债市微观结构跟踪：交易情绪低位反弹

Group 1: Overall Market Conditions - The reading of the micro - trading thermometer this period has rebounded to 34%, a 5 - percentage - point increase from the previous period. The turnover rates of 1Y and 30Y treasury bonds increased, while that of 10Y treasury bonds decreased. The percentile values of 30/10Y and 1/10Y treasury bond turnover rates increased by 24 and 86 percentage points respectively, and the percentile value of the TL/T long - short ratio also increased by 13 percentage points. The percentile values of institutional leverage, allocation disk strength, market spread, and listed company wealth management purchase volume increased slightly. The percentile values of fund divergence, stock - bond ratio, and real estate ratio decreased by 14, 10, and 10 percentage points respectively. Currently, the only indicator with high congestion is the long - term treasury bond trading volume ratio [14]. Group 2: Proportion of Indicators in Different Zones - The proportion of indicators in the over - heated zone remains at 15%. Among the 20 micro - indicators, the number of indicators in the over - heated zone remains 3 (15%), the number in the neutral zone increased to 4 (20%), and the number in the cold zone decreased to 13 (65%). The 1/10Y treasury bond turnover rate rose from the cold zone to the over - heated zone, and the fund - rural commercial bank purchase volume dropped from the over - heated zone to the cold zone [19]. Group 3: Transaction Heat Indicators - The average percentile value of transaction heat increased significantly. The percentile values of 30/10Y and 1/10Y treasury bond turnover rates increased by 24 and 86 percentage points respectively, and the percentile value of the TL/T long - short ratio increased by 13 percentage points, driving the average percentile value of transaction heat up by 21 percentage points [4]. - In the transaction heat - related indicators, the proportion of indicators in the over - heated zone rose to 33%, the proportion in the neutral zone remained at 17%, and the proportion in the cold zone dropped to 50%. The percentile values of 30/10Y and 1/10Y treasury bond turnover rates increased by 21 and 86 percentage points respectively. The latter rose from the cold zone to the over - heated zone, while the former remained in the neutral zone [22]. Group 4: Institutional Behavior Indicators - The average percentile value of institutional behavior decreased by 2 percentage points. The percentile values of fund divergence and fund - rural commercial bank purchase volume decreased by 14 and 10 percentage points respectively [4]. - In the institutional behavior - related indicators, the proportion of indicators in the over - heated zone dropped to 13%, the proportion in the neutral zone rose to 25%, and the proportion in the cold zone remained at 63%. The percentile value of the fund - rural commercial bank purchase volume dropped by 10 percentage points to 61% and moved from the over - heated zone to the neutral zone [26]. Group 5: Spread Indicators - The average percentile value of spreads increased slightly by 1 percentage point. The market spread increased by 8 percentage points, and the policy spread decreased by 5 percentage points [4]. - The policy spread widened slightly from 11bp to 13bp, and its percentile value decreased by 5 percentage points to 10%, remaining in the cold zone. The credit spread narrowed by 4bp to 50bp, the agricultural development - state - owned development spread widened slightly by 1bp to -1bp, and the IRS - SHIBOR 3M spread remained basically flat at 2bp. The average of the three spreads narrowed slightly from 18bp to 17bp, and its percentile value increased by 8 percentage points to 63%, remaining in the neutral zone [7]. Group 6: Ratio Indicators - The average percentile value of ratios decreased by 5 percentage points. The stock - bond and real estate ratio percentile values both decreased by 10 percentage points [4]. - All ratio - related indicators are in the cold zone. The stock - bond and real estate ratio percentile values decreased by 10 percentage points, the commodity ratio percentile value increased slightly by 1 percentage point, and the consumer goods ratio percentile value remained at 0% [8].