债市微观结构跟踪：交易情绪低位徘徊

1. Report Industry Investment Rating No relevant content provided. 2. Core View of the Report "Guojin Securities Fixed Income - Bond Market Micro Transaction Thermometer" dropped 1 percentage point to 43%. The proportion of indicators in the overheated range among 20 micro - indicators rose to 20%, those in the neutral range decreased to 30%, and those in the cold range remained at 50%. Different types of indicators showed various changes in their values and ranges [2][3][14]. 3. Summary by Relevant Catalogs 3.1. This period, the reading of the micro - transaction thermometer dropped 1 percentage point to 43% - The "Guojin Securities Fixed Income - Bond Market Micro Transaction Thermometer" decreased by 1 percentage point to 43%. Indicators with larger declines include TL/T long - short ratio, fund duration, fund - rural commercial bank buying volume, market and policy spreads, and commodity price ratio. Indicators with larger increases are 30/10Y and 1/10Y Treasury bond turnover rates, with their percentile values rising by 65 and 60 percentage points respectively. Currently, indicators with high congestion include 1/10Y Treasury bond turnover rate and fund ultra - long bond buying volume [2][14]. 3.2. This period, the proportion of indicators in the over - heated range rose to 20% - Among 20 micro - indicators, 4 are in the over - heated range (20%), 6 in the neutral range (30%), and 10 in the cold range (50%). The ranges of some indicators have changed: stock - bond price ratio and fund - rural commercial bank buying volume dropped from the neutral to the cold range; TL/T long - short ratio dropped from the over - heated to the neutral range; 30/10Y and 1/10Y Treasury bond turnover rates rose from the cold and neutral ranges to the over - heated range respectively; allocation disk strength rose from the cold to the neutral range [3][19]. - Transaction heat percentile value increased by 17 percentage points. Except for the TL/T long - short ratio, whose percentile value dropped by 33 percentage points, other transaction heat indicators' percentile values all increased. The 30/10Y and 1/10Y Treasury bond turnover rates' percentile values increased significantly by 65 and 60 percentage points respectively. The average percentile value of transaction heat increased by 17 percentage points. Among institutional behavior indicators, except for the allocation disk strength whose percentile value increased by 16 percentage points, other indicators' percentile values dropped. The fund duration and fund - rural commercial bank buying volume percentile values decreased by 25 and 51 percentage points respectively, driving the average percentile value of institutional behavior down by 10 percentage points. Market and policy spread percentile values both increased, driving the average spread percentile value down by 12 percentage points. Stock - bond, commodity, and real estate price ratio percentile values all dropped, while the consumer goods price ratio percentile value increased slightly by 9 percentage points, and the average percentile value of price ratios increased by 7 percentage points [4][19]. 3.2.1. Relative turnover rate percentile value increased significantly - In transaction heat indicators, the proportion of indicators in the over - heated range rose to 33%, in the neutral range remained at 17%, and in the cold range dropped to 50%. The 30/10Y and 1/10Y Treasury bond turnover rates' percentile values increased by 65 and 60 percentage points respectively, with the former rising from the cold to the over - heated range and the latter from the neutral to the over - heated range. The TL/T long - short ratio percentile value dropped 33 percentage points to 51%, falling from the over - heated to the neutral range [5][21]. 3.2.2. Allocation disk strength continued to rise - Among institutional behavior indicators, the proportion of indicators in the over - heated, neutral, and cold ranges remained at 25%, 50%, and 25% respectively. The fund - rural commercial bank buying volume percentile value dropped 51 percentage points to 6%, falling from the neutral to the cold range, while the allocation disk strength percentile value increased 16 percentage points, rising from the cold to the neutral range [6][22]. 3.2.3. Policy spread continued to widen under the bond market correction - The bond market corrected comprehensively. The spread between the 3 - year Treasury bond and OMO increased from 6bp to 11bp, and its percentile value dropped 14 percentage points to 22%, still in the cold range. Credit spread, Agricultural Development - China Development spread continued to compress by 6bp and 1bp to 46bp and 10bp respectively, while the IRS - SHIBOR 3M spread widened by 13bp to - 5bp. The average spread of the three widened by 2bp to 17bp, and its percentile value dropped 10 percentage points to 41%, in the neutral range [7][29]. 3.2.4. Consumer goods price ratio percentile value increased by 9 percentage points - All price - ratio indicators are in the cold range. The stock - bond price ratio percentile value dropped 8 percentage points to 36%, falling from the neutral to the cold range. The commodity price ratio percentile value dropped significantly by 19 percentage points to 8%, still in the cold range [8][31].