-to-date. Higher-yielding Indonesia and India remained
outperformers YTD, while Japan and NZ lagged, partly on currency weakness. (pages 5-6)

Appendix − Global bond market returns, historical bond yields, duration and market value, foreign exchange returns.

Chart 1: China’s sales of commercial buildings slowed down, in- Chart 2: The RMB fell to its lowest level since October, as did the
creasing pressure on the economic recovery. yen. Major currencies weakened in August as the US dollar rallied.

China's real estate investment vs sale (cumulative, US dollar index and major currency exchange rate vs
YoY%) USD
120
40 160
115
30 120
110

20 80 105

100
10 40
95
0 0 90

85
-10 -40
80
-20 -80
Jul-17 Jul-18 Jul-19 Jul-20 Jul-21 Jul-22 Jul-23 75
Dec-21 Apr-22 Aug-22 Dec-22 Apr-23 Aug-23
US dollar index GBP EUR
Real estate investment Real estate sale (RHS)
JPY CNY CAD

Source: FTSE Russell. All data as of August 31, 2023. Past performance is no guarantee of future results. This report should not be considered ‘research’ for the purposes of MIFID II. Please see the end for important
legal disclosures. Bond market data is derived from FTSE Fixed Income Indices. See Appendix for list of Indices used for each market.
 Macroeconomic Backdrop – Growth and Inflation Expectations
Global growth has withstood higher rates in 2022-23, without recessions (apart from a mild Eurozone version) helped by
buoyant consumer spending, but Chinese net exports slowed sharply, and inflation turned negative in July. Chinese
monetary growth slowed further and the distressed property sector and weak consumer spending increase deflation risks.

China’s exports fell by 14.5% y/y in July, the largest drop since Covid in 2020, implying weaker demands globally. Imports also
dropped by 12.4% as Chinese demands weakened, with lower imported goods prices an important factor (Chart 1).

The US “immaculate disinflation” continues, but Chinese headline CPI fell 0.3% y/y in July (Chart 2), driven by lower pork prices.
Overall food prices decreased 0.5% y/y, while service prices increased. Concerns about deflation risks mounted, though base effects
from energy prices falling in 2023, after the sharp increases in 2022, may overstate the risks.

The PBoC cut key policy rates again in August, with the seven-day reverse repo rate down to 1.8% and 1-year MLF rate at 2.5%
(from 2.65%), as weaker exports, property and investments remain a drag on growth (Chart 3). The Loan prime rate (LPR) for 1-year
was cut to 3.45%, but not the five year rate. Signs of a major fiscal stimulus remain scarce, but monetary policy continues to ease.

China’s money supply y/y growth fell to a YTD low of 10.7% in July. China’s relatively high M2/GDP ratio reflects the high share of
bank finance for economic activity, compared to more securitised financial systems (like the US). China’s social financing y/y growth
fell marginally to 8.9%, as Chart 4 shows, driven by slowing RMB loans growth of 11%, despite resilient bond financing.

Chart 1: China’s international trade flows slowed further in July, Chart 2: Headline US inflation continues to fall, though core
with both exports and imports falling in double digits y/y. Recovery inflation is stickier at around 5%, reflecting shelter costs. China’s
prospects are further weakened by a vulnerable property market. CPI fell to -0.3%, with lower prices for food but higher for services.

China's exports and imports monthly Regional CPI Inflation (YoY%)

350 200 12.0

10.0
300
150
8.0
250
6.0
100
Bns USD

200
4.0
150
50
2.0
100
0.0
0
50
-2.0
Jul-19 Jul-20 Jul-21 Jul-22 Jul-23
0 -50
Jul-19 Jul-20 Jul-21 Jul-22 Jul-23
US Eurozone UK
China's exports China's imports
Canada Japan China
Exports YoY (RHS, %) Imports YoY (RHS, %)

Chart 3: The PBoC delivered another policy rate cut in August, Chart 4: China’s monetary growth slowed to 10.7% in July. On the
following such a move in June to boost demand and growth. Loan demand side, RMB loans registered the smallest m/m increases in
prime rate was lowered for 1Y, but the 5Y rate was unchanged. this cycle, driving total social financing growth lower to 8.9%.

YoY growth in money supply, RMB loans to real

China central bank policy rates economy, and social financing (%)
3.5
16

3.0 14

12
%

2.5 2.5

10

2.0

1.8 8

1.5
Aug-16 Aug-17 Aug-18 Aug-19 Aug-20 Aug-21 Aug-22 Aug-23 6
Jul-18 Jul-19 Jul-20 Jul-21 Jul-22 Jul-23
PBoC reverse repo rate 7D PBoC MLF 1Y
M2 RMB loans Social financing

Source: FTSE Russell and Refinitiv, China unemployment rate data from National Bureau of Statistics of China. All data as of August 31, 2023. Past performance is no guarantee of future results. Please see the end
for important legal disclosures. Bond market data is derived from FTSE Fixed Income Indices. See Appendix Glossary for list of Indices used for each market. For professional investors only.

