如何定价地方债？

Core Viewpoint - Recent fluctuations in 30-year government bonds have been significant, while local government bonds remain stable, raising market concerns about the future trajectory of local bonds [1][5]. Group 1: Factors Influencing Local Government Bonds - The local government bond and government bond yield spread is influenced by multiple factors, including the risk-free interest rate anchor, funding costs, institutional behavior, risk appetite, local bond supply, and trading liquidity [2][8]. - The risk-free interest rate anchor reflects the macro interest rate environment and directly affects the valuation of interest rate bonds, with a negative correlation between the risk-free rate and the local bond-government bond spread [8]. - Short-term funding costs, indicated by the rise in DR007, lead to increased marginal costs for institutions, causing a preference for more liquid government bonds and widening the local bond-government bond spread [10]. Group 2: Market Dynamics and Predictions - The model indicates that the current 10-year local bond-government bond spread is close to its fitted value, while the 30-year spread is significantly above it, suggesting that the long-end local bonds are undervalued with limited upward space [3][30]. - Predictions for 2026 suggest that the average spreads for 10-year and 30-year local bonds will be lower than current levels, at approximately 14.3bps and 14.9bps respectively, indicating limited risk for further increases in spreads [31]. - The current market environment presents both challenges and opportunities for local bonds, with rising bond yields improving relative value, and a shift in supply dynamics observed in the issuance schedule [34].