债市微观结构跟踪：交易情绪快速降温

1. Report Industry Investment Rating - Not provided in the content 2. Core View of the Report - The reading of the bond market's micro - trading thermometer dropped significantly by 10 percentage points to 50%. The proportion of indicators in the over - heated range decreased to 30%, and the proportion of indicators in the cold range increased to 40%. The average value of the comparison ratio quantile dropped by 19 percentage points [2][14][19] 3. Summary by Relevant Catalogs 3.1 This period's micro - trading thermometer reading dropped significantly - The "Guojin Securities Fixed Income - Bond Market Micro - trading Thermometer" dropped 10 percentage points to 50%. TL/T long - short ratio, fund duration, fund - rural commercial bank buying volume, commodity comparison ratio, and consumer goods comparison ratio quantiles all dropped significantly. Only the turnover rates of 30/10Y treasury bonds, the overall market turnover rate, institutional leverage, allocation disk strength, and policy spread quantiles increased slightly. Currently, indicators with high congestion include the turnover rate of 30/10Y treasury bonds and the trading volume ratio of long - term treasury bonds [2][14] 3.2 The number of indicators in the over - heated range dropped to 30% - Among 20 micro - indicators, the number of indicators in the over - heated range decreased to 6 (30%), the number in the neutral range remained 6 (30%), and the number in the cold range increased to 8 (40%). The TL/T long - short ratio dropped from the over - heated range to the cold range, fund duration, monetary tightness expectation, and listed company wealth management buying volume dropped from the over - heated range to the neutral range, fund - rural commercial bank buying volume and commodity comparison ratio dropped from the neutral range to the cold range, and allocation disk strength rose from the neutral range to the over - heated range [3][19] 3.3 TL/T long - short ratio quantile dropped significantly - In the trading heat indicators, the proportion of indicators in the over - heated range decreased to 50%, in the neutral range remained 17%, and in the cold range increased to 33%. The TL/T long - short ratio quantile dropped 42 percentage points from the over - heated range to the cold range [5][20] 3.4 Allocation disk strength increased slightly - In the institutional behavior indicators, the proportion of indicators in the over - heated range decreased to 38%, in the neutral range increased to 38%, and in the cold range increased to 25%. The fund duration quantile dropped 14 percentage points to 67% from the over - heated range to the neutral range. Monetary tightness expectation and listed company wealth management buying volume quantiles also dropped slightly from the over - heated range to the neutral range. The fund - rural commercial bank buying volume quantile dropped 65 percentage points to 2% from the neutral range to the cold range. The only rising indicator in institutional behavior was the allocation disk strength quantile, which increased 2 percentage points from the neutral range to the over - heated range [6][25] 3.5 Policy spread continued to narrow slightly - The yield of 3 - year treasury bonds dropped slightly. The policy spread narrowed from 2bp to 1bp, and the corresponding quantile increased 4 percentage points to 47%, still in the neutral range. The credit spread, IRS - SHIBOR 3M spread widened by 5bp and 1bp to 53bp and 2bp respectively, and the agricultural development - state - owned development spread dropped 1bp to 4bp. The average of the three spreads widened from 18bp to 20bp, and its quantile dropped 4 percentage points to 42%, still in the neutral range [7][29] 3.6 Commodity comparison ratio quantile dropped significantly - The proportion of comparison ratio indicators in the cold range increased to 100%. All indicator quantiles dropped. The commodity and consumer goods comparison ratio quantiles dropped 47 and 18 percentage points to 1% and 0% respectively, with the former dropping from the neutral range to the cold range. The stock - bond and real - estate comparison ratio quantiles also dropped slightly by 7 and 4 percentage points, both in the cold range [8][32]