FTSE Russell | Fixed Income Insight Report - September 2023

 Chinese Government and Corporate Bonds
Chart 1: Chinese govt yields fell in August, as the PBoC lowered Chart 2: The Chinese 10s/2s curve movement shows several
key policy rates to support the economy, following the rate cut in effects, in addition to lower short-term rates. The US curve dis-
June. China remains cautious on a massive fiscal stimulus. inverted in August, as 7-10 year yields increased.

China government bond yields (%) China and US yield curves

4.5 160

4.0 120

80
3.5
40
3.0

bps
0
2.5
-40
2.0
-80

1.5 -120

1.0 -160
Aug-18 Aug-19 Aug-20 Aug-21 Aug-22 Aug-23 Aug-18 Aug-19 Aug-20 Aug-21 Aug-22 Aug-23
China GOVT 1-3YR China GOVT 7-10YR
China 7-10YR - China 1-3YR US 7-10YR - US 1-3YR
China GOVT 20+YR

Chart 3: Policy bank spreads are now lower than pre-Covid levels, Chart 4: Chinese onshore corporate and green yields fell most YTD.
as are more volatile corporate spreads. But regional government Sovereign yields also fell near October lows, though remain well
spreads widened modestly, reflecting greater bond issuance. above the Covid lows of 2020.

Regional Govt, Policy Bank & Corp Spreads vs Selected yields on Chinese govt., corps & green bonds
5.0
Govt bonds
100

80 4.0

60
3.0
bps

40

20 2.0

0
Aug-19 Aug-20 Aug-21 Aug-22 Aug-23
1.0
China RGOV - China GOVT
Aug-18 Aug-19 Aug-20 Aug-21 Aug-22 Aug-23
China PolBank 7-10YR - China GOVT 7-10YR
China BBI_Corp 1-3YR - China GOVT 1-3YR China GOVT 1-3YR DimSum 1-3YR
China Green 1-3YR - China GOVT 1-3YR China BBI_Corp China Green_Onshore

Chart 5: Foreign investor holdings of Chinese government bonds Chart 6: Offshore RMB government bond yields trended lower in
fell sharply in July, as US Treasury yields surged to a 16-year high August, tracking onshore yields, but remained slightly higher than
and yield differentials moved further against Chinese bonds. onshore yields, in line with the recent-year trend.

Monthly foreign inflows of CGBs vs China & US 7-10yr China govt bonds offshore vs onshore yields
yields
130
5 90 110
70 90
4
50 70
Billions yuan

50
Yield(%)

3 30
bps

30
10
2 10
-10
-10
-30
1 -30
-50
-50
0 -70
Aug-20 Feb-21 Aug-21 Feb-22 Aug-22 Feb-23 Aug-23 -70
Aug-16 Aug-17 Aug-18 Aug-19 Aug-20 Aug-21 Aug-22 Aug-23

Monthly change (RHS) US 7-10YR China 7-10YR DimSum GOVT - China GOVT (All Mat)

Source: FTSE Russell and Refinitiv, *China Bond. All data as of August 31, 2023. Past performance is no guarantee of future results. Please see the end for important legal disclosures. Bond market data is derived
from FTSE Fixed Income Indices. See Appendix Glossary for list of Indices used for each market. For professional investors only.

FTSE Russell | Fixed Income Insight Report - September 2023

 China and Asian Bonds in Global Context
Chart 1: China’s 7-10-year yields have stayed consistently below Chart 2: The Malaysian and Thai 10s/2s yield curves stabilised at
Treasury and Korean yields. Philippine 7-10-year yields are among pre-Covid levels, like the Chinese curve. Indian and Korean 10s/2s
the highest in Asia, joining India and Indonesia. yield curves are almost flat, as the US curve dis-inverted.

Selected Asian 7-10yr govt bond yields Selected Asian govt. yield curves
10.0
240

210
8.0
180

150
6.0

bps
120

90
4.0
60

30
2.0
0

-30
0.0 Aug-18 Aug-19 Aug-20 Aug-21 Aug-22 Aug-23
Aug-18 Aug-19 Aug-20 Aug-21 Aug-22 Aug-23
China GOVT 7-10YR Indonesia 7-10YR China 7-10YR - China 1-3YR India 7-10YR - India 1-3YR
Phil 7-10YR Korea 7-10YR Malay 7-10YR - Malay 1-3YR Thailand 7-10YR - Thailand 1-3YR
US 7-10YR Korea 7-10YR - Korea 1-3YR

Chart 3: China 7-10 year sovereign spreads vs G7 fell further, led Chart 4: Asian 7-10yr spreads versus the US became negative
by spreads vs UK and US. Chinese spreads are only positive vs except in India, Indonesia and Philippines, as US yields rose again
Japan, which also narrowed after the BoJ lifted 10-year yield cap. in August. Higher-yielding bond spreads also narrowed.

