债市微观结构跟踪：交易情绪快速回复至“中性”

1. Report Industry Investment Rating No relevant content provided. 2. Core View of the Report The "Guojin Securities Fixed Income - Bond Market Micro - trading Thermometer" rose 4 percentage points to 50%. The proportion of indicators in the over - heated range increased to 35%. The trading heat index mean rose significantly, while the institutional behavior, spread, and price - ratio index means changed with different trends [3][4][15]. 3. Summary According to Related Catalogs 3.1. This period, the micro - trading thermometer reading rebounded to 50% - The "Guojin Securities Fixed Income - Bond Market Micro - trading Thermometer" continued to rise 4 percentage points to 50%. The trading heat index mean rebounded 20 percentage points, with TL/T long - short ratio, market turnover rate, and institutional leverage percentile values rising 14, 47, and 53 percentage points respectively. Meanwhile, the percentile values of money tightness expectation, stock - bond ratio, and policy spread decreased 22, 17, and 13 percentage points respectively. High - congestion indicators include 30/10Y Treasury turnover rate, institutional leverage, fund duration, and fund ultra - long bond buying volume [3][15]. 3.2. The proportion of indicators in the over - heated range increased to 35% - Among 20 micro - indicators, the number of indicators in the over - heated range increased to 7 (35%), in the neutral range decreased to 6 (30%), and in the cold range decreased to 7 (35%). The market turnover rate moved from the cold to the neutral range, and institutional leverage moved from the neutral to the over - heated range [4][20]. - Trading heat: The 30/10Y Treasury turnover rate remained at 100%. The 1/10Y Treasury turnover rate, TL/T long - short ratio, market turnover rate, and institutional leverage percentile values rebounded 5, 14, 47, and 53 percentage points respectively, and the trading heat index mean rose 20 percentage points [5][20]. - Institutional behavior: The percentile values of fund duration, allocation strength, and fund - rural commercial bank buying volume rebounded slightly, while those of fund divergence and money tightness expectation decreased 4 and 22 percentage points respectively. The institutional behavior index mean decreased 1 percentage point [5][20]. - Spread: The market spread rebounded 4 percentage points, and the policy spread dropped 13 percentage points. The spread index mean decreased 4 percentage points [5][20]. - Price - ratio: The percentile values of stock - bond, commodity, and real - estate price - ratios decreased 17, 5, and 6 percentage points respectively, and the price - ratio index mean decreased 7 percentage points [5][20]. 3.2.1. The institutional leverage percentile value rebounded 53 percentage points - In trading heat indicators, the proportion of over - heated indicators rose to 67%, neutral to 38%, and cold decreased to 25%. The market turnover rate percentile value rose 47 percentage points to 55% and moved to the neutral range, and institutional leverage rose 53 percentage points to 96% and moved to the over - heated range [6][21]. 3.2.2. The money tightness expectation percentile value decreased 22 percentage points - In institutional behavior indicators, the proportion of over - heated indicators rose to 38%, neutral decreased to 38%, and cold decreased to 25%. The percentile values of fund divergence, money tightness expectation, and listed company wealth - management buying volume decreased 4, 22, and 4 percentage points respectively, while those of allocation strength and fund - rural commercial bank buying volume rebounded 10 and 8 percentage points respectively [7][25]. 3.2.3. The policy spread percentile value dropped 13 percentage points - The 3 - year Treasury yield rose slightly, the policy spread widened from 1bp to 4bp, and the percentile value dropped 13 percentage points to 41%, remaining in the neutral range. The credit spread narrowed 4bp to 51bp, the agricultural development - state - owned development spread was flat at 0bp, and the IRS - SHIBOR 3M spread widened 2bp. The average spread narrowed slightly from 18bp to 17bp, and its percentile value rose 4 percentage points to 60%, still in the neutral range [8][31]. 3.2.4. All price - ratio percentile values declined - The proportion of price - ratio indicators in the cold range remained 100%. The stock - bond, commodity, and real - estate price - ratio percentile values declined 17, 5, and 6 percentage points respectively [9][35].