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2025-12-15 19:18:49
[Interest Rate Spread Opportunity: Portuguese Bonds Appear "Cheap" Relative to Spanish Bonds, but the Potential is Limited] ⑴ After adjusting for the directional spread between the two countries, 5-year Portuguese bonds appear "cheap" relative to 5-year Spanish bonds. ⑵ Based on three-month constant yield regression analysis, the yield on 5-year Portuguese bonds is 1.8 basis points lower than the beta-adjusted yield on 5-year Spanish bonds. ⑶ This deviation reaches 2.4 standard deviations, indicating a statistically significant deviation in the current relative price relationship. ⑷ However, in terms of absolute basis points, the potential arbitrage space of 1.8 basis points is not large, and therefore may only be attractive to investors who already hold relevant positions or have specific trading needs. ⑸ It is worth noting that the correlation coefficient between the yield series of these two countries' bonds has reached 0.995 over the past three months, showing a very strong correlation.