Selected Asian govt. 7-10yr sovereign spreads vs US

China sovereign spreads v US, Germany, Japan, UK, Canada 650
450 550

350 450

250 350
bps

bps

150 250

150
50
50
-50
-50
-150
-150
-250
-250
Aug-18 Aug-19 Aug-20 Aug-21 Aug-22 Aug-23
Aug-18 Aug-19 Aug-20 Aug-21 Aug-22 Aug-23
China 7-10YR - US 7-10YR China 7-10YR - Ger 7-10YR China 7-10YR - US 7-10YR India 7-10YR - US 7-10YR
China 7-10YR - Japan 7-10YR China 7-10YR - UK 7-10YR Malay 7-10YR - US 7-10YR Thailand 7-10YR - US 7-10YR
China 7-10YR - Can 7-10YR Korea 7-10YR - US 7-10YR

Chart 5: Chinese $ HY spreads surged back to November highs, Chart 6: Australasian breakevens remain elevated at 2.3-2.5%, with
after a quick recovery in February. Wider yield spreads didn’t inflation down to 6% by June. These breakevens are on a par with
reflect the easier mortgage policies unveiled late August. or above their global peers, only lower than the UK (at 3.7%).

China property and US $ high yield credit spreads Regional inflation b/evens versus global
vs US Treasuries 290
1150 12000
270
1000 10000
250
850 8000
230
bps
bps

bps

700 6000
210

550 4000
190

400 2000
170

250 0
150
Aug-21 Feb-22 Aug-22 Feb-23 Aug-23
Aus 7-10YR - Aus IL 7-10YR NZ 7-10YR - NZ IL 5-10YR
US HY - US 7-10YR $ China Property HY - US 7-10YR (RHS) WGBI 7-10YR - WGBI IL 7-10YR

Source: FTSE Russell and Refinitiv. All data as of August 31, 2023. Past performance is no guarantee of future results. Please see the end for important legal disclosures. Bond market data is derived from FTSE Fixed
Income Indices. See Appendix Glossary for list of Indices used for each market. For professional investors only.

FTSE Russell | Fixed Income Insight Report - September 2023

 China Bond Market Returns − 1M & YTD in RMB & USD (TR) as of August 31, 2023

Onshore bonds gained 0.4-0.9% in August in RMB terms, led by regional governments, but reported losses in US dollar

China Bond Returns

terms due to a weaker yuan. Offshore RMB bonds underperformed onshore YTD, except corporates. Chinese dollar HY
credit fell 7% in August, despite the stimulus to the property market effected by easing terms on mortgage loans.

Chinese onshore sovereigns gained 0.7% in RMB terms in August, but a weaker yuan drove returns in US dollar terms negative by
-1.3%. Regional governments outperformed with RMB returns of 0.9%, as year-to-date issuance fell below 2022 levels.

DimSum bonds’ performance year-to-date was weaker vs onshore, except for corporates. YTD losses of 1.5-2.5% in US dollar
terms were largely caused by the August weakness.

Global Returns
Chinese IG in dollars lost 0.7% in August, as yields rose with Treasuries. Chinese $ HY corporates lost 7.4% over the month, led by
property sector issuers, New Metro Global and Gemdale Ever Prosperity, which have lost 21% YTD. Property remains a drag on
GDP growth, leading to easier policies on mortgage loans. New Evergrande’s filing for bankruptcy protection doesn’t help to relieve
pressures on the vulnerable market.

Financial Conditions
1M RMB 1M USD

China IG Corp ($) 1.3 China IG Corp ($) -0.7

Regional Govt 0.9 Regional Govt -1.0
China All Corp ($) 0.8 China All Corp ($) -1.2

Curves/Spreads
China Onshore (All) 0.7 China Onshore (All) -1.3
China Govt (All Mat) 0.7 China Govt (All Mat) -1.3
China Policy Bank 0.6 China Policy Bank -1.4
China Corp (RMB) 0.4 China Corp (RMB) -1.6
China Green Onshore 0.4 China Green Onshore -1.6
China HY Corp ($) -5.5 China HY Corp ($) -7.4

Appendix
OFFSHORE BONDS
Dim Sum Govt (Dom) 0.4 Dim Sum Govt (Dom) -1.6
Dim Sum Corp 0.3 Dim Sum Corp -1.7
Dim Sum 0.2 Dim Sum -1.7
Dim Sum Agency 0.0 Dim Sum Agency -2.0

