固收深度报告：政策利差继续小幅收窄

Group 1: Overall Report Summary - The reading of the bond market micro - trading thermometer increased by 5 percentage points to 48%. Except for the spread congestion, the average quantile of other indicators rose. High - congestion indicators include the purchase volume of ultra - long bonds by funds [2][14]. - The proportion of indicators in the over - heated range increased slightly to 15%. Among 20 micro - indicators, 3 were in the over - heated range (15%), 9 were in the neutral range (45%), and 8 were in the cold range (40%). The TL/T long - short ratio moved from the cold to the neutral range, while the allocation disk strength and the stock - bond ratio moved from the neutral to the cold range [3][19]. Group 2: Indicator Category Analysis Trading Heat Indicators - The proportion of indicators in the over - heated range remained at 17%, in the neutral range increased to 67%, and in the cold range decreased to 17%. The TL/T long - short ratio quantile rose 40 percentage points to 49%, moving from the cold to the neutral range. The 30/10Y and 1/10Y relative turnover rate quantiles rose 24 and 14 percentage points respectively, driving the average trading heat quantile up 13 percentage points [5][21]. Institutional Behavior Indicators - The proportion of indicators in the over - heated range rose to 25%, in the neutral range dropped to 38%, and in the cold range rose to 38%. The allocation disk strength quantile dropped 35 percentage points to 33%, moving from the neutral to the cold range. The average institutional behavior quantile rose slightly by 2 percentage points [6][26]. Spread Indicators - The spread quantile average dropped slightly by 1 percentage point. The market spread dropped 4 percentage points, while the policy spread quantile rose 2 percentage points. The policy spread narrowed slightly by 1bp to 3bp, with the quantile rising to 43% and remaining in the neutral range. The average of credit spread, IRS - SHIBOR 3M spread, and Agricultural Development - National Development spread widened slightly by 1bp to 18bp, with the quantile dropping 4 percentage points to 40% and remaining in the neutral range [4][7]. Comparison Ratio Indicators - The proportion of indicators in the cold range rose to 100%. The stock - bond ratio quantile dropped 2 percentage points to 38%, moving from the neutral to the cold range. The commodity and real - estate comparison ratio quantiles rose 5 and 4 percentage points respectively, remaining in the cold range. The consumer goods comparison ratio remained in the cold range. The average comparison ratio quantile rose 2 percentage points [8][33].