债市微观结构跟踪：债市情绪低位回升

1. Report Industry Investment Rating No relevant content provided. 2. Core View of the Report - The reading of the micro - trading thermometer in the bond market this period has increased by 2 percentage points to 43%. Except for trading heat, the average quantile of other indicators has risen. The decline in the average quantile of trading heat is mainly due to the different degrees of decline in the quantile values of relative turnover rate and TL/T long - short ratio. The indicators with a relatively large increase in value include fund divergence, listed company's wealth management purchase volume, real estate price ratio, and policy spread [2][14]. - The proportion of indicators in the over - heated range remains at 10%. Among the 20 micro - indicators, 2 are in the over - heated range (10%), 11 are in the neutral range (55%), and 7 are in the cold range (35%). Some indicators have changed their ranges [3][19]. 3. Summary by Relevant Catalogs 3.1. Micro - trading Thermometer Reading - The "Guojin Securities Fixed Income - Bond Market Micro - trading Thermometer" has increased by 2 percentage points to 43% compared with the previous period. Except for trading heat, the average quantile of other indicators has risen. The decline in the average quantile of trading heat is due to the decline in the quantile values of relative turnover rate and TL/T long - short ratio, while indicators such as fund divergence, listed company's wealth management purchase volume, real estate price ratio, and policy spread have increased significantly [2][14]. 3.2. Proportion of Indicators in the Over - heated Range - Among the 20 micro - indicators, 2 are in the over - heated range (10%), 11 are in the neutral range (55%), and 7 are in the cold range (35%). The 30/10Y Treasury bond turnover rate has dropped from the neutral range to the cold range, the allocation disk strength has dropped from the over - heated range to the neutral range, the policy spread and stock - bond price ratio have risen from the cold range to the neutral range, and the institutional leverage has risen from the neutral range to the over - heated range [3][19]. 3.3. Changes in Different Indicator Categories 3.3.1. Trading Heat Indicators - The average quantile of trading heat indicators has decreased by 7 percentage points. The quantile values of 30/10Y and 1/10Y relative turnover rates have decreased by 43 and 10 percentage points respectively, and the quantile value of TL/T long - short ratio has decreased by 6 percentage points. The quantile values of the whole - market turnover rate and institutional leverage have increased by 7 and 11 percentage points respectively. The proportion of indicators in the over - heated range has risen to 17%, the proportion in the neutral range has dropped to 50%, and the proportion in the cold range has risen to 33%. The 30/10Y Treasury bond turnover rate has dropped from the neutral range to the cold range, and the institutional leverage has risen from the neutral range to the over - heated range [4][5]. 3.3.2. Institutional Behavior Indicators - The average quantile of institutional behavior indicators has increased by 6 percentage points. Only the quantile values of fund duration and allocation disk strength have decreased by 8 and 4 percentage points respectively, while the quantile values of other indicators have increased to varying degrees. The quantile values of listed company's wealth management purchase volume and fund divergence have increased by 21 and 18 percentage points respectively. The proportion of indicators in the over - heated range has dropped to 13%, the proportion in the neutral range has risen to 63%, and the proportion in the cold range remains at 25%. The allocation disk strength has dropped from the over - heated range to the neutral range [4][6]. 3.3.3. Spread Indicators - The average quantile of spread indicators has increased by 7 percentage points. The market spread and policy spread quantile values have increased by 2 and 12 percentage points respectively. The policy spread has continued to narrow by 4bp to 4bp, and its quantile value has increased by 12 percentage points to 42%, rising from the cold range to the neutral range. The credit spread has widened by 2bp, the Agricultural Development - CDB spread has slightly widened by 1bp, and the IRS - SHIBOR 3M spread has narrowed by 3bp. The average spread of the three remains basically at 17bp, and its quantile value has increased by 2 percentage points to 44%, remaining in the neutral range [4][7]. 3.3.4. Price Ratio Indicators - The average quantile of price ratio indicators has increased by 7 percentage points. The proportion of indicators in the cold range has dropped to 75%, and the proportion in the neutral range has risen to 25%. The stock - bond price ratio quantile value has continued to increase by 7 percentage points to 40%, and the commodity price ratio and real estate price ratio quantile values have increased by 4 and 16 percentage points respectively, still remaining in the cold range [4][8].