YTD RMB YTD USD

China IG Corp ($) 7.6 China IG Corp ($) 2.6

China All Corp ($) 5.4 China All Corp ($) 0.5
Regional Govt 4.6 Regional Govt -0.3
China Onshore (All) 3.7 China Onshore (All) -1.1
China Govt (All Mat) 3.4 China Govt (All Mat) -1.4
China Policy Bank 3.3 China Policy Bank -1.5
China Green Onshore 3.1 China Green Onshore -1.6
China Corp (RMB) 3.1 China Corp (RMB) -1.7
China HY Corp ($) -17.7 China HY Corp ($) -21.5

OFFSHORE BONDS

Dim Sum Corp 3.2 Dim Sum Corp -1.5

Dim Sum 2.6 Dim Sum -2.1
Dim Sum Govt (Dom) 2.2 Dim Sum Govt (Dom) -2.5
Dim Sum Agency 2.2 Dim Sum Agency -2.5

Source: FTSE Russell. All data as of August 31, 2023. Past performance is no guarantee of future results. Please see the end for important legal disclosures. Bond market data is derived from FTSE Fixed Income
Indices. See Appendix Glossary for list of Indices used for each market. For professional investors only.

FTSE Russell | Fixed Income Insight Report - September 2023

 Global Bond Market Returns − 1M & YTD RMB & USD (TR) as of August 31, 2023

A stronger US dollar squeezed APAC government bond returns in August, with losses of 0.9-5%. Australasian bonds

China Bond Returns

suffered most, as China’s weak economic recovery drove regional commodity currencies lower. Emerging markets
outperformed in US dollar terms YTD, led by Indonesian and Indian bonds, which gained 6-10% in US dollar terms.

Australasian bonds lost most (3.3-5%) in US dollar terms in August, as commodity currencies weakened versus US dollar, as
China’s economic slowdown drove commodity prices and currencies lower.

Other Asian Pacific government bonds lost 0.9-3.9% in US dollar terms over the month, driven by currency effects. Developed
markets, including Korea, Singapore, and Japan, fell more than emerging markets. Indian bonds managed almost flat returns in
US dollar terms with a shallower currency depreciation.

Global Returns
In credit, US HY held up well in August, and outperformed with YTD returns of 7.4%, as risk rallied on higher-than-expected US
growth. Both US and Chinese IG credit outperformed US Treasuries year-to-date, with gains of up to 3%. But Chinese HY
corporates lost 21% year-to-date, with weaker property market data and disappointment on the scale of stimulus measures to date.

1M RMB 1M USD

Financial Conditions
CONVENTIONAL GOVT BONDS

India 2.1 India 0.1

US 1.5 US -0.5
Indonesia 1.0 Indonesia -0.9
Germany 0.8 Germany -1.2
China 0.7 China -1.3
WGBI -1.4

Curves/Spreads
WGBI 0.6
Climate WGBI 0.4 Climate WGBI -1.5
Malaysia -0.7 Malaysia -2.7
Thailand -0.8 Thailand -2.8
Australia -1.3 Australia -3.3
Singapore -1.5 Singapore -3.4
Japan -1.7 Japan -3.7
Korea -1.9 Korea -3.9
NZ -3.1 NZ -5.0

Appendix
CORPORATE BONDS

US HY 2.2 US HY 0.2
China IG Corp ($) 1.3 China IG Corp ($) -0.7
US IG 1.3 US IG -0.7
China HY Corp ($) -5.5 China HY Corp ($) -7.4

YTD RMB YTD USD

CONVENTIONAL GOVT BONDS

Indonesia 15.1 Indonesia 9.8
India 11.0 India 5.8
Germany 8.4 Germany 3.4
US 5.9 US 1.0
WGBI 5.5 WGBI 0.6
Climate WGBI 5.4 Climate WGBI 0.5
Thailand 4.6 Thailand -0.3
Malaysia 4.1 Malaysia -0.8
Singapore 3.7 Singapore -1.1
China 3.4 China -1.4
Australia 2.5 Australia -2.2
Korea 2.4 Korea -2.4
NZ -1.1 NZ -5.7
Japan -4.6 Japan -9.1

CORPORATE BONDS

US HY 12.6 US HY 7.4
US IG 8.0 US IG 3.0
China IG Corp ($) 7.6 China IG Corp ($) 2.6
China HY Corp ($) -17.7 China HY Corp ($) -21.5

Source: FTSE Russell. All data as of August 31, 2023. Past performance is no guarantee of future results. Please see the end for important legal disclosures. Bond market data is derived from FTSE Fixed Income
Indices. See Appendix Glossary for list of Indices used for each market. For professional investors only.

FTSE Russell | Fixed Income Insight Report - September 2023

 Appendix − Global Bond Market Returns % (RMB vs USD, TR), August 31, 2023

Government bond returns Top 15% Bottom 15%

China Bond Returns

Green highlight indicates highest 15%, red indicates lowest 15%.

1M 3M 6M 12M
USD RMB USD RMB USD RMB USD RMB
US 1-3YR 0.39 2.41 0.26 2.88 1.78 6.92 1.33 7.16
7-10YR -0.74 1.25 -2.59 -0.05 0.40 5.47 -3.51 2.04
20+YR -3.14 -1.20 -5.37 -2.89 -3.33 1.55 -11.00 -5.89

Global Returns
IG All -0.72 1.27 -0.02 2.59 2.02 7.18 0.82 6.62
HY All 0.22 2.23 3.51 6.21 4.71 10.00 6.75 12.88
China 1-3YR -1.75 0.22 -1.86 0.71 -3.05 1.85 -3.18 2.38
7-10YR -1.16 0.82 -0.99 1.60 -1.44 3.54 -2.06 3.57
20+YR 0.07 2.08 1.70 4.36 3.31 8.53 1.39 7.22
All -1.32 0.66 -1.15 1.43 -1.68 3.29 -2.19 3.43
China Policy Bank -1.35 0.63 -1.26 1.32 -1.74 3.23 -2.16 3.47
Regional Govt -1.04 0.94 -0.77 1.82 -0.86 4.15 -1.13 4.55

Financial Conditions
China Corp (LC) -1.56 0.41 -1.60 0.98 -2.42 2.51 -2.80 2.79
China Onshore (All) -1.26 0.73 -1.09 1.49 -1.49 3.49 -1.90 3.74
China Green Onshore -1.57 0.41 -1.61 0.96 -2.39 2.54 -2.82 2.77
China All Corp ($) -1.19 0.79 -1.35 1.23 -1.39 3.59 0.60 6.38
China IG Corp ($) -0.66 1.34 -0.57 2.03 1.38 6.51 1.95 7.81
China HY Corp ($) -7.35 -5.49 -10.12 -7.77 -28.03 -24.39 -13.41 -8.44
Offshore Govt (DimSum) -1.55 0.42 -1.06 1.53 -2.31 2.63 -2.82 2.77
Asia-Pac 1-3YR -2.09 -0.12 -1.10 1.48 -1.80 3.16 -1.29 4.38

Curves/Spreads
7-10YR -2.00 -0.04 -1.09 1.49 -0.38 4.65 0.04 5.79
20+YR -2.16 -0.19 0.15 2.77 1.52 6.65 1.85 7.71
All -2.11 -0.15 -1.01 1.58 -0.68 4.34 -0.17 5.57
Australia 1-3YR -3.27 -1.33 0.33 2.95 -2.82 2.10 -3.84 1.69
7-10YR -3.22 -1.28 -2.01 0.55 -3.18 1.72 -4.96 0.51
20+YR -3.93 -2.00 -4.15 -1.65 -5.84 -1.08 -11.33 -6.23
All -3.29 -1.35 -1.43 1.15 -3.18 1.71 -4.99 0.48
India 1-3YR -0.20 1.81 1.21 3.85 3.71 8.96 2.16 8.03

Appendix
7-10YR 0.04 2.05 0.77 3.41 5.05 10.36 3.25 9.18
20+YR 0.46 2.48 0.04 2.65 4.95 10.25 5.66 11.73
All 0.07 2.08 0.67 3.30 4.79 10.09 3.69 9.65
Indonesia 1-3YR -0.86 1.13 -1.05 1.54 3.40 8.63 3.07 8.99
7-10YR -0.63 1.37 0.20 2.82 6.05 11.41 8.97 15.24
20+YR -0.52 1.47 1.49 4.14 8.58 14.07 11.97 18.41
All -0.94 1.05 -0.05 2.56 5.85 11.20 7.88 14.08
Japan 1-3YR -2.45 -0.49 -4.15 -1.65 -6.50 -1.77 -4.93 0.54
7-10YR -2.59 -0.63 -5.25 -2.77 -5.96 -1.20 -6.42 -1.05
20+YR -5.72 -3.83 -10.93 -8.60 -10.07 -5.52 -12.68 -7.66
All -3.66 -1.73 -7.03 -4.60 -7.26 -2.57 -8.33 -3.06
Korea 1-3YR -3.33 -1.39 0.98 3.62 1.96 7.11 4.83 10.86
7-10YR -3.76 -1.83 -0.60 2.00 1.88 7.03 4.37 10.37
20+YR -4.56 -2.64 -0.53 2.07 -0.49 4.54 1.98 7.84
All -3.87 -1.94 -0.11 2.50 1.15 6.26 3.80 9.77
Malaysia 1-3YR -2.51 -0.56 0.27 2.89 -1.61 3.36 -0.02 5.73
7-10YR -2.47 -0.51 -0.30 2.31 -0.85 4.16 1.66 7.50
20+YR -3.22 -1.28 -1.03 1.56 0.27 5.34 5.15 11.19
All -2.69 -0.74 -0.18 2.43 -0.82 4.19 1.78 7.63
New Zealand 1-3YR -4.10 -2.17 -0.85 1.75 -2.82 2.09 -1.77 3.88
7-10YR -5.30 -3.40 -4.03 -1.52 -3.97 0.88 -5.55 -0.12
20+YR -7.01 -5.15 -9.35 -6.98 -8.02 -3.37 -10.55 -5.41
All -5.01 -3.10 -3.36 -0.83 -3.91 0.95 -4.56 0.92
Singapore 1-3YR -1.52 0.46 0.84 3.48 1.67 6.81 5.16 11.21
7-10YR -2.28 -0.32 -0.91 1.69 2.87 8.07 5.03 11.07
20+YR -9.72 -7.90 -11.52 -9.20 -2.66 2.26 5.10 11.15
All -3.43 -1.49 -2.42 0.14 1.61 6.74 5.18 11.22
Thailand 1-3YR -2.16 -0.19 -0.40 2.20 1.30 6.42 4.85 10.88
7-10YR -3.44 -1.50 -2.14 0.42 0.45 5.53 5.10 11.14
20+YR -3.12 -1.17 -0.56 2.04 3.02 8.22 13.49 20.02
All -2.80 -0.84 -1.17 1.41 1.16 6.27 6.05 12.14

