Using almost 160 000 secondary-market trades for all thirty-one mainland provinces between 2015 and 2024, this paper asks whether China’s provincial-bond yields reflect local credit fundamentals or remain anchored by expectations of central support. Panel regressions of the municipal–treasury spread on bond-level traits and province-year fiscal variables, with province and year fixed effects, yield three integrated findings. First, the structure of intergovernmental transfers is decisive: a larger budgeted (formula-based) transfer-to-GDP ratio and a higher share of discretionary “free” transfers both narrow spreads, whereas unanticipated execution shortfalls widen them, showing that investors reward predictable and flexible support and penalize uncertainty. Second, fiscal discipline is priced. Higher deficits relative to GDP or expenditure raise borrowing costs, an effect that peaks at maturities below three years where liquidity risk is most salient. Third, the term structure of spreads is steep at the front end and almost flat beyond ten years. Coupon, deficit and transfer variables account for the yields on bonds with short and medium maturities. In contrast, spreads on bonds with long maturities hardly respond to any observable factor. This muted reaction stems partly from the challenge of gauging default risk far in the future and partly from institutional arrangements such as zero risk weighting for banks, eligibility as collateral at the People’s Bank of China and classification as high quality liquid assets. Together these rules narrow the differences in borrowing costs across provinces at long horizons. Fixed-effect estimates reveal persistent geographic heterogeneity: prosperous coastal provinces such as Guangdong, Jiangsu, Shandong, and Zhejiang pay the lowest premia once fundamentals and market depth are considered, whereas older industrial or resource-dependent regions face elevated spreads unless cushioned by large, regular transfers. Overall, China’s provincial-bond market operates in a hybrid regime: investors now discriminate on observable fiscal capacity and transfer credibility, yet implicit guarantees and regulatory privilege still mute risk pricing at the long end. Strengthening real-time fiscal disclosure, codifying and enforcing transparent transfer rules, and phasing out preferential capital treatment would sharpen market signals and advance the transition toward fully risk-based provincial borrowing.