Issued by local government financing vehicles and backed mostly by land sales, chengtou bonds are an important source of financing for Chinese local governments. We identify large heterogeneity in chengtou bond yields, even though they are guaranteed by the central government. Factors reflecting China's aggregate credit risk and monetary policy are priced in the cross section. Reflecting the nature of their collateral, real estate variables are important drivers of chengtou bond yields, as are other macro fundamentals and liquidity characteristics. We find a significantly positive relation between chengtou yields and an index of local government corruption.