Source: FTSE Russell. All data as of August 31, 2023. Past performance is no guarantee of future results. Please see the end for important legal disclosures. Bond market data is derived from FTSE Fixed Income
Indices. See Appendix Glossary for list of Indices used for each market. For professional investors only.

FTSE Russell | Fixed Income Insight Report - September 2023

 Appendix − Global Bond Market Yields %, August 31, 2023

Green highlight indicates highest 15%, red indicates lowest 15%. Top 15% Bottom 15%

China Bond Returns

Conventional government bonds Inflation-linked bonds Inv Grade High Yld
1-3YR 3-5YR 7-10YR 20+YR 1-5YR 5-10YR 20+YR All Mat All Mat

US Current 4.99 4.39 4.12 4.32 2.50 1.94 2.01 5.65 8.44
3M Ago 4.61 3.92 3.65 3.94 2.08 1.52 1.68 5.43 8.86
6M Ago 4.90 4.34 3.93 4.01 1.82 1.57 1.65 5.55 8.62
12M Ago 3.49 3.44 3.19 3.46 0.87 0.75 1.14 4.86 8.37

Global Returns
UK Current 4.91 4.63 4.31 4.53 1.11 0.67 1.12
3M Ago 4.55 4.33 4.10 4.45 1.18 0.54 1.06
6M Ago 3.95 3.79 3.72 4.07 0.45 0.18 0.67
12M Ago 3.04 2.99 3.00 3.33 -1.97 -1.34 -0.31

Japan Current -0.02 0.14 0.53 1.55 -1.82 -0.76

3M Ago -0.08 0.01 0.33 1.22 -1.51 -0.77

Financial Conditions
6M Ago -0.04 0.11 0.53 1.35 -1.25 -0.36
12M Ago -0.10 -0.02 0.24 1.18 -1.28 -0.81

China Current 2.06 2.28 2.59 2.93

3M Ago 2.13 2.36 2.70 3.14
6M Ago 2.38 2.62 2.86 3.32
12M Ago 1.96 2.35 2.71 3.14

Curves/Spreads
EM Current 3.50 4.22 4.80 4.34 2.84 4.28 5.01 6.14
3M Ago 3.74 4.16 4.62 4.44 4.34 4.24 5.00 5.78
6M Ago 3.71 4.48 4.88 4.57 1.46 3.33 5.35 5.95
12M Ago 3.49 4.18 4.90 4.68 2.63 3.35 5.09 5.25

Germany Current 3.03 2.53 2.38 2.55 0.64 0.13 0.11

3M Ago 2.71 2.30 2.20 2.40 0.37 -0.04 -0.13
6M Ago 3.09 2.78 2.59 2.57 0.22 0.08 0.03

Appendix
12M Ago 0.97 1.91 2.07 2.06 -0.64 -0.20 -0.17

Italy Current 3.56 3.53 3.87 4.41 1.37 1.72 1.86

3M Ago 3.35 3.42 3.89 4.43 1.11 1.62 1.80
6M Ago 3.65 3.81 4.18 4.55 0.84 1.69 1.90
12M Ago 2.11 3.13 3.83 4.11 0.34 1.78 1.82

France Current 3.09 2.85 2.87 3.36 0.48 0.37 0.71

3M Ago 2.83 2.63 2.68 3.24 0.22 0.20 0.53
6M Ago 3.18 3.03 3.01 3.37 -0.05 0.24 0.69
12M Ago 1.21 2.26 2.64 3.15 -0.59 0.28 0.72

