The paper examines the pricing of Chinese yuan (CNY)-denominated corporate bonds issued by Russian firms in the wake of international sanctions and rapid bilateral trade growth. Using a novel bond-level dataset from 2022–2025, we construct spread indices for CNY-, USD-, and RUB-denominated bonds and investigate the determinants of yield differentials. Contrary to the assumption that foreign currency denomination neutralizes exchange rate risk, our findings show that CNY bonds exhibit strong sensitivity to ruble depreciation and domestic monetary dynamics. Results reveal limited integration with Chinese financial benchmarks, highlighting the persistent role of currency risk and investor segmentation. Our study contributes to the literature on foreign currency debt pricing by controlling for the effects of market segmentation and offering insights for issuers exploring non-dollar funding under capital controls.