债市微观结构跟踪：商品比价分位值大幅回升

1. Report Industry Investment Rating No relevant content provided. 2. Core Views of the Report - The reading of the micro - trading thermometer for this period dropped by 5 percentage points to 51%. The indicators with relatively large declines include the TL/T long - short ratio, fund ultra - long bond buying volume, fund - rural commercial bank buying volume, and policy spread. The indicators with relatively large increases include institutional leverage, allocation disk strength, and commodity price ratio [2][14]. - The proportion of indicators in the over - heated range this period rose to 35%. Among the 20 micro - indicators, 7 (35%) were in the over - heated range, 5 (25%) were in the neutral range, and 8 (40%) were in the cold range. The TL/T long - short ratio and policy spread dropped from the neutral range to the cold range, the fund - rural commercial bank buying volume dropped from the over - heated range to the cold range, and the commodity price ratio rose from the cold range to the neutral range [3][19]. - The average value of the price ratio matching quantile increased significantly. The trading heat quantile average decreased by 3 percentage points, the institutional behavior quantile average decreased by 11 percentage points, the spread quantile average decreased by 15 percentage points, and the price ratio quantile average increased by 10 percentage points [4][19]. 3. Summary According to Relevant Catalogs 3.1 TL/T Long - Short Ratio Quantile Drops - In the trading heat indicators this period, the proportion of indicators in the over - heated range remained at 50%, the proportion in the neutral range dropped to 17%, and the proportion in the cold range rose to 33%. The TL/T long - short ratio quantile decreased by 33 percentage points, dropping from the neutral range to the cold range [5][20]. - The 30/10Y treasury bond turnover rate dropped to 1.95%, and its past - year quantile decreased by 2 percentage points to 90% [20]. 3.2 Allocation Disk Strength Increases - In the institutional behavior indicators this period, the proportion of indicators in the over - heated range remained at 50%, the proportion in the neutral range remained at 25%, and the proportion in the cold range remained at 25%. The fund - rural commercial bank buying volume quantile dropped significantly by 73 percentage points, from the over - heated range to the cold range [6][26]. - The allocation disk strength increased by 0.06 percentage points to 0.23%, and its past - year quantile also increased by 14 percentage points to 90% [27]. 3.3 Policy Spread Widens - The 3 - year treasury bond yield rose significantly this period. The policy spread widened from 0bp to 8bp, and its quantile dropped by 28 percentage points to 21%, falling into the cold range [7][29]. - The credit spread and IRS - SHIBOR 3M spread widened by 4bp and 1bp respectively, and the average spread of the three widened from 16bp to 18bp, with its quantile dropping by 3 percentage points to 47%, in the neutral range [7][29]. 3.4 Commodity Price Ratio Quantile Rises Significantly - The proportion of price ratio indicators in the cold range dropped to 75%, and the proportion in the neutral range rose to 25%. The real estate price ratio quantile dropped by 2 percentage points, the commodity price ratio quantile rose significantly by 40 percentage points, from the cold range to the neutral range, the consumer goods price ratio quantile also rose slightly by 9 percentage points, and the stock - bond price ratio quantile changed little [8][32].