Sweden Current 3.43 3.00 2.75 1.33 1.14

3M Ago 2.97 2.62 2.31 0.74 0.55
6M Ago 3.18 2.96 2.65 0.64 0.72
12M Ago 2.24 2.38 2.24 -0.93 -0.36

Australia Current 3.85 3.75 3.99 4.42 0.97 1.43 1.84

3M Ago 3.51 3.38 3.58 4.12 0.42 1.03 1.59
6M Ago 3.66 3.65 3.83 4.19 0.50 1.26 1.78
12M Ago 3.11 3.71 4.03 4.37 0.67 1.53 2.05

NZ Current 5.30 4.96 4.89 5.07 2.15 2.58

3M Ago 5.08 4.35 4.28 4.46 1.23 1.85
6M Ago 5.06 4.68 4.57 4.67 1.40 2.07
12M Ago 3.85 4.51 4.48 4.78 1.57 2.22

Canada Current 4.50 3.65 3.44 1.88 5.55

3M Ago 4.04 3.22 3.18 1.44 5.24
6M Ago 4.04 3.35 3.26 1.34 5.16
12M Ago 3.56 3.14 3.06 1.23 4.96

Source: FTSE Russell. All data as of August 31, 2023. Past performance is no guarantee of future results. Please see the end for important legal disclosures. Bond market data is derived from FTSE Fixed Income
Indices. See Appendix Glossary for list of Indices used for each market. For professional investors only.

FTSE Russell | Fixed Income Insight Report - September 2023

 Appendix − Duration and Market Value (USD, Bn), August 31, 2023

Conventional Government Bonds

China Bond Returns

Duration Market Value
3-5YR 7-10YR 20+YR Overall 3-5YR 7-10YR 20+YR Total
US 3.7 7.4 17.1 5.9 2,326.2 1,094.2 1,242.6 10,402.0
China 3.7 7.5 17.7 5.6 479.2 337.8 256.1 2,158.8
China Pol Bank 4.5 2,726.5
China Reg Govt 7.9 2,019.4
DimSum 3.5 3.4 1.8 6.1
APGBI 3.6 7.3 17.8 6.4 742.0 673.3 485.5 3,815.1
Aus 3.5 7.7 17.4 6.5 50.5 86.0 14.8 317.1

Global Returns
India 3.2 6.1 11.7 6.8 136.4 194.2 245.0 1,056.8
Indonesia 3.2 6.1 11.6 6.1 34.3 70.7 11.4 229.2
Japan 3.9 8.1 23.8 12.0 353.3 356.3 646.4 3,009.1
Korea 3.6 7.1 18.7 9.0 87.6 87.6 165.7 610.2
Malaysia 3.7 7.2 14.9 7.4 21.4 13.9 15.7 112.2
NZ 3.8 7.6 16.7 6.4 9.4 13.2 2.3 47.4
Singapore 3.6 7.0 19.5 7.5 18.7 14.0 13.1 95.2

Financial Conditions
Thailand 3.8 7.5 17.0 6.2 27.4 27.5 6.5 140.4
BS CC BI BT CD BJ CK CL

Corporate Bonds
Duration Market Value
Inv Grade High Yield Overall Inv Grade High Yield Overall
US 7.0 4.0 6,388.7 1,031.8
China Corp (LC) 2.3 548.0
China Green Onshore 2.4 149.2

Curves/Spreads
China Corp ($) 4.0 2.3 7.9 242.0 19.4 261.4
DimSum 2.1 0.0 2.2 9.8 0.0 10.8
EM 5.0 3.4 4.6 585.1 186.0 771.2
EUxUK 4.5 3.1 2,809.7 416.0

Other Sectors
Duration Market Value
Supra Agency Corp NR Supra Agency Corp NR

Appendix
Offshore (DimSum) 2.1 2.5 2.5 1.4 5.7 1.1

Average Duration
Conventional Government Bonds
14
12.0
12

10 9.0
7.9 7.5
8 7.4
6.4 6.5 6.8 6.4
5.9 6.1 6.2
5.6
6 4.5
4 3.4

0
US China China China DimSum APGBI Aus India Indonesia Japan Korea Malaysia NZ Singapore Thailand
Pol Bank Reg Govt

Total Market Value (USD Billions)

Conventional government bonds
12,000
10,402.0
10,000

8,000

6,000
3,815.1
4,000 3,009.1
2,726.5
2,158.8 2,019.4
2,000 1,056.8
317.1 610.2
6.1 229.2 112.2 47.4 95.2 140.4
0
US China China China DimSum APGBI Aus India Indonesia Japan Korea Malaysia NZ Singapore Thailand
Pol Bank Reg Govt

Data as of 2023- 08- 31

Source: FTSE Russell. All data as of August 31, 2023. Past performance is no guarantee of future results. Please see the end for important legal disclosures. Bond market data is derived from FTSE Fixed Income
Indices. See Appendix Glossary for list of Indices used for each market. For professional investors only.

FTSE Russell | Fixed Income Insight Report - September 2023

 Appendix − Foreign Exchange Returns % as of August 31, 2023

FX Moves vs USD - 1M FX Moves vs USD - 3M

Sri Lankan Rupee 2.7 Mexican Peso 5.5

Indian Rupee -0.6 S.African Rand 4.7
Mexican Peso -0.8 Brazilian Real 3.5
Indonesian Rupiah -1.0 Pound Sterling 2.2
Taiwan Dollar -1.3 Euro 1.8
Pound Sterling -1.5 Korean Won 0.4
Euro -1.6 Singapore Dollar 0.3
Singapore Dollar -1.7 Australian Dollar 0.1
Chinese Yuan -2.0 Indian Rupee -0.1
Thai Baht -2.3 Malaysian Ringgit -0.5
Japanese Yen -2.4 Thai Baht -0.6
Malaysian Ringgit -2.8 New Zealand Dollar -0.7
Philippine Peso -3.0 Philippine Peso -0.8
Korean Won -3.6 Indonesian Rupiah -1.6
Australian Dollar -3.9 Chinese Yuan -2.5
Brazilian Real -3.9 Taiwan Dollar -3.5
New Zealand Dollar -4.3 Japanese Yen -4.0
S.African Rand -6.1 Sri Lankan Rupee -9.0

FX Moves vs USD - YTD FX Moves vs USD - 12M

Mexican Peso 15.8 Mexican Peso 19.5

Sri Lankan Rupee 15.2 Sri Lankan Rupee 12.9
Brazilian Real 6.6 Pound Sterling 8.9
Pound Sterling 5.3 Euro 7.9
Indonesian Rupiah 2.2 Brazilian Real 4.6
Euro 1.7 Thai Baht 4.1
Indian Rupee -0.1 Singapore Dollar 3.3
Singapore Dollar -0.7 Korean Won 1.2
Thai Baht -1.1 Philippine Peso -0.8
Philippine Peso -1.6 Indonesian Rupiah -2.5
Taiwan Dollar -3.5 New Zealand Dollar -2.9
Korean Won -4.3 Malaysian Ringgit -3.5
Australian Dollar -4.5 Indian Rupee -4.0
Chinese Yuan -4.6 Taiwan Dollar -4.4
Malaysian Ringgit -5.1 Japanese Yen -4.8
New Zealand Dollar -5.9 Chinese Yuan -5.4
Japanese Yen -9.4 Australian Dollar -5.5
S.African Rand -10.1 S.African Rand -10.0

Source: FTSE Russell and Refinitiv. All data as of August 31, 2023. Past performance is no guarantee of future results. Please see the end for important legal disclosures. Bond market data is derived from FTSE Fixed
Income Indices. See Appendix Glossary for list of Indices used for each market. For professional investors only.

FTSE Russell | Fixed Income Insight Report - September 2023

 Appendix − Glossary

Bond markets are based on the following Indices:

Total Returns
FTSE World Government Bond Index (WGBI) for all global government bond markets
FTSE World Inflation-Linked Securities Index (WorldILSI) for all global inflation-linked bond markets
FTSE US Broad Investment-Grade Bond Index (USBIG®) for the US corporate bond market
FTSE US High-Yield Market Index for the US high yield bond market
FTSE Euro Broad Investment-Grade Bond Index (EuroBIG®) for the Euro-denominated corporate bond market

Historical Yields
FTSE European High-Yield Market Index for the European high yield market
FTSE Chinese Government and Policy Bank Bond Index (CNGPBI) for the Chinese government bond market
FTSE Emerging Markets Inflation-Linked Securities Index (EMILSI) for the emerging markets inflation-linked bond market
FTSE Emerging Markets Government Bond Index (EMGBI) for the emerging markets government bond market. Please note that
over 50% of this index is invested in China.
FTSE Emerging Markets Broad Bond Index (EMUSDBBI) for the emerging markets corporate bond market

Growth/Inflation
List of Abbreviations used in charts:

IL = Inflation-linked bonds
IG = Investment-grade bonds

Financial Conditions
HY = High-yield bonds
BPS = Basis points
EM = Emerging market
LC = Local currency

Curves
Spreads
Credit/Equities
MBS
Appendix

Source: FTSE Russell. All data as of August 31, 2023. Past performance is no guarantee of future results. Please see the end for important legal disclosures. For professional investors only.

FTSE Russell | Fixed Income Insight Report - September 2023

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FTSE Russell | Fixed Income Insight Report - September 2023