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2025-10-31 19:52:03
[Abnormal Yield Spread Between Italian and Portuguese Bonds, 5-Year Yield Curve Shows Arbitrage Opportunity] ⑴ After directional adjustment of the yield spread, the Italian 5-year bond yield curve appears overvalued relative to its Portuguese counterparts. ⑵ Based on two-month constant yield regression analysis, the Italian 5-year bond yield is 2.7 basis points higher than the beta-adjusted Portuguese 5-year yield. ⑶ This spread represents 2.3 standard deviations, indicating a deviation exceeding normal fluctuations. ⑷ The current valuation difference offers potential opportunities for relative value trading, and the market may experience mean reversion. ⑸ Investors should pay attention to the possibility of convergence in the yield spread between the two countries; the overvaluation of Italian bonds may be unsustainable. ⑹ Technical indicators suggest that Portuguese 5-year bonds are more attractive relative to their value, with room for a revaluation of their allocation value.
