债市微观结构跟踪：商品、股债比价分位值均回落

1. Report Industry Investment Rating No relevant content provided. 2. Core View of the Report - The reading of the bond market's micro - trading thermometer this period has increased by 5 percentage points to 55%. The number of indicators in the over - heated range remains at 35%. The trading heat has generally increased, while the bond - fund profit - taking pressure has decreased, the policy spread has slightly narrowed, and the stock - bond and commodity price - ratio percentile values have both declined [2][14][19]. 3. Summary by Related Catalogs 3.1. Overall Indicator Changes - The reading of the micro - trading thermometer has increased by 5 percentage points to 55%. The trading heat indicators have increased significantly, and the percentile values of the relative turnover rate and the TL/T long - short ratio have risen. The percentile values of the listed companies' wealth - management purchase volume and the fund - rural commercial bank purchase volume have also increased substantially. The significantly decreased indicators include the fund duration, bond - fund profit - taking pressure, and commodity price ratio. Currently, indicators with high congestion levels include the 30/10Y Treasury bond turnover rate, fund divergence, fund ultra - long - term bond purchase volume, and allocation - disk strength [2][14]. - Among the 20 micro - indicators, 7 (35%) are in the over - heated range, 6 (30%) are in the neutral range, and 7 (35%) are in the cold range. The TL/T long - short ratio has moved from the cold range to the over - heated range; the listed companies' wealth - management purchase volume and the fund - rural commercial bank purchase volume have moved from the cold range to the neutral range; the fund duration has moved from the over - heated range to the neutral range; the bond - fund profit - taking pressure and the commodity price ratio have moved from the neutral range to the cold range [3][19]. 3.2. Sub - category Indicator Changes 3.2.1. Trading Heat Indicators - The proportion of trading heat indicators in the over - heated range has increased to 67%, in the neutral range remains at 17%, and in the cold range has decreased to 17%. The percentile values of the relative turnover rate have all increased slightly, and the TL/T long - short ratio percentile value has increased by 54 percentage points, moving from the cold range to the over - heated range [5]. - Specific indicators: The 30/10Y Treasury bond turnover rate has increased to 2.01, with the past - year percentile value rising by 2 percentage points to 92%; the 1/10Y Treasury bond turnover rate has increased to 0.1, with the past - year percentile value rising by 7 percentage points to 25%; the TL/T long - short ratio has increased to 1.01, with the past - year percentile value rising by 54 percentage points to 81%; the full - market turnover rate has increased to 19.13%, with the past - year percentile value rising by 10 percentage points to 53%; the institutional leverage has decreased to 88.14%, with the past - year percentile value dropping by 13 percentage points to 87%; the long - term Treasury bond trading proportion has increased to 65.77%, with the past - year percentile value rising by 27 percentage points to 73% [15][26]. 3.2.2. Institutional Behavior Indicators - The proportion of institutional behavior indicators in the over - heated range has decreased to 38%, in the neutral range has increased to 50%, and in the cold range has decreased to 13%. The fund duration percentile value has dropped by 25 percentage points to 49%, moving from the over - heated range to the neutral range; the bond - fund profit - taking pressure has dropped by 27 percentage points, moving from the neutral range to the cold range; the listed companies' wealth - management purchase volume and the fund - rural commercial bank purchase volume percentile values have increased by 56 and 63 percentage points respectively, both moving from the cold range to the neutral range [6][24]. - Specific indicators: The fund duration has decreased to 2.93 years, with the past - year percentile value dropping by 25 percentage points to 49%; the fund divergence has increased to 0.46, with the past - year percentile value dropping by 4 percentage points to 90%; the bond - fund profit - taking pressure has decreased to 15.93%, with the past - year percentile value dropping by 27 percentage points to 36%; the money - tightness expectation index has decreased to 0.93, with the past - year percentile value rising by 7 percentage points to 61%; the allocation - disk strength has decreased to 0.21%, with the past - year percentile value dropping by 4 percentage points to 86%; the listed companies' wealth - management purchase volume has increased to 116.4 billion, with the past - year percentile value rising by 56 percentage points to 69% [15][27]. 3.2.3. Spread Indicators - The policy spread has slightly narrowed from 8bp to 5bp, with the corresponding percentile value rising by 11 percentage points to 32%, still in the cold range. The credit spread is basically the same as the previous period. The average spread of the agricultural development - state - owned development spread, IRS - SHIBOR 3M spread has widened from 18bp to 20bp, and its percentile value has dropped by 5 percentage points to 42%, in the neutral range [7][30][32]. 3.2.4. Price - ratio Indicators - The proportion of price - ratio indicators in the cold range has increased to 100%. The stock - bond and commodity price - ratio percentile values have dropped by 17 and 22 percentage points respectively to 19% and 33%. The commodity price ratio has moved from the neutral range to the cold range, and the real - estate price ratio has slightly increased by 2 percentage points to 2% [8][32]. - Specific indicators: The market spread has a percentile value of 42%, in the neutral range; the policy spread has a percentile value of 32%, in the cold range; the stock - bond price ratio has decreased to 11.3%, with the past - year percentile value dropping by 17 percentage points to 32%; the commodity price ratio has decreased to - 2.4%, with the past - year percentile value dropping by 22 percentage points to 33%; the real - estate price ratio has increased to - 46.9%, with the past - year percentile value rising by 2 percentage points to 2%; the consumer goods price ratio has increased to - 9%, with the past - year percentile value rising by 9 percentage points to 18%, still in the cold range [15][